Płynność sektora bankowego a skuteczność polityki pieniężnej Narodowego Banku Polskiego na tle Eurosystemu
Keywords:monetary policy, money market, EONIA/POLONIA spread, GARCH model
The book concerns the problem of the National Bank of Poland (NBP) monetary policy effectiveness against the background of the European Central Bank (ECB) in terms of influencing the level and volatility of spread between the interbank overnight rate and the main rates of the central banks.
The problem, the analysis focuses on, is the way in which banking sector liquidity influences the effectiveness of monetary policy, i.e. the central bank?s capability to control the short-term interbank market rates.
The main aim of the book was to determine the relations between the liquidity position in the banking sector in the Eurosystem and Poland and the effectiveness of the ECB? and NBP? monetary policy in steering of the overnight interbank rates at the level consistent with the final target in the years 1999?2011.
In the book, the concepts related to a particular commercial bank liquidity and liquidity of the banking sector were redefined and the methods of their measurement were delineated. Furthermore, the determinants of liquidity position prevailing in the banking sectors in the Eurosystem and Poland (autonomous factors and monetary policy instruments) were also defined. The elements of the monetary policy implementation in the Eurosystem and Poland (operational target, tools for controlling its implementation and the practice of using of selected instruments) were characterised. The banking sector liquidity management by the ECB and the NBP, the construction and structure of the liquidity balance sheet in Eurosystem and Poland and the relations between its components and interbank EONIA and POLONIA rates were also presented. Moreover, an empirical analysis of monetary policy effectiveness in the Eurosystem and Poland in terms of stabilising EONIA and POLONIA rates with the use of econometric methods was also conducted.
The personal scope of the book includes central banks indicated in the title. From the future Polish euro area membership perspective, the ECB experience in effectiveness of achieving operational target was shown as a background and the target model for the NBP actions. This choice was dictated by the different liquidity position in the banking sector in the Eurosystem and Poland. The shortage of liquidity prevailing in the Eurosytem is considered as the liquidity position typical for developed banking sectors. The objective scope of considerations was the banking sector liquidity in the Eurosystem and Poland, its determinants and measurement methods and its impact on the ECB? and NBP? monetary policy effectiveness. The time frame of the book covers the years 1999?2011, i.e. since the beginning of the monetary policy implementation by the ECB, to the year in which, due to relative stability in the financial markets, the indicated central banks partially withdrew non-standard monetary policy instruments regulating banking sector liquidity.
Solving the research problem required theoretical and empirical studies. The basis of theoretical considerations was Polish- and English-language literature. Scientific books, articles from scientific journals and financial institutions publications in particular reports, statements and ECB? and NBP? statistics were used in this section. The formulation of the conclusions in this part of the research procedure was possible due to using descriptive and comparative analysis.
In the empirical part, econometric analysis with additional support of the consolidated balance sheet of the banking sector was applied. A direct comparison of the ECB? and NBP? monetary policy effectiveness considered in the context of the impact on the EONIA and POLONIA rate was carried out by division into the same periods, using similar variables and one econometric method.
Considering the economic situation and the nature of the monetary policy of the Eurosystem and Poland, the analysed time span was divided into four periods: the pre-crisis period, period of the first signs of the financial crisis, period of severe crisis phenomena in financial markets and period of European Union member states debt crisis. In case of the ECB, two additional periods were distinguished: the "old" and "new" operational framework of monetary policy. Research focused on the dependent variable, i.e. the spread between interbank market rate, which is controlled by central banks and main open market operations rate in the Eurosystem and Poland. ECB? and NBP? monetary policy instruments (open market operations, standing facilities and reserve requirements), the relations between supply and demand during tenders under the main open market operations and risk measures such as the EURIBOR-OIS 3M and WIBOR-OIS 3M spreads were considered as spread determinants. The regression models with random GARCH component with additional explanatory variables in the conditional variance equation were applied.
On the basis of the conducted research, a number of cognitive results was achieved. First, the link between the three groups of the banking sector liquidity balance sheet and the interbank market rate adopted as a operating target were confirmed. Secondly, the conclusion was drawn that the effectiveness of the central bank in maintaining interbank rates adopted as a operating target as close as possible to main rate depends on fluctuations in both autonomous factors and monetary policy instruments. Thirdly, it was ascertained that both the level and volatility of the EONIA and POLONIA spread were shaped more by the central banks monetary policy instruments than by factors that depend on them only indirectly. This shows that both central banks are highly effective in controlling the level and volatility of interbank rates adopted as a operating target. Fourthly, it was stated that the absolute and the relative share of monetary policy instruments in explaining the conditional mean and conditional variance of spread is greater in case of the ECB (compared to the NBP). This implies that the ECB? operating system is adjusted to the prevailing liquidity position, and central bank actions are more effective in controlling the EONIA rate close to the main rate.