magistrsko delo
Gabrijela Konrad (Avtor), Vita Jagrič (Mentor)

Povzetek

Že od same ustanovitve Evropske monetarne unije in uvedbe evra kot skupne valute so finančni trgi zanemarjali kreditna tveganja, premalo pozornosti so namenjali makroekonomskim podatkom posamezne države. Vrsto let so se države zadolževale in povečevale javni dolg kljub visokim, nekatere z nevzdržnimi proračunskimi primanjkljaji, s strukturnimi reformami se je odlašalo. Evropska unija je imela postavljena merila in smernice za nadzorovanje javnih financ, vendar brez enotne fiskalne unije nima instrumentov za ukrepanje. Šele v globalni finančni in kasneje dolžniški krizi se je resnost nastale makroekonomske situacije odrazila na razmikih v donosnostih posameznih držav, finančni trgi so se večkrat odzvali panično, zaradi česar je prišlo do pretiranega povišanja razmikov, kar je v nekaterih primerih, celo državam, onemogočilo dostop do finančnih virov na trgu. Potrebni so bili ukrepi institucij EU, na eni strani za rešitev nastalih težav v finančnem sistemu, na drugi strani za rešitev javnih financ posameznih držav. Evropska centralna banka je odigrala največjo vlogo pri posredovanju na trgih, najprej se je na spremenjene razmere odzvala z zniževanjem ključne obrestne mere, kasneje zaradi kreditnega krča še z drugimi nestandardnimi ukrepi monetarne politike. Z neposrednim odkupom vrednostnih papirjev od poslovnih bank je želela povečati kreditno aktivnost. Po začetnih odkupih, ki so dosegali do 10 mrd evrov mesečno, je januarja 2015 trge šokirala z napovedjo odkupov v višini 60 mrd evrov mesečno. V empiričnem delu magistrskega dela je s pomočjo statističnih metod na vzorcu 14 držav evroobmočja in v časovnem obdobju od 1. 1. 2007 do 31. 12. 2015 analiziran učinek napovedi in začetek izvajanja posameznih ukrepov ECB-ja na donosnost in volatilnost 10-letnih državnih obveznic. V analizo zajamemo 6 podvzorcev, vsak je sestavljen iz dveh obdobij, eden zajema prelomni datum, ko se je odvijalo zasedanje Evropske centralne banke, na katerem so bili napovedani pomembni ukrepi in eno obdobje, v katerem ni bilo objav s strani Evropske centralne banke. Volatilnost donosnosti med posameznimi obdobji analiziramo s pomočjo razlike v statistični sredini, s čimer želimo ugotoviti odzivnost donosnosti na ukrepe Evropske centralne banke. Ugotovimo, da napoved nestandardnih ukrepov v večji meri poveča volatilnost donosnosti ter zniža donosnost 10-letnih obveznic evroobmočja, zajetih v vzorec, v primerjavi s standardnimi ukrepi, ki na trgu ne povzročijo šoka. Prihaja pa tudi do razlik med posameznimi državami, na eni strani so države, kjer je volatilnost večja, na drugi strani druge, katerih donosnost ne odreagira v tolikšni meri. V vseh primerih najbolj odreagira donosnost 10-letne nemške državne obveznice.

Ključne besede

finančna kriza;finančni sistemi;monetarna politika;centralne banke;finančna stabilnost;državne obveznice;donosnost;

Podatki

Jezik: Slovenski jezik
Leto izida:
Tipologija: 2.09 - Magistrsko delo
Organizacija: UM EPF - Ekonomsko-poslovna fakulteta
Založnik: [G. Konrad]
UDK: 336.763.3(043.2)
COBISS: 12497692 Povezava se bo odprla v novem oknu
Št. ogledov: 930
Št. prenosov: 116
Ocena: 0 (0 glasov)
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Ostali podatki

Sekundarni jezik: Angleški jezik
Sekundarni naslov: Analysis of the impact of EU institutions measures on the EMU government bond market during the global financial and debt crisis
Sekundarni povzetek: Ever since the creation of the European Monetary Union and the introduction of the euro as a common currency, financial markets ignored credit risk, too little attention is devoted to macroeconomic data of individual countries. For many years the state debt and increasing public debt, despite high, some unsustainable budget deficits, structural reforms has been delayed. The European Union had established criteria and guidelines for supervising public finances, but without a single fiscal union does not have the instruments for action. Only in the global financial and later the debt crisis, the severity of the resulting macroeconomic situation reflected in the intervals of the returns of individual countries, financial markets have repeatedly responded to panic, this has led to an excessive increases in premiums, which in some cases, even countries hinders access to financial resources on the market. Necessary measures were the EU institutions, on the one hand, the solution to the problems in the financial system, on the other hand, to solve the public finances of individual countries. The European Central Bank has played a major role in intervening in markets, first is the changed situation reacted by lowering key interest rates, later because of the credit crunch with other non-standard monetary policy measures. With the direct purchase of securities from commercial banks wanted to increase lending activity. After the initial redemptions, which reached up to 10 billion euros a month, in January 2015 shocked the markets with a forecast redemptions of 60 billion euros per month. In the empirical part of the thesis, using statistical methods on a sample of 14 countries of the euro area and in the time period from 1. 1. 2007 to 31. 12. 2015 analyzed the impact of the forecasts and the beginning launch of the implementation of individual measures of the ECB in return and volatility of 10-year government bonds. The analysis covers 6 sub-samples, each sample consisting of two periods, one covering the landmark date when it was held session of the European Central Bank, which were announced important measures and a period in which there were no announcements from the European Central Bank. We find that the announcement of non-standard measures largely increase the volatility of return and reduce the yield on 10-year bonds of the euro area in the sample, compared to standard measures which the market does not cause shock. Coming as well as differences between the individual countries, on the one hand are the countries where the volatility is greater, on the other hand, the other whose profitability does not react to such an extent. In all cases, the most reacts yield on 10-year German government bonds.
Sekundarne ključne besede: macroeconomic imbalances;financial system;the European Monetary Union;European Central Bank;the European Financial Stability Fund;the European Stability Mechanism;unconventional monetary policy;bond volatility;government bond yields;
URN: URN:SI:UM:
Vrsta dela (COBISS): Magistrsko delo
Komentar na gradivo: Univ. v Mariboru, Ekonomsko-poslovna fak.
Strani: IV, 87 str.
ID: 9140259