The Term Structure of Interest Rates at the Polish Interbank Market. A VAR Approach

Paweł Miłobędzki () and Maria Blangiewicz ()
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Paweł Miłobędzki: University of Gdańsk, Poland
Maria Blangiewicz: University of Gdańsk, Poland

Chapter 14 in FindEcon Monograph Series: Advances in Financial Market Analysis, 2010, vol. 8, pp 197-208 from University of Lodz

Abstract: In Chapter 14, Miłobędzki and Blangiewicz reported the results of testing for the expectations hypothesis (EH) of the interbank market in Poland within a VAR model. The authors have used WIBOR rates of different maturities and applied the cointegration method. They concluded that the empirical results for the Polish interbank market are in general in favor of the EH.

Keywords: Term structure of interest rates; Polish interbank market; VAR model (search for similar items in EconPapers)
JEL-codes: C01 E02 F00 G00 (search for similar items in EconPapers)
Date: 2010
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Persistent link: https://EconPapers.repec.org/RePEc:ann:findec:book:y:2010:n:08:ch:14:mon

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