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Wpływ niekonwencjonalnej polityki pieniężnej Banku Węgier na stopy procentowe rynku międzybankowego

Author

Listed:
  • Anna I. Topczewska

    (Narodowy Bank Polski, Departament Operacji Krajowych; Szkoła Główna Handlowa, Kolegium Gospodarki Światowej)

Abstract

Celem artykułu jest analiza wpływu wprowadzonych przez Narodowy Bank Węgier (Magyar Nemzeti Bank, MNB) programów płynnościowych w latach 2013−2016 (Funding for Growth Scheme − FGS, Self-financing Programme − SFP oraz Growth Supporting Programme − GSP) na sposób implementacji polityki pieniężnej przez MNB oraz na kształtowanie się krótkoterminowych stóp procentowych na niezabezpieczonym rynku międzybankowym. Przeprowadzone badanie spreadu pomiędzy stopą podstawową MNB a stawką HUFONIA, uwzględniające podział na dwa podokresy – przed wprowadzeniem programów płynnościowych oraz po ich wdrożeniu przez bank centralny − pozwoliło stwierdzić, iż zmiany w sposobie implementacji polityki pieniężnej przez MNB przyczyniły się do wzrostu zmienności krótkoterminowych stóp procentowych oraz zawężenia spreadu. Oszacowane parametry modelu GARCH, uwzględniającego warunkową heteroskedastyczność błędu losowego, wskazują, że po wprowadzeniu programów płynnościowych na poziom oraz zmienność stóp procentowych na węgierskim rynku międzybankowym silniej wpływały uwarunkowania płynnościowe oraz skala operacji otwartego rynku − wzrost płynności w sektorze bankowym powodował większe spadki oprocentowania niezabezpieczonych depozytów O/N. Analiza determinant spreadu HUFONIA − stopa referencyjna MNB potwierdziła również zwiększoną wrażliwość stóp O/N po wprowadzeniu zmian w sposobie implementacji polityki pieniężnej pod koniec okresu utrzymywania rezerwy obowiązkowej.

Suggested Citation

  • Anna I. Topczewska, 2018. "Wpływ niekonwencjonalnej polityki pieniężnej Banku Węgier na stopy procentowe rynku międzybankowego," Bank i Kredyt, Narodowy Bank Polski, vol. 49(4), pages 321-356.
    • Handle: RePEc:nbp:nbpbik:v:49:y:2018:i:4:p:321-356
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    References listed on IDEAS

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    More about this item

    Keywords

    MNB; implementacja polityki pieniężnej; programy płynnościowe; rynek międzybankowy;
    All these keywords.

    JEL classification:

    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies

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