Are treasury debt instruments still attractive to foreign investors? Poland – a case study based on ATM and ATR indicators

Tomasz Uryszek; Agnieszka Kłysik-Uryszek

doi:10.18778/2082-4440.30.02

Authors

Tomasz Uryszek University of Łódź, Faculty of Economics and Sociology, Department of Banking
Agnieszka Kłysik-Uryszek University of Łódź, Faculty of Economics and Sociology, Department of International Trade

DOI:

https://doi.org/10.18778/2082-4440.30.02

Keywords:

sovereign debt, foreign investors, Polish Treasury securities, public debt management

Abstract

The article’s primary goal is to investigate foreign investors’ activity on the Polish primary debt instruments market in light of the public debt management strategy. We wanted to check the scale of investors’ response to the authorities’ policy in the sovereign debt area. The article consists of five parts. We started with the introduction, followed by a literature review. We then described the research method and data, as well as the empirical discussion.We based our study mostly on the average time to maturity (ATM) and average time to refixing (ATR) indexes. The most important findings, concluding remarks, and policy implications are presented in the last part of the paper. The study’s general outcomes show that despite the deterioration of the State Treasury debt instruments’ overall characteristics targeted to foreign investors, Polish sovereign debt papers remained attractive to buy. It was mostly due to the still relatively low refinancing and interest rate risks for debt denominated in foreign currencies.

References

Ahlquist, J.S. (2006). Economic Policy, Institutions, and Capital Flows: Portfolio and Direct Investment Flows in Developing Countries, “International Studies Quarterly”, 50(3): 681–704.
Google Scholar DOI: https://doi.org/10.1111/j.1468-2478.2006.00420.x

Arslanalp, S., Tsuda, T. (2014). Tracking Global Demand for Advanced Economy Sovereign Debt, “IMF Economic Review”, 62(3): 430–464.
Google Scholar DOI: https://doi.org/10.1057/imfer.2014.20

Barro, R.J. (1989). The Ricardian approach to budget deficits, “Journal of Economic Perspectives”, 3(2): 37–54.
Google Scholar DOI: https://doi.org/10.1257/jep.3.2.37

Bitzenis, A., Žugić, V. (2014). FDI Motives in the Serbian Manufacturing Sector, “Journal of East-West Business”, 20(1): 1–24.
Google Scholar DOI: https://doi.org/10.1080/10669868.2013.851637

Capasso, S., Neanidis, K. (2019). Domestic or foreign currency? Remittances and the composition of deposits and loans, “Journal of Economic Behavior & Organization”, 160: 168–183.
Google Scholar DOI: https://doi.org/10.1016/j.jebo.2019.01.023

Cazac, D. (2018). Operational Risk Administration – Essential Component of Public Debt Management Efficiency, “Knowledge Horizons”, 10(4): 45–55.
Google Scholar

Fan, J., Arghyrou, M.G. (2013). UK Fiscal Policy Sustainability, 1955–2006, “The Manchester School”, 81(6): 961–991.
Google Scholar DOI: https://doi.org/10.1111/j.1467-9957.2012.02319.x

Garg, R., Dua, P. (2014). Foreign Portfolio Investment Flows to India: Determinants and Analysis, “World Development”, 59: 16–28.
Google Scholar DOI: https://doi.org/10.1016/j.worlddev.2014.01.030

Grover, R., Walacik, M. (2019). Property Valuation and Taxation for Fiscal Sustainability – Lessons for Poland, “Real Estate Management & Valuation”, 27(1): 35–48.
Google Scholar DOI: https://doi.org/10.2478/remav-2019-0004

Grundke, P. (2004). Integrating Interest Rate Risk in Credit Portfolio Models, “Journal of Risk Finance”, 5(2): 6–15.
Google Scholar DOI: https://doi.org/10.1108/eb022982

Hayat, A. (2019). Foreign Direct Investments, Institutional Quality, and Economic Growth, “Journal of International Trade & Economic Development”, 28(5): 561–579.
Google Scholar DOI: https://doi.org/10.1080/09638199.2018.1564064

Ho, H.K., Atkinson, R. (2018). Looking for big ‘fry’: The Motives and Methods of Middle-Class International Property Investors, “Urban Studies”, 55(9): 2040–2056.
Google Scholar DOI: https://doi.org/10.1177/0042098017702826

Kremers, J.J.M. (1989). US Federal Indebtedness and the Conduct of Fiscal Policy, “Journal of Monetary Economics”, 23(2): 219–238.
Google Scholar DOI: https://doi.org/10.1016/0304-3932(89)90049-4

Mackiewicz-Łyziak, J. (2015). Fiscal Sustainability in CEE Countries - the Case of the Czech Republic, Hungary and Poland, “Equilibrium”, 10(2): 53–71.
Google Scholar DOI: https://doi.org/10.12775/EQUIL.2015.013

Martins-da-Rocha, V-.F., Vailakis, Y. (2012). On Ponzi schemes in infinite horizon collateralized economies with default penalties, “Annals of Finance”, 8(4): 455–488.
Google Scholar DOI: https://doi.org/10.1007/s10436-012-0209-y

Matsumura, K., Kakinoki, H. (2014). Portfolio Strategy Optimizing Model for Risk Management Utilizing Evolutionary Computation, “Electronics & Communications in Japan”, 97(8): 45–62.
Google Scholar DOI: https://doi.org/10.1002/ecj.11587

McCallum, B.T. (1984). Are Bond-financed Deficits Inflationary?: A Ricardian Analysis, “Journal of Political Economy”, 92(1): 123–134.
Google Scholar DOI: https://doi.org/10.1086/261211

Minea, A., Villieu, P. (2010). Endogenous growth, government debt and budgetary regimes: a corrigendum, “Journal of Macroeconomics”, 32(2): 709–711.
Google Scholar DOI: https://doi.org/10.1016/j.jmacro.2009.11.003

Neck, R., Sturm, J-.E. (2008). Sustainability of public debt. Cambridge, MA: Massachusetts Institute of Technology Press.
Google Scholar DOI: https://doi.org/10.7551/mitpress/9780262140980.001.0001

Nougayrède, D. (2018). Towards a Global Financial Register? The Case for End Investor Transparency in Central Securities Depositories, “Journal of Financial Regulation”, 4(2): 276–313.
Google Scholar DOI: https://doi.org/10.1093/jfr/fjy003

Pascal, M. (2011). Public Debt Management – Fundamental Component of Public Policy, “Centre for European Studies Working Papers”, 3(4): 571–578.
Google Scholar

Steger, G. (2013). Redirecting public finance towards a sustainable path, “OECD Journal on Budgeting”, 2012(2): 61–67.
Google Scholar DOI: https://doi.org/10.1787/budget-12-5k8zsl7n94s8

Strategia zarządzania długiem sektora finansów publicznych w latach 2019–2022 [Public debt management strategy 2019–2022] (2018), Ministry of Finance, Warsaw. https://www.gov.pl/web/finanse/strategie-zarzadzania-dlugiem (accessed: April 2019).
Google Scholar

Uryszek, T. (2016). Primary Deficit Indicator, Tax Gap, and Fiscal Sustainability – Evidence from Central and Eastern EU Member States, “FINANSE. Czasopismo Komitetu Nauk o Finansach PAN”, 1(9): 103–116.
Google Scholar

Uryszek, T. (2019). Can Fiscal Paths Be Sustainable? Evidence from Poland, “Emerging Markets Finance and Trade”, https://doi.org/10.1080/1540496X.2019.1668768
Google Scholar DOI: https://doi.org/10.1080/1540496X.2019.1668768

Wigger, B.U. (2009). A note on public debt, tax-exempt bonds, and Ponzi games, “Journal of Macroeconomics”, 31(3): 492–499.
Google Scholar DOI: https://doi.org/10.1016/j.jmacro.2008.07.003