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Zmienność komponentu upadłościowego marży wskutek zachwiania stabilności finansowej

100%

Niedziółka P.

Gospodarka Narodowa. The Polish Journal of Economics

2009

tom 234

nr 9

67-86

The paper aims to identify factors determining the level of spread in light of the latest theories. The author examines theories related to spread by classifying individual concepts into several categories and looks at theoretical approaches in the context of the latest financial crisis on the U.S. market. Niedziółka checks to what extent the breakdown of spread at a time of financial instability testifies to its “decomposition” on the basis of data collected before the crisis. The study makes use of rating agency data on the probability of default depending on the rating. The author also uses rating transition matrices and the theory of Markow chains to determine the share of the default component in spread identified as the difference between the profitability of corporate and Treasury securities. The main advantage of this method is that it adopts a realistic assumption about a gradual change in the quality of debt in a given time period, Niedziółka says. Considering the limitations linked with the use of the rating transition matrix mentioned in the article, the results of research into the structure of spread at a time of financial instability lead the author to formulate the following conclusions: 1) In accordance with the heuristic approach, the share of the default component is subject to reduction in favor of the liquidity component even though the default factor increases in absolute terms; 2) An increase in the volatility of spread is chiefly determined by the liquidity factor; 3) The proportion of the default component increases with the maturity of bonds; however in each case the share of the default component in spread during a period of financial instability is lower than during a period of financial stability.

Uprawnienia kredytobiorcy zaciągającego kredyt denominowany lub indeksowany do waluty innej niż polska w świetle ustawy antyspreadowej

88%

Paleczna M. , Rutkowska-Tomaszewska E.

Ekonomia. Wrocław Economic Review

2018

tom 24

nr 1

39 - 56

In 2004–2008 banks offered consumer denominated loan in a foreign currency, which was a competitive position in relation to a PLN credit facility. Banks had not informed about foreign exchange differences, therefore had caused increase in household indebtedness. Banks also had reserved that consumer has to buy currency only from the bank-lender. In 2011 the Anti-spread Act was adopted, which amended banking law and consumer credit law. Creditors were obligated to inform consumer about rules of determining the manners and dates of fixing the currency exchange rate on the basis of which in particular the amount of credit, its tranches and principal and interest instalments are calculated, and the rules of converting into the currency of credit disbursement or repayment. That information and information about the rules of opening and operating the account shall be concluded in a credit contract. Borrower can repay principal and interest instalments and prepay the full or partial amount of the loan directly in that currency.

Analiza wpływu utrzymania i zmian ocen ratingowych na wysokość spreadu kredytowego na przykładzie polskiego rynku obligacji przedsiębiorstw w latach 2010-2017

63%

Orzechowski A.

Zeszyty Naukowe Uniwersytetu Ekonomicznego w Krakowie

2018

nr 6(978)

23-39

Celem artykułu jest określenie wpływu utrzymania i zmian ratingów kredytowych formułowanych przez agencję ratingową Moody’s na wysokość spreadu kredytowego na polskim rynku długu przedsiębiorstw w latach 2010–2017. Podstawowym powodem podejmowanych działań jest próba oceny, czy polski rynek długu jest efektywny w sensie informacyjnym w odniesieniu do wiadomości rynkowych, takich jak podniesienie, utrzymanie lub obniżenie ratingu. Wykorzystywana metodyka opiera się na standardowej procedurze analizy zdarzeń. Wyniki przeprowadzonych badań nie są jednoznaczne, gdyż z jednej strony wskazują na poprawną reakcję wysokości spreadu kredytowego na zmiany ocen ratingowych, z drugiej zaś otrzymane rezultaty nie znajdują potwierdzenia w testach istotności statystycznej.

The purpose of the article is to determine the impact of maintaining and changing credit ratings formulated by the Moody’s rating agency on the credit spread on the Polish debt market in the period 2010–2017. It seeks to draw conclusions on the efficiency of the Polish debt market with respect factors including raising, maintaining at the current level or lowering the rating. The methodology used in the paper is based on the standard procedure for studying events. The results of the conducted research are not unequivocal. While they indicate a correct response of the credit spread to changes in the credit ratings, the results obtained are not confirmed by statistical significance tests.