... the Term Premia in the Polish Money MarketMichal Markun and Anna Marszal (Mospan)1 Jan 2015 | SSRN Electronic Journal, ...
Tópico(s): Economic theories and models
2015 - World Scientific | World Scientific handbook in financial economic series
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 ...
Tópico(s): Economic theories and models
2015 - RELX Group (Netherlands) | SSRN Electronic Journal