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Interest rate pass-through to risk-free rates in Poland

Author

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  • Mariusz Kapuściński

    (Narodowy Bank Polski)

Abstract

In this research note I provide the first estimates of the transmission of monetary policy in Poland to risk-free rates, WIRON rates. I take into account the effects of changes in the policy rate, in the width of the standing facilities corridor and in the reserve position of the banking sector. I also make comparisons to the transmission to POLONIA and WIBOR rates. I find both the overnight and term WIRON rates to be affected by interest rate policy and other components of the operational framework of Narodowy Bank Polski. This makes the transmission similar as to the POLONIA rate, but to some extent different than to WIBOR rates. For the term rates, by construction, there are differences in transmission lags. This might have implications for the transmission mechanism of monetary policy in Poland in the future. The extent will depend on the character of changes in the policy rate (unexpected versus expected), and the term of the rate chosen for financial contracts and instruments. Given the limited number of observations, the conclusions should be treated with caution.

Suggested Citation

  • Mariusz Kapuściński, 2023. "Interest rate pass-through to risk-free rates in Poland," NBP Working Papers 358, Narodowy Bank Polski.
    • Handle: RePEc:nbp:nbpmis:358
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    More about this item

    Keywords

    transmission mechanism of monetary policy; interest-rate pass through; risk-free rates; interest rate benchmark reform.;
    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

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