Changing Patterns in the Dependence of Long-Term Rates between Poland and Major Financial Centres

12 Pages Posted: 7 Oct 2014

See all articles by Michał Adam

Michał Adam

National Bank of Poland

Witold Koziński

National Bank of Poland

Michal Markun

National Bank of Poland; Cardinal Stefan Wyszynski University

Date Written: August 2014

Abstract

The accommodative monetary policy of major central banks has resulted in strong capital inflows into emerging economies. We investigate the extreme dependence – effectively, contagion – between long-term interest rates in core markets and those of Poland in recent years. The issue is particularly important from a financial stability standpoint. Using a copula framework, we demonstrate that the dependence of extreme events has actually eased in recent years as the structure of foreign investment holdings in Poland has become more stable. Given the elevated risk of contagion, however, these developments should not lull one into a false sense of security. The propensity of bond yields to crash in synchrony should be closely monitored, especially in turbulent periods.

Full publication: The Transmission of Unconventional Monetary Policy to the Emerging Markets

Keywords: Copulas, dependence, contagion, long-term interest rates, Poland

JEL Classification: C58, G15

Suggested Citation

Adam, Michał and Koziński, Witold and Markun, Michal, Changing Patterns in the Dependence of Long-Term Rates between Poland and Major Financial Centres (August 2014). BIS Paper No. 78r, Available at SSRN: https://ssrn.com/abstract=2500372

Michał Adam (Contact Author)

National Bank of Poland ( email )

00-919 Warsaw
Poland

Witold Koziński

National Bank of Poland

00-919 Warsaw
Poland

Michal Markun

National Bank of Poland ( email )

00-919 Warsaw
Poland

Cardinal Stefan Wyszynski University ( email )

01-815 Warsaw
Poland

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