Stationarity and persistence of the term premia in the Polish money market

Michał Markun and Anna Mospan

No 227, NBP Working Papers from Narodowy Bank Polski

Abstract: The present paper examines the term premia in the interbank money market in Poland. We use analyst surveys to proxy interest rate expectations and forward rate agreement (FRA) market data to construct term premia. We consider the term premia at shorter and longer horizons. Both premia follow autoregressive, stationary processes of low orders. The longer term premium is higher and more volatile than the shorter one; moreover, it is also characterized by substantially higher persistence. Our findings provide direct evidence against the efficient markets hypothesis (EMH) at the short end of the Polish yield curve and indicate areas of potential ineffectiveness of the monetary policy transmission mechanism.

Keywords: short-term interest rate; expectations; term premium; persistence; surveys; Poland (search for similar items in EconPapers)
JEL-codes: C83 E43 E58 G23 (search for similar items in EconPapers)
Date: 2015
New Economics Papers: this item is included in nep-cba, nep-mac and nep-tra
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Persistent link: https://EconPapers.repec.org/RePEc:nbp:nbpmis:227

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