The Impact of Central Bank Reference Rates on Market Interest Rates in Poland

This study aims to determine the influence of the National Bank of Poland’s (NBP) reference interest rate on the 3M and 6M WIBOR levels. The research hypothesis posits that the base interest rates are a primary determinant of WIBOR levels. The article employs Granger causality tests and an ARDL model to identify which macroeconomic variable most significantly affects the WIBOR 3M and 6M rates. ARDL model results unequivocally suggest that the WIBOR level is primarily influenced by the NBP’s reference interest rate, showing a positive and statistically significant impact. Conversely, Granger causality tests indicate that historical reference interest rate cannot be used to forecast the 3M and 6M WIBOR levels. This could be attributed to the possibility that expectations regarding future interest rates might influence the WIBOR level rather than historical data.