Powiązania długookresowych stóp procentowych pomiędzy rynkiem niemieckim a wybranymi rynkami krajów Europy Środkowej i Północnej

• Autorzy: Jerzy Rembeza , Grzegorz Przekota

Warianty tytułu

Relationships between Long-Term Interest Rates in Germany and Central and North European Countries

• Języki publikacji: PL

Abstrakty

W artykule wykorzystano dane Europejskiego Banku Centralnego (EBC) dotyczące długookresowych stóp procentowych o miesięcznej częstotliwości (średnie miesięczne prezentowane w skali roku) obejmujące lata 2001-2017. Odnoszą się one do 10-letnich obligacji rządowych. Analizą objęto 9 krajów Europy Środkowej i Północnej. Spośród nich 4 - Austria, Finlandia, Niemcy i Słowacja - są członkami strefy euro, a 5 - Czechy, Dania, Polska, Szwecja i Węgry - to kraje spoza strefy euro. Istotnym wyróżnikiem znajdującej się w drugiej grupie Danii jest funkcjonowanie w systemie ERM II. W przeprowadzonych analizach określono długookresowe i krótkookresowe powiązania pomiędzy stopami procentowymi w tych krajach a stopami niemieckimi. Na tej podstawie starano się odpowiedzieć na pytania: Czy obecność danego kraju w strefie euro lub ERM II wpływa na powiązania z niemieckim rynkiem stóp procentowych? Jak silna jest reakcja krajowych rynków stóp procentowych na zmiany stóp procentowych w Niemczech?(fragment tekstu)

EN

The Treasury bond market has an important role in the public finance policy. It determines the cost of public debt capital, but also affects the functioning of enterprises. Transferring impulses between the bond markets is one of the research elements. In Europe, shaping of German bond quotations is used as the basis for comparison for analyses of domestic bond markets. A similar conviction used in this work. Based on the data of the European Central Bank regarding long-term interest rates with a monthly frequency covering the years 2001-2017, the interest rate connections in 9 European countries were sought. In particular, the problem of belonging to the euro area was considered. The analysis used the identification of turning points, integration and ECM modeling. Research has shown that interest rates are characterized by similar trends, but they can not be considered long-term relationships. This is especially true for countries outside the euro area.(original abstract)

Słowa kluczowe

PL

Obligacje skarbowe; Rynki finansowe; Stopa procentowa

EN

Treasury bond; Financial markets; Interest rate

• Czasopismo: Przedsiębiorczość i Zarządzanie
• Rocznik: 2018
• Numer: t. 19, z. 4, cz. 2 Szanse i zagrożenia dla gospodarki europejskiej XXI wieku
• Strony: 305--320

Twórcy

autor

Jerzy Rembeza

• Politechnika Koszalińska

autor

Grzegorz Przekota

• Politechnika Koszalińska

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