Czynniki ryzyka rynku kapitałowego w Polsce

• Autorzy: Piotr Wdowiński , Daniel Wrzesiński

Warianty tytułu

Risk Factors of Capital Market in Poland

• Języki publikacji: PL

Abstrakty

Autorzy podjęli próbę określenia czynników mających wpływ na poziom ryzyka rynku kapitałowego w Polsce w latach 1996-2002. Zaproponowali alternatywne podejście do kwestii modelowania ryzyka rynku kapitałowego. Sformułowali hipotezę, że na kształtowanie się poziomu ryzyka rynku kapitałowego w Polsce wpływ mają czynniki monetarne i realne, wyrażające poziom rozwoju gospodarczego Polski, do których należą: stopa procentowa, kurs walutowy złotego, dochód, wydajność pracy, saldo bilansu handlowego i deficyt budżetowy.

EN

In the paper we analyze risk factors of the capital market in Poland in the monthly period 1996-2002. The capital market risk is measured as a time-varying BETA paramele estimated in a regression of the Warsaw stock indexes (WIG and WIG20 separately) on major foreign stock market indexes (Dow Jones, NASDAQ, DAX and FTSE). The individu; monthly BETA parameters time series are computed as a structural regression parameli estimated for daily data in monthly sub-periods in regressions for WIG and WIG20 indexes on individual foreign stock market indexes. The BETA risk time series is an average ( monthly individual BETA parameters. We put forward a hypothesis that the estimated BET risk depends on monetary and real variables expressing the economic performance of the Polish economy. Hence, we build monetary and real factors models. As risk explanatory factors, we examine income, productivity, trade balance, budget deficit, interest rate and the zloty exchange rate. The risk factors are expressed as differentials relative to the world economy for which stands the US economy. According to Fair and Shiller (1990), we te for relative one-period ahead predictive performance of monetary and real factors models capital market risk in Poland in the period 1999-2002. We find that monetary variables exchange rate and interest rate have relatively more power than real variables in explaining the capital market risk in Poland. (original abstract)

Słowa kluczowe

PL

Rynek kapitałowy; Analiza ryzyka; Modele ekonometryczne; Prognozy gospodarcze

EN

Capital market; Risk analysis; Econometric models; Economic forecast

• Czasopismo: Acta Universitatis Lodziensis. Folia Oeconomica
• Rocznik: 2004
• Tom: 177 Rynki finansowe, prognozy a decyzje
• Strony: 23--41

Twórcy

autor

Piotr Wdowiński

autor

Daniel Wrzesiński

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