Interdependences Between Interest Rates on the Polish Interbank Market

Agata Kliber; Paweł Kliber; Piotr Płuciennik

doi:https://doi.org/10.59139/ps.2012.02.3

Agata Kliber Uniwersytet Ekonomiczny w Poznaniu , Paweł Kliber Uniwersytet Ekonomiczny w Poznaniu , Piotr Płuciennik Uniwersytet im. Adama Mickiewicza w Poznaniu Przegląd Statystyczny. Statistical Review, vol. 59, 2012, 2, pages: 149-162 Published online: 30 June 2012 DOI https://doi.org/10.59139/ps.2012.02.3

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ARTICLE

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ABSTRACT

In the article we verify the direction of impulse response between volatility of POLONIA rate and interbank interest rates. The authors concentrate especially on the power of POLONIA and WIBOR SW volatility impulses. POLONIA rate is controlled by Polish Central Bank since the beginning of 2008. As the conditional volatility of interest rates is unobservable, and the absence of intraday quotations prevent from estimation of realized volatility, we determine volatility using the GO-GARCH model introduced by Van der Weide in [25]. To identify impulses in variance series we use VAR model.

KEYWORDS

principal component analysis, impulse response function, multidimensional models of conditional variance, term structure of interest rates

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