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The Impact of the World Financial Crisis on the Polish Interbank Market: A Swap Spread Approach

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  • Piotr Płuciennik

    (Adam Mickiewicz University)

Abstract

The swap spread is defined as the difference between the fixed rate of an interest rate swap and the yield of the treasury with the same maturity. The swap spread is usually interpreted as the effective proxy of bank liquidity and the credit spread indicator. The interpretation is very similar to the LIBOR-OIS spread and in the context of Polish interbank market – WIBOR-OIS. However, WIBOR-OIS is less reliable during the crisis of confidence because of lack of interbank operation with the maturity longer than 1 month. Swap spreads base on two liquid instruments, thus they are free of this defect. The main goal of this paper is to assess how Polish swap spreads and their conditional variance reacted to important events connected with the subprime crisis and crisis of confidence in the Polish interbank market.

Suggested Citation

  • Piotr Płuciennik, 2012. "The Impact of the World Financial Crisis on the Polish Interbank Market: A Swap Spread Approach," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, vol. 4(4), pages 269-288, December.
    • Handle: RePEc:psc:journl:v:4:y:2012:i:4:p:269-288
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    More about this item

    Keywords

    credit risk; interest rates; multidimensional parametric models; semiparametric models; swap spread;
    All these keywords.

    JEL classification:

    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy

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