The rational expectations hypothesis of the term structure at the Polish interbank market

M Blangiewicz, P Miłobędzki - Przegląd Statystyczny, 2009 - ceeol.com
We use a three-variable VAR including the yield spread, the change in the short rate and the
excess holding period yield to test for the validity of the rational expectations hypothesis …

[PDF][PDF] DYNAMIC ECONOMETRIC MODELS

P Miłobędzki - dem.umk.pl
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 …

[引用][C] The Term Structure of the Polish Interbank Rates: a Note on the Symmetry of their Reversion to the Mean

P Miłobędzki - Dynamic Econometric Models, 2010