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Evolution of the impact of the interest rates changes announced by Narodowy Bank Polski (NBP) on the financial markets in the high, medium and low level of interest rates environments in Poland


  • Janusz Brzeszczyński

    (Newcastle Business School (NBS), Northumbria University, Newcastle-upon-Tyne, United Kingdom; University of Łódź, Poland)

  • Jerzy Gajdka

    (Narodowy Bank Polski)

  • Ali M. Kutan

    (Southern Illinois University Edwardsville (SIUE), Edwardsville, IL, USA The Center for European Integration Studies (ZEI), Bonn, Germany The Emerging Markets Group (EMG), London, United Kingdom The William Davidson Institute (WDI), Ann Arbor, MI, USA)


The objective of this study is the analysis of the Polish financial market’s responses to interest rates changes announced by the Narodowy Bank Polski (NBP) during the period when they evolved from high to low levels. We use GARCH models and we focus comprehensively on four market segments, i.e.: foreign exchange market, stock market, bonds market and derivatives market. The sample period covers over 17 years from August 2000 until December 2017. Reactions of the financial market in Poland were measured with respect to the nominal changes in interest rates and to their surprise changes (relative to market expectations). The main conclusion from our study is that in all the investigated market segments the Polish financial market became consistently less responsive to interest rates decisions in the lower interest rates environment. Furthermore, stronger reactions in foreign exchange market and in stock market were detected in case of interest rates changing upwards rather than downwards, however in bonds market this effect was opposite. When interest rates were announced at different level than expected, the picture is ambiguous. Moreover, the effects in the conditional variance of the GARCH models indicate the existence of stabilizing effects of the NBP communication on the stock market in Poland, but the estimation results for other market segments are mixed.

Suggested Citation

  • Janusz Brzeszczyński & Jerzy Gajdka & Ali M. Kutan, 2019. "Evolution of the impact of the interest rates changes announced by Narodowy Bank Polski (NBP) on the financial markets in the high, medium and low level of interest rates environments in Poland," NBP Working Papers 303, Narodowy Bank Polski, Economic Research Department.
  • Handle: RePEc:nbp:nbpmis:303
    Note: This research project was conducted under the VIII NBP open competition for research projects and was financed by Narodowy Bank Polski. This paper represents the opinions of the authors. It is not meant to represent the position of the NBP. Any errors and omissions are the fault of the authors.

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    References listed on IDEAS

    1. Wongswan, Jon, 2009. "The response of global equity indexes to U.S. monetary policy announcements," Journal of International Money and Finance, Elsevier, vol. 28(2), pages 344-365, March.
    2. Jonathan H. Wright, 2012. "What does Monetary Policy do to Long‐term Interest Rates at the Zero Lower Bound?," Economic Journal, Royal Economic Society, vol. 122(564), pages 447-466, November.
    3. Wu, Wenbin, 2016. "Are financial markets less responsive to monetary policy shocks at the zero lower bound?," Economics Letters, Elsevier, vol. 145(C), pages 258-261.
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    JEL classification:

    • E5 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit
    • E4 - Macroeconomics and Monetary Economics - - Money and Interest Rates
    • G1 - Financial Economics - - General Financial Markets
    • F3 - International Economics - - International Finance
    • C2 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables

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