Testowanie przyczynowości pomiędzy krótkoterminowymi stopami procentowymi w Polsce, USA i strefie euro

• Autorzy: Ewa Czapla

Warianty tytułu

Causality Analysis between Polish, U.S. and Eurocurrency Short-Term Interest Rates

• Języki publikacji: PL

Abstrakty

W artykule podjęto próbę zbadania przyczynowości w sensie Grangera dla jedno-, trzy- i sześciomiesięcznych stóp procentowych Polski, USA i strefy euro. Wykorzystano metodę Toda-Yamamoto, pozwalającą badać przyczynowość dla szeregów skointegrowanych. W badaniach integracji i kointegracji zmiennych zastosowano rozszerzony test Dickey'a-Fullera i test Phillipsa-Perrona oraz metodę Johansena. Uzyskane wyniki sugerują, że polski rynek stóp procentowych wykazuje długookresowy związek z rynkiem strefy euro; nie stwierdzono natomiast zależności przyczynowej od rynku USA. (abstrakt oryginalny)

EN

The main objective for this paper is to study the causal link between Polish, U.S. and Eurocurrency short-term interest rates. The paper studies the direction of causality between two variables, based on Toda and Yamamoto's Granger test which allows Granger test in an integrated system. The paper employes the one-, three- and six-month interest rates of Poland, U.S. and Eurocurrency market and tests the weekly versions of these series. The studied period is 01.01.2003-22.07.2008. The findings indicate that the eurocurrency interest rate is the Granger cause of the Polish interest rate and not vice versa. Further the eurocurrency interest rate is the Granger cause of the U.S. interest rate; there is the causal interaction between three-month rates only. (original abstract)

Słowa kluczowe

PL

Stopa procentowa; Przyczynowość; Strefa euro

EN

Interest rate; Causality; Eurozone

• Czasopismo: Acta Universitatis Nicolai Copernici. Ekonomia
• Rocznik: 2009
• Tom: 39 Dynamiczne modele ekonometryczne
• Strony: 227-236

Twórcy

autor

Ewa Czapla

• Politechnika Koszalińska

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