The Transmission of the Crisis of Confidence to the Polish Interbank Market

Agata Kliber and Piotr Pluciennik ()
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Piotr Pluciennik: Adam Mickiewicz University

Acta Universitatis Nicolai Copernici, Ekonomia, 2012, vol. 43, issue 1, 61-76

Abstract: The former U. S. Federal Reserve Board of Governors Alan Greenspan stated recently that the LIBOR-OIS spread, understood as the difference between the LIBOR rate and the term overnight indexed swap, is „a barometer of fears of bank insolvency”. In the following article we use the LIBOR-OIS spreads in Polish zloty, American dollar and euro to determine the moment of transmission of the crisis of confidence to considered interbank markets and the directions of crisis transmission. Our analysis is based on the results obtained from the multivariate parametric models. Basing on the analysis we show strong dependence between the euro zone and the USA markets as well as independence of the Polish markets from the other ones.

Keywords: conditional correlation; impulse response function; Granger causality; LIBOR-OIS spread. (search for similar items in EconPapers)
Date: 2012
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Persistent link: https://EconPapers.repec.org/RePEc:cpn:umkanc:2012:p:61-76

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