Współzależności globalne a kryzysy finansowe - przestrzenne efekty spillovers na rynku dziesięcioletnich obligacji skarbowych

• Autorzy: Dagna Wleklińska

Warianty tytułu

Global Interdependencies and Financial Crises - Spatial Spillover Effects in the Ten-Year Treasury Bond Market

• Języki publikacji: PL

Abstrakty

Cel - Celem artykułu jest ocena przestrzennych efektów spillovers na rynku dziesięcioletnich obligacji skarbowych. Pod rozwagę wzięto, czy czynnikiem indukującym to zjawisko mogą być niekorzystne zmiany poziomu ratingów obligacji. Odległość między poszczególnymi rynkami została skwantyfikowana z wykorzystaniem macierzy odległości ekonomicznej. Metoda badań - W badaniu wykorzystano przestrzenne dynamiczne modele dla połączonych danych przekrojowych i czasowych oraz danych panelowych. Analizie poddano rentowność w okresie do wykupu dziesięcioletnich obligacji skarbowych emitowanych przez czterdzieści krajów. Wnioski - Analiza empiryczna potwierdziła występowanie statystycznie istotnych zależności przestrzennych, nie tylko przez wzgląd na istotność statystyczną parametru autoregresyjnego, ale również istotność przestrzennie przesuniętej zmiennej odzwierciedlającej niekorzystne zmiany ratingu. Oryginalność / wartość / implikacje / rekomendacje - Rozszerzenie analiz dotyczących zjawiska zarażania na rynku finansowym o aspekt przestrzeni daje możliwość lepszego zrozumienia wzorców przyczynowo-skutkowych zależności istotnych z punktu widzenia przeciwdziałania ryzyku systemowemu na, jakie narażone są gospodarki międzynarodowe. (abstrakt oryginalny)

EN

Purpose - The purpose of the article is the assessment of the spatial spillover effects in the ten-year treasury bond market. It was considered whether unfavorable changes in bond ratings could be a factor inducing this phenomenon. The distance between individual markets was quantified using a matrix based on economic distance. Research method - In the study the spatial dynamic models for pooled-time series, cross-sectional and panel data has been used. The analysis covers the yield to maturity of ten-year treasury bonds issued by forty countries. Results - The empirical analysis confirmed the existence of statistically significant spatial dependencies, not only due to the statistical significance of the autoregressive parameter, but also the significance of the spatially shifted variable reflecting unfavorable changes in the rating. Originality / value / implications / recommendations - Extending the analyzes of the contagion phenomenon in the financial market to include the aspect of space provides an opportunity to better understand the patterns of cause and effect relationships that are important from the point of view of counteracting the systemic risk to which international economies are exposed. (original abstract)

Słowa kluczowe

PL

Efekty zewnętrzne; Modele panelowe; Kryzys finansowy; Obligacje

EN

Spillover effects; Panel model; Financial crisis; Bonds

• Czasopismo: Optimum : studia ekonomiczne
• Rocznik: 2024
• Numer: nr 1 (115)
• Strony: 184--200

Twórcy

autor

Dagna Wleklińska

• Uniwersytet Kazimierza Wielkiego w Bydgoszczy

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Identyfikatory

DOI

10.15290/oes.2024.01.115.09