Stationarity and Persistence of the Term Premia in the Polish Money Market | Zendy

Michał Markun | Zendy; Anna Marszal | Zendy

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Stationarity and Persistence of the Term Premia in the Polish Money Market

Author(s) -

Michał Markun,

Anna Marszal

Publication year - 2015

Publication title -

ssrn electronic journal

Language(s) - English

Resource type - Journals

ISSN - 1556-5068

DOI - 10.2139/ssrn.2746392

Subject(s) - economics , proxy (statistics) , yield curve , term (time) , risk premium , monetary economics , autoregressive model , econometrics , financial economics , money market , short rate , interest rate , physics , quantum mechanics , machine learning , computer science

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 provide direct evidence against the efficient markets hypothesis (EMH) at the short end of the Polish yield curve and indicate areas of potential ineffectiveness of the monetary policy transmission mechanism.

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