Finanse, Rynki Finansowe, Ubezpieczenia

Previously: Zeszyty Naukowe Uniwersytetu Szczecińskiego. Finanse, Rynki Finansowe, Ubezpieczenia


ISSN: 2450-7741    OAI    DOI: 10.18276/frfu.2018.94/2-06
CC BY-SA   Open Access 

Issue archive / 4/2018
Powiązania długookresowych stóp procentowych w krajach Unii Europejskiej
(Relationships of long-term interest rates in European Union countries)

Authors: Grzegorz Przekota ORCID
Politechnika Koszalińska, Wydział Nauk Ekonomicznych

Jerzy Rembeza
Keywords: bonds euro area rating cointegration
Data publikacji całości:2018
Page range:15 (75-89)
Klasyfikacja JEL: E43 E44
Cited-by (Crossref) ?:

Additional information

Artykuł po konferecji "Rynek kapitałowy. Skuteczne inwestowanie".

Abstract

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.
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