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Author/Editor:
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Lu, Yinqiu
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Publication Date:
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August 01, 2012
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Electronic Access:
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Free Full text
(PDF file size is 1,416KB).
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Disclaimer: This Working Paper should not be reported as representing the views of the IMF.
The views expressed in this Working Paper are those of the author(s) and do not necessarily represent those of the IMF or IMF policy. Working Papers describe research in progress by the author(s) and are published to elicit comments and to further debate
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Summary:
Since the start of the 2008 - 09 financial crisis, the Polish Overnight Index Average (POLONIA) has persistently been below the policy rate, suggesting a limited influence of the NBP’s open market operations on the short-term interbank rate. In this regard, this paper analyzes the behavior of the POLONIA spread and explore several potential factors that could influence the spread. An empirical analysis confirms that the negative POLONIA spread is related to a few factors, which include the existence of the structural liquidity in the banking system; bank’s unwillingness to lock up liquidity in the NBP bills; the frontloading of banks’ fulfillment of the reserve requirements; and external market sentiment. The analysis also shows the effectiveness of the NBP’s responses to the financial crisis and structural liquidity surplus.
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Order a print copy
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Series:
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Working Paper No. 12/215
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Subject(s):
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Banking systems | Central bank policy | Interest rate policy | Interest rates | Liquidity | Monetary policy | Poland
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Author's Keyword(s):
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Poland | POLONIA | monetary policy | interbank market | and GARCH |
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English
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Publication Date:
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August 01, 2012
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Format:
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Paper
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Stock No:
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WPIEA2012215
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Pages:
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18
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Price:
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US$18.00 )
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Please address any questions about this title to
publications@imf.org
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