The article presents results of the research for the relationship between the changes in bond yields and FRA rates. The established models check not only the strength of relationship, but also show the causality of changes at the both markets.

The intuition suggests that long-term interest rates at the bond market should fix into term FRA rates (because they represent expected short-term interest rates). The empirical research generates the opposite direction at the financial market in Poland. There can be considered a few sources of such behaviour. First, we can see differences in investment horizon. It is longer for the dealers at the bond market and the bond market is much more liquid. The size of "gravity" of the bond market influences the benchmarks at other interest rate instruments markets.

Research results show that there existed and exists arbitrage possibilities between bond and FRA markets. However, the analysis proves that recently the arbitrage spread has gradually narrowed and the time to perform the arbitrage has shortened. It allows observing the growing effectiveness of the Polish interest rate market.