What Drives the POLONIA Spread in Poland?
AbstractSince 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 NBPâ€™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; bankâ€™s unwillingness to lock up liquidity in the NBP bills; the frontloading of banksâ€™ fulfillment of the reserve requirements; and external market sentiment. The analysis also shows the effectiveness of the NBPâ€™s responses to the financial crisis and structural liquidity surplus.
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Bibliographic InfoPaper provided by International Monetary Fund in its series IMF Working Papers with number 12/215.
Date of creation: 01 Aug 2012
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This paper has been announced in the following NEP Reports:
- NEP-ALL-2012-09-16 (All new papers)
- NEP-EUR-2012-09-16 (Microeconomic European Issues)
- NEP-TRA-2012-09-16 (Transition Economics)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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"Cross-country differences in monetary policy execution and money market rates' volatility,"
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- International Monetary Fund, 2009. "What Drives China's Interbank Market?," IMF Working Papers 09/189, International Monetary Fund.
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