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Author
Przekota Grzegorz (Politechnika Koszalińska), Rembeza Jerzy (Politechnika Koszalińska)
Title
Powiązania długookresowych stóp procentowych w krajach Unii Europejskiej
Relationships of Long-Term Interest Rates in European Union Countries
Source
Finanse, Rynki Finansowe, Ubezpieczenia, 2018, nr 4, cz. 2, s. 75-89, tab., bibliogr. 27 poz.
Issue title
Rachunkowość w zarządzaniu jednostkami gospodarczymi
Keyword
Stopa procentowa, Obligacje, Kointegracja, Rating
Interest rate, Bonds, Cointegration, Rating
Note
streszcz., summ.
Company
Unia Europejska (UE)
European Union (EU)
Abstract
Cel - Określenie poziomu i zróżnicowania stóp procentowych w krajach Unii Europejskiej ze względu na przynależność kraju do strefy euro oraz rating. Określenie powiązań między stopami procentowymi w krajach Unii Europejskiej wraz z oceną wpływu niemieckich stóp procentowych na krajowe stopy procentowe. Metodologia badania - Badaniu poddano stopy procentowe wyliczone na bazie 10-letnich obligacji skarbowych na podstawie danych udostępnionych przez Europejski Bank Centralny. W ocenie poziomu i zróżnicowania stóp procentowych korzystano z metod statystyki opisowej oraz analizy wariancji. Powiązania między stopami procentowymi badano przy użyciu współczynnika korelacji oraz testów punktów przełamań szeregów czasowych. Wpływ niemieckich stóp procentowych na stopy krajowe badano przy użyciu modeli ARDL, testów powiązań długookresowych oraz modeli ECM. Wynik - Ustalono silne powiązania korelacyjne między stopami procentowymi w krajach Unii Europejskiej, jednak nie można mówić o długookresowej równowadze. Wpływ niemieckich stóp procentowych na stopy procentowe w pozostałych krajach jest ograniczony. Długookresowa równowaga ze stopami niemieckimi charakteryzowała tylko kilka krajów. Oryginalność/wartość - Skonfrontowano wyniki powiązań korelacyjnych z testami przełamań, co pozwala lepiej interpretować wyniki korelacji. Ustalono ograniczony wpływ stóp procentowych w Niemczech na stopy procentowe większości państw Unii Europejskiej. Oznacza to, że mimo daleko posuniętej integracji państw polityka fiskalna wciąż prowadzona jest bardziej niezależne. (abstrakt oryginalny)

Purpose - Determination of the level and differentiation of interest rates in the European Union countries due to the country's membership in the euro area and the rating. Determination of links between interest rates in European Union countries together with an assessment of the impact of German interest rates on domestic interest rates. Design/methodology/approach - The interest rates calculated on the basis of 10-year treasury bonds were subject to the study. Data provided by the European Central Bank. In the assessment of the level and differentiation of interest rates, methods of descriptive statistics and analysis of variance were used. Relationships between interest rates were examined using a correlation coefficient and breakpoint tests of time series. The impact of German interest rates on domestic rates was examined using ARDL models, long-term link tests and ECM models. Findings - Strong correlation relations between interest rates in the European Union countries have been established, but one can not talk about long-term equilibrium. The influence of German interest rates on interest rates in other countries is limited. Only a few countries were characterized by long-term equilibrium with German rates. Originality/value - The results of correlation relationships with break tests were compared, which allows better interpretation of correlation results. A limited influence of interest rates in Germany on interest rates in most of the European Union countries was established. This means that despite the far-reaching integration of countries, fiscal policy is still being pursued more independent. (original abstract)
Accessibility
The Library of Warsaw School of Economics
The Library of University of Economics in Katowice
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Bibliography
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Cited by
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ISSN
2450-7741
Language
pol
URI / DOI
http://dx.doi.org/10.18276/frfu.2018.94/2-06
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