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Chosen measures for pricing liquidity

100%
Dziwok E.
Prace Naukowe Uniwersytetu Ekonomicznego we Wrocławiu
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2017
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issue 482
29-35
EN
The financial crisis of the years 2007-2009 showed that especially liquidity risk was underestimated or was not taken seriously into account. The existing liquidity measures proved to be inadequate or incorrectly used. For this reason, the alternative measures should be considered. The aim of the article is to investigate specific liquidity measures using a sample of daily data. The attention is focused in particular on the yield curve fitting error, precisely on the root mean squared error. The analysis covers the time series of errors calculated from daily WIBOR data and yield curve construction using two types of parametric models – Nelson- -Siegel and Svensson. By employing the selected liquidity measures on the Polish financial market, one can find evidence of its changing level in case of market disturbances.
2

Long-Term Borrowing and Intergenerational Redistribution of Public Debt. The Case of Central and Eastern EU Member States

100%
Uryszek T.
Przedsiębiorczość i Zarządzanie
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2015
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vol. 16
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issue 1
197-210
EN
The paper analyses the burden on the future generation resulting from the need to repay public debt in Central and Eastern EU Member States. The main theme is accompanied by the following research hypothesis: imbalance in public finances makes public authorities use long-term government securities more intensely. The hypothesis was verified based on the analysis of statistical data from Eurostat, European Central Bank and the OECD.
3

Term Structure of Public Debt and Refinancing Risk in the Economic and Monetary Union

88%
Uryszek T.
Folia Oeconomica Stetinensia
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2012
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vol. 10
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issue 1
66-77
EN
As public debt is an important factor influencing most countries' economies, the debt management seems to be crucial for the economy. Risk identification and minimizing is considered to be the most important aim of the debt management process, especially during economic slowdowns or crises. The main goal of the article is to assess the term structure and the level of refinancing risk in the in the Economic and Monetary Union (EMU) as a whole and in chosen EMU member states in particular. Refinancing risk is affected by the term structure of public debt. To monitor the level of this type of risk, not only the original maturity should be taken into account, but the residual maturity as well. Since the beginning of changes on the markets caused by the crisis, the volume of short-term public liabilities in the EMU countries has increased significantly, as well as the value of "debt to GDP" ratio. This could contribute to the overall increase in the level of refinancing risk. High share of short-term instruments in the structure of public debt in some EMU member states can cause problems with liquidity and solvency of their budgets. However, as an average, long-term instruments were mostly used to cover the financial needs of public sector in the EMU.
4
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A Comparative Analysis of the Expectations Hypothesis of the Term Structure of Interest Rates between the BRICS and G7 Countries

63%
Muzindutsi P. F., Mposelwa S.
Comparative Economic Research. Central and Eastern Europe
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2021
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vol. 24
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issue 2
87-102
PL
W artykule dokonano analizy zdolności predykcyjnej hipotezy oczekiwań struktury terminowej stóp procentowych w krajach BRICS i G7, porównując miesięczną stopę oprocentowania trzymiesięcznych bonów skarbowych każdego kraju ze stopami oprocentowania 10‑letnich obligacji skarbowych w okresie od maja 2003 do maja 2018. Model panelowy ARDL, wykorzystujący estymatory Mean Group (MG), Pooled Mean Group (PMG) i estymatory modelu dynamicznego z efektami stałymi (DFE), posłużył do porównywania krótko‑ i długookresowych relacji w obu grupach krajów. Wyniki pokazują, że hipoteza oczekiwań jest prawdziwa zarówno dla grupy krajów BRICS, jak i G7. W dłuższej perspektywie krótkoterminowa stopa procentowa pozwala przewidzieć długoterminową stopę procentową zarówno w krajach BRICS, jak i G7. Stopy procentowe w krajach BRICS wskazują na szybką korektę i powrót do długookresowej równowagi, podczas gdy w bloku G7 korekta następuje powoli. Powolne dostosowywanie się do równowagi w krajach grupy G7 sugeruje, że kryzys finansowy wpłynął na strukturę terminową stóp procentowych gdyż kraje G7 zostały bezpośrednio dotknięte kryzysem.
EN
This paper examines the predictive ability of the expectations hypothesis of the term structure of interest rates in the BRICS and G7 countries by relating each country’s monthly 3‑month Treasury bill rate to 10‑year government bond rates, from May 2003 to May 2018. The panel ARDL model, applying the mean group (MG), pooled mean group (PMG), and dynamic fixed effects (DFE) estimators, is employed to compare the short‑ and long‑run relationships in both groups of countries. The results show that the expectations hypothesis holds in both BRICS and G7 country groups. In the long run, the short‑term interest rate is able to predict the long-term interest rate in both the BRICS and G7 countries. Interest rates in BRICS indicate rapid adjustment back to the long‑run equilibrium, while the adjustment is sluggish in the G7 block. Based on the findings of the study, the sluggish adjustment to the equilibrium in the G7 gives the impression that the financial crisis had an impact on the term structure of interest rates as the G7 countries were directly affected by the crisis.
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