Using the monthly sampled data on LIBOR US dollar interest rates and maturities ranging
from 1 to 12 months from 1995 to 2009 we provide with a number of tests of the expecta …

Wyniki empiryczne badania nad strukturą terminową stóp procentowych na rynku
międzybankowym w Polsce upoważniają do stwierdzenia, że stopy krótka i długa dla …

A three-variable VAR including the yield spread, the change in the short rate and the excess
holding period yield is used to test for the validity of rational expectations hypothesis of the …

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) …

In the article, the authors present problems connected with estimating risk pre¬ mium in the
interest rate market. Several approximations of the risk premium of one-week interest rates …

The empirical analysis of the term structure of the Polish interbank rates has revealed that
the short and the long rates from the whole spectrum of maturities have evolved almost …