ANALYSIS OF CO-INTEGRATION INTEREST RATE IN POLAND

Authors

  • Aneta Kłodzińska

Keywords:

nterest rates, co-integration, model VECM

Abstract

In this paper are presented an empirical analysis of co-integration interest rates inPoland. The models are estimated whit the Johansen co-integration methodology. The data used is dailyinterest rates in the period 02.01.2003-22.07.2008. The findings re-veals a co-integration relation. There is long-run relationship between interest rates inPoland.

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Published

2021-02-05

Issue

Vol. 1 No. 14 (2010): Zeszyty Naukowe nr 14 (2010)

Section

Articles

How to Cite

ANALYSIS OF CO-INTEGRATION INTEREST RATE IN POLAND. (2021). Research Bulletins of the Faculty of Economic Sciences, 1(14), 107-114. https://ezeszyty.wne.tu.koszalin.pl/index.php/zeszyty/article/view/241