In the study we investigate the effectiveness of the National Bank of Poland in counteracting the negative results of the financial crisis in the Polish interbank market. The situation was exceptional in a sense, that during the period of the financial crisis the Polish interbank market experienced liquidity surplus, and the main problem of the central bank was to regain confidence among commercial banks and stimulate interbank transactions. We concentrate on the spread between the rate of overnight interbank loans and the reference rate and based upon its dynamics we assess the monetary policy of the Polish central bank. Using econometric techniques we study how the central bank influenced the spread, when its control over it weakened and when was it strengthened. The study is supported by the results of the survey directed to the headquarters of commercial banks. We conclude that the ability of the central bank to control overnight rate wasThe views in this paper should be regarded as those of the author, and do not necessarily reflect those of the National Bank of Poland. temporarily lost during the first phases of the financial crisis, but gradually regained after implementation of the confidence pact.The aim of the research was to assess the ability of the Polish central bank to control the rate of overnight loans in the Polish interbank market and conduct its monetary policy during the confidence crisis, as well as facing the liquidity surplus. The Polish interbank market is special in a sense that liquidity surplus has been present there even since 1994 (National Bank of Poland 2009). However, together with the outbreak of the financial crisis, the confidence in the Polish interbank market declined drastically. Commercial banks preferred to accumulate liquidity surplus and performed almost no interbank transactions of maturity longer than 7 days. Banks preferred to keep their surplus on their current accounts with the central bank or in the form of deposit facility, and they significantly limited participation in the 7-day open market operations conducted by the National Bank of Poland (NBP) (National Bank of Poland 2009). The latter resulted in the so called underbidding (i.e. the situation during the tenders for the NBP bills, when the banks' total bid is lower than the supply offered by the central bank). As a consequence, the effectiveness of the central bank in stabilization of the market rates, what is one of the main goals of the monetary policy, diminished significantly.Our goal was to assess the effectiveness of the monetary policy of the Polish central bank, using econometric methods, as well as with respect to the results of the survey, sent to the head-quarters of the Polish commercial banks. The problem of assessing the effectiveness of the stabilization policy of central banks using econometric methods is also rather new in literature. Panigirtzoglou et al. (2000) studied the effectiveness of controlling the interbank rates through the key interest rates of the central banks of Grea...

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Summary:In the paper, we consider the factors that determine the overnight interest rates in the Polish interbank market. Since 2008 the Polish central bank has been trying to place the POLONIA rate around the NBP reference rate, mainly by influencing the liquidity conditions through open market operations. We identify a set of factors that determine the overnight rates, namely: liquidity, expectations, confidence in the banking sector and central bank operations. To this end we have used dynamic model averaging method, which allows to identify the set of variables that provide the best description of the explanatory variable. The results reveal that before the outbreak of financial crisis in 2008 the spread between POLONIA rate and reference rate could be explained mainly by liquidity conditions. After the crisis had begun, the importance of liquidity factor decreased and the expectations played a more important role in determining the spread.Keywords: monetary policy, POLONIA rate, interbank rates, dynamic model averaging, liquidity in the interbank market.Streszczenie: W artykule rozważane są czynniki determinujące stopy overnight na polskim rynku międzybankowym, przy czym jako miernik ich wysokości przyjmuje się stawkę PO-LONIA. Od 2008 roku celem operacyjnym NBP jest ustalanie stawki POLONIA na poziomie zbliżonym do stopy referencyjnej NBP. Wskazano zbiór czynników wpływających na stopy overnight, a mianowicie płynność, oczekiwania i zaufanie na rynku międzybankowym. Starano się ustalić, w jakim stopniu każdy z tych czynników wpływał na stawkę POLONIA w latach 2006-2016. Wykorzystano w tym celu metodę dynamicznego uśredniania modeli (dynamic model averaging), która pozwala ustalić, jaki zbiór zmiennych niezależnych w najlepszym stopniu objaśnia zmienną objaśnianą. Wyniki pokazują, że przed wybuchem kryzysu finansowego w 2008 roku spread między stawką POLONIA i stopą referencyjną najlepiej 108Paweł Kliber wyjaśniała sytuacja płynnościowa. Po rozpoczęciu kryzysu wzrosło znaczenie oczekiwań dotyczących przyszłych stóp procentowych.Słowa kluczowe: polityka monetarna, stawka POLONIA, stopy międzybankowe, dynamiczne uśrednianie modeli, płynność na rynku międzybankowym.

The classical models used for the construction of an investment portfolio do not take into account the fundamental values of the companies in question. The model of a fundamental portfolio adds this dimension to the classical criteria of profitability and risk. It is assumed that an investor selects stocks according to their attractiveness measured by some fundamental values of companies. In the paper the authors propose an analytical solution of the optimization problem of constructing a fundamental portfolio and present empirical examples of the calculation of fundamental portfolios of stocks listed on the Warsaw Stock Exchange.