Czynniki kształtujące Bond Spread polskich obligacji skarbowych

• Autorzy: Grzegorz Waszkiewicz

Warianty tytułu

Determinants of Polish Sovereign Bond Spread

• Języki publikacji: PL

Abstrakty

Celem artykułu jest określenie, które z fundamentalnych determinant bond spread, ujmowanych w literaturze przedmiotu, mają kluczowy wpływ na wielkość premii za ryzyko wkomponowanej w rentowność polskich obligacji skarbowych. Dążąc do wyjaśnienia tak zdefiniowanego problemu badawczego, w prezentowanym szkicu posłużono się metodą analizy dostępnych wyników badań teoretycznych i empirycznych do wyodrębnienia i scharakteryzowania kluczowych czynników bond spread. Następnie czynniki te poddano weryfikacji ekonometrycznej przy użyciu Klasycznej Metody Najmniejszych Kwadratów, obejmując nią wartości premii za ryzyko polskich 10-letnich obligacji skarbowych w okresie 2003-2012. Konkluzje płynące z przeprowadzonego badania potwierdzają wyniki literatury światowej z ostatnich lat. Wartość bond spread polskich obligacji skarbowych jest determinowana w głównej mierze wiarygodnością kredytową kraju (i), globalną awersją do ryzyka ze strony inwestorów (ii) oraz płynnością krajowego rynku dłużnych papierów skarbowych (iii).(abstrakt oryginalny)

EN

The aim of this article is to determine which of the fundamental bond spread's drivers described in the international literature have the largest effect on risk premium of Polish sovereign bonds. Firstly, empirical and theoretical research was reviewed in order to identify and present key variables. Secondly, econometric analysis using least square regression was conducted. The findings support the propositionsof the worldwide literature in this field. Bond spread of Polish sovereign bonds is determined predominantly by (i) creditworthiness, (ii) global risk aversion, and (iii) liquidity of governmental bonds market. (original abstract)

Słowa kluczowe

PL

Obligacje; Obligacje skarbowe; Premia za ryzyko; Metoda najmniejszych kwadratów

EN

Bonds; Treasury bond; Risk premium; Least squares method

• Czasopismo: Studia Ekonomiczne / Polska Akademia Nauk. Instytut Nauk Ekonomicznych
• Rocznik: 2014
• Numer: nr 2 (81)
• Strony: 225-242

Twórcy

autor

Grzegorz Waszkiewicz

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