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Monetary policy and financial asset prices in Poland

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  • Mariusz Kapuściński

    (National Bank of Poland)

Abstract

The aim of this study is to investigate the effects of monetary policy on financial asset prices in Poland. Following Gürkaynak et al. (2005), I test how many factors adequately explain the variability of short-term interest rates around meetings of the Monetary Policy Council, finding that there are two such factors. The first one has a structural interpretation as a “current interest rate change” factor and the second one as a “future interest rate changes” factor, with the latter related to monetary policy communication. Regression analysis shows that not only changes in the current interest rate but also monetary policy communication matters for government bond yields, stock prices and the exchange rate in Poland. It has important implications for the conduct of monetary policy, especially in a low inflation and low interest rate environment.

Suggested Citation

  • Mariusz Kapuściński, 2017. "Monetary policy and financial asset prices in Poland," Bank i Kredyt, Narodowy Bank Polski, vol. 48(3), pages 263-294.
    • Handle: RePEc:nbp:nbpbik:v:48:y:2017:i:3:p:263-294
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    More about this item

    Keywords

    monetary policy; financial asset prices;

    JEL classification:

    • E51 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Money Supply; Credit; Money Multipliers
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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