Paweł Miłobędzki

The Expectations Hypothesis of the Term Structure of LIBOR US Dollar Interest Rates

Using the monthly sampled data on LIBOR US dollar interest rates and maturities ranging from 1 to 12 months from 1995 to 2009 we provide with a number of tests of the expecta-tions hypothesis based on a 3-variable VAR allowing for a time-varying term premium. We find some evidence against the expectations hypothesis. The term premia appear to vary in time and the yield spread has a good predictive power, however the long rates under-react to current infor-mation about future short rates. Unexpected changes in holding period returns to large extent depend upon revisions to forecasts about future short rates and to small extent upon revisions to future term premia.

Intraday Trading Patterns on the Warsaw Stock Exchange

We estimate linear regressions with dummy variables for the rates of return, spreads and volumes of stocks included in the main Warsaw Stock Exchange index WIG 20 to reveal the intraday trading patterns after the Universal Trading Platform was introduced in April 2013. In doing so we use the data rounded to nearest second and aggregated into that of 1 h frequency. The analysis shows that the spreads and volumes exhibit either the day of the week or the hour of the day effect or both. The spreads resemble the reversed J and the volumes are U-shaped. The rates of return are mostly positive but eventually decline at the end of the trading day. Some of them exhibit the hour of the day but not the day of the week effect.

Copper Price Discovery on COMEX, 2006–2015

We estimate a VEC DCC-MGARCH model on the weekly sampled price series of 3 mostly traded copper futures on COMEX maturing within 2, 3 and 4 months in the period 4 Jan 2006–30 Dec 2015 and find that they are co-integrated and symmetrically revert to their long run equilibrium relation. We also reveal the existence of Granger causality running in both directions for all pairs of maturities. More interestingly, we observe 3 periods of an increased conditional volatility of the returns on copper futures resulting from the change of market sentiment that is due to the fall of risk appetite after the release of the April 2006 Global Financial Stability Report, the collapse of the Lehman Brothers Holdings Inc. in September 2008, as well as the next stage of the Greek financial crisis preceding the agreement to write-off 50% of the Greek debt in October 2011. At all times their conditional correlations remain almost stable and are close to one, however.

Are Major Currencies Hedges or Safe Havens for Polish Stocks and Bonds

I follow Baur and Lucey (Financ Rev 45:217–229, 2010) to examine whether the euro, the US dollar, the pound sterling, the Swiss franc and the Japanese yen are hedges or safe havens for Polish stocks and bonds. In doing so I use the daily sampled data on the major currencies exchange rates into the Polish zloty, the Warsaw Stock Exchange index WIG and the 10 year Polish government bonds covering the period 29 Nov 2005–31 Dec 2015. The analysis shows that all currencies are strong hedges for stocks and diversifiers for bonds in normal market conditions. When the markets extremely fall they serve as safe havens for stocks and either as diversifiers or weak hedges for bonds.

The Term Structure of the Polish Interbank Rates. A Note on the Symmetry of their Reversion to the Mean

The empirical analysis of the term structure of the Polish interbank rates has revealed that the short and the long rates from the whole spectrum of maturities have evolved almost accordingly to the expectations hypothesis. They have exhibited common stochastic trends, their spreads have had cointegrating properties as well as much predictive power. Of all interest rates considered it is only a 3 month rate that has asymmetrically been reverting to the mean.