BazEkon - The Main Library of the Cracow University of Economics

BazEkon home page

Main menu

Author
Kravchuk Igor (Tarnopolski Narodowy Uniwersytet Ekonomiczny; Uniwersytet Warszawski, staż habilitacyjny)
Title
Indeks stresu na rynku zbywalnych instrumentów finansowych w Polsce
Stress Index in the Negotiable Financial Instruments Market in Poland
Source
Problemy Zarządzania, 2017, vol. 15, nr 1 (66), cz. 2, s. 193-206, tab., rys., bibliogr. 29 poz.
Issue title
Zarządzanie ryzykiem instytucji finansowych
Keyword
Stabilność finansowa, Płynność rynku, Model GARCH, Rynek akcji, Rynek papierów wartościowych, Papiery dłużne, Rynek instrumentów pochodnych, Warszawski Indeks Giełdowy (WIG)
Financial sustainability, Market liquidity, GARCH model, Equity market, Securities market, Debt securities, Derivatives market, Warsaw Stock Exchange Index
Note
JEL Classification: C43, G01, G10
summ., streszcz.
Abstract
Celem badania jest weryfikacja zakłóceń na rynku zbywalnych instrumentów finansowych w Polsce na podstawie szacunków kompozytowego indeksu stresu, który obejmuje wskaźniki dotyczące rynku akcji (zmienność, płynność, CMAX na podstawie indeksu giełdowego WIG), rynku obligacji (zmienność rentowności 10-letnich obligacji skarbowych, ich płynność, spread suwerenny oraz krzywej rentowności) i rynku derywatów (zmiana liczby otwartych pozycji oraz wolumenu na rynku kontraktów terminowych i opcji). Przeprowadzona analiza wartości indeksu w latach 2007-2015 potwierdza skuteczność indeksu stresu (FIMSI) w rozpoznaniu zakłóceń na rynku (kiedy wartość indeksu przekracza trend długoterminowy więcej niż o jedno odchylenie standardowe). (abstrakt oryginalny)

The aim of the study is to verify the turbulence in the negotiable financial instruments market in Poland, by evaluating the composite stress index, which includes indicators concerning the stock market (volatility, liquidity, CMAX based on stock index WIG), the bond market (volatility of 10-year Treasury bonds, their liquidity, the sovereign spread and the yield curve spread) and the derivatives market (the change in the number of open positions and volume in the futures and options market). The analysis of index values for the years 2007-2015 confirms the robustness of the stress index (FIMSI) in the diagnosis of stresses in the market (when the index value exceeds the long-term trend by more than 1 standard deviation). (original abstract)
Accessibility
The Main Library of the Cracow University of Economics
The Library of University of Economics in Katowice
The Main Library of Poznań University of Economics and Business
Full text
Show
Bibliography
Show
  1. Aspachs, O., Goodhart, C., Tsomocos, D. i Zicchino, L. (2007). Towards a Measure of Financial Fragility. Annals of Finance, (3), 37-74, http://doi.org/10.1007/s10436-006- 0061-z.
  2. Baker, K. (1996). Trading Location and Liqudity: An Analysis of U.S. Dealer and Agency Markets for Common Stocks. Financial Markets, Institutions and Instruments, 5(4).
  3. Balakrishnan, R., Danninger, S., Elekdag, S. i Tytell, R. (2009). The Transmission of Financial Stress from Advanced to Emerging Economies. IMF Working Paper, (133).
  4. Borio, C. (2004). Market Distress and Vanishing Liquidity: Anatomy and policy Options. BIS Working Papers, (154), http://dx.doi.org/10.2139/ssrn.781228.
  5. Borio, C. i Lowe, P. (2002). Asset Prices, Financial and Monetary Stability: Exploring the Nexus. BIS Working Papers, (114), http://dx.doi.org/10.2139/ssrn.846305.
  6. Borio, C. i Lowe, P. (2004). Securing Sustainable Price Stability: Should Credit Come Back from the Wilderness? BIS Working Papers, (157), http://dx.doi.org/10.2139/ssrn.782324.
  7. Cardarelli, R., Elekdag, S. i Lall, S. (2011). Financial Stress and Economic Contractions. Journal of Financial Stability, (7), 78-97, http://dx.doi.org/10.1016Zj.jfs.2010.01.005.
  8. Duprey, T., Klaus, B. i Peltonen, T. (2015). Dating Systemic Financial Stress Episodes in the EU Countries. ECB Working Paper Series, (1873).
  9. ECB. (2009). Financial Stability Review. Frankfurt am Main.
  10. Estrella, A. i Mishkin, F. (1996). The Yield Curve as a Predictor of U.S. Recessions. Federal Reserve Bank of New York. Current Issues in Economics and Finance, 2(7), 1-6, http://dx.doi.org/10.2139/ssrn.1001228.
  11. Hakkio, C. i Keeton, W. (2009). Financial Stress: What Is It, How Can It Be Measured, and Why Does It Matter? Economic Review, (Q II), 5-50.
  12. Hasbrouck, J. i Schwartz, R. (1988). Liquidity and Execution Costs in Equity Markets. Journal of Portfolio Management, 14(3), 10-16, http://dx.doi.org/10.3905/jpm.1988.409160.
  13. Hodrick, R. i Prescott, E. (1997). Postwar U.S. Business Cycles: An Empirical Investigation. Journal of Money, Credit and Banking, 29(1), 1-16, http://dx.doi.org/10.2307/2953682.
  14. Holló, D., Kremer, M., i Lo Duca, M. (2012). CISS - A Composite Indikator Of Systemic Stress In The Financial System. ECB Working Paper Series, (1426).
  15. Illing, M. i Liu, Y. (2003). An Index of Financial Stress for Canada. Bank of Canada Working Paper, (14).
  16. Islami, M. i Kurz-Kim, J.-R. (2013). A Single Composite Financial Stress Indicator and Its Real Impact in the Euro Area. Bundesbank Discussion Paper, (31).
  17. Kliesen, K., Owyang, M. i Vermann, K. (2012). Disentangling Diverse Measures: A Survey of Financial Stress Indexes. Federal Reserve Bank of St. Louis Review, 94(5), 369-397.
  18. Kliesen, K. i Smith, D. (2010). Measuring Financial Market Stress. Federal Reserve Bank of St. Louis, Economic Synopses, (2).
  19. Liu, S. i Yiu, K. (2013). Estimation of Monthly Volatility: An Empirical Comparison of Realized Volatility, GARCH and ACD-ICV Methods. Research Collection School Of Economics. Pozyskano z: http://ink.library.smu.edu.sg/soe_research/1476 (12.07.2016).
  20. Lo Duca, M. i Peltonen, T. (2011). Macro-financial Vulnerabilities And Future Financial Stress. Assessing Systemic Risk And Predicting Systemic Events. ECB Working Paper Series, (1311).
  21. Louzis, D. i Vouldis, A. (2013). A Financial Systemic Stress Index for Greece. ECB Working Paper Series, (1563).
  22. Nelson, R. i Perli, R. (2006). Selected Indicators of Financial Stability. IFC Bulletin, (23), 92-106.
  23. Oet, M., Dooley, J. i Ong, S. (2015). The Financial Stress Index: Identification of Systemic Risk Conditions. Risks, (3), 420-444, http://doi.org/10.3390/risks3030420.
  24. Park, C.-Y. i Mercado, R. (2013). Determinants of Financial Stress in Emerging Market Economies. ADB Economics Working Paper Series, (356), http://dx.doi.org/10.2139/ ssrn.2588983.
  25. Patel, S. i Sarkar, A. (1998). Crises in Developed and Emerging Stock Markets. Financial Analysts Journal, 54(6), 50-61, http://dx.doi.org/10.2469/faj.v54.n6.2225.
  26. Sarr, A. i Lybek, T. (2002). Measuring Liquidity in Financial Markets. IMF Working Paper, (232).
  27. Schinasi, G. (2004). Defining Financial Stability. IMF Working Paper, (187), http://dx.doi. org/10.5089/9781451859546.001.
  28. Slingenberg, J. i De Haan, J. (2011). Forecasting Financial Stress. DNB Working Paper, (292), http://dx.doi.org/10.2139/ssrn.1951800.
  29. Vermeulen, R., Hoeberichts, M., Vasfcek, B., Zigraiova, D., Smfdkova, K. i De Haan, J. (2015). Financial Stress Indexes and Financial Crises. Open Economies Review, 26(3), 383-406, http://doi.org/10.1007/s11079-015-9348-x.
Cited by
Show
ISSN
1644-9584
Language
pol
URI / DOI
http://dx.doi.org/10.7172/1644-9584.66.12
Share on Facebook Share on Twitter Share on Google+ Share on Pinterest Share on LinkedIn Wyślij znajomemu