Analiza przyczynowości i efekt zarażania na rynku obligacji skarbowych

Paweł Sekuła

doi:10.18778/2082-4440.30.04

Authors

Paweł Sekuła Uniwersytet Łódzki, Wydział Zarządzania, Katedra Zarządzania Finansami Przedsiębiorstwa

DOI:

https://doi.org/10.18778/2082-4440.30.04

Keywords:

bond market, contagion effect, Granger causality, financial crisis

Abstract

The paper examines relationships between selected treasury bond market in Europe. The study focuses on two periods: from January 2006 to December 2018 and from January 2010 to December 2013. For the first period bivariate vector autoregressive model was used with weekly data. The empirical results indicated bidirectional relationships for developed markets and unidirectional causality for Greece and Central Europe. The second period concerns the crisis of public finances in Greece. In this case, the aim of the study was to determine the so-called contagion effect in treasury bonds market. The analysis confirmed the contagion effect for countries with low credit ratings.

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