Show simple item record

dc.contributor.authorBogołębska, Joanna
dc.contributor.authorFeder‑Sempach, Ewa
dc.contributor.authorStawasz‑Grabowska, Ewa
dc.date.accessioned2019-11-22T15:25:40Z
dc.date.available2019-11-22T15:25:40Z
dc.date.issued2019
dc.identifier.issn1508-2008
dc.identifier.urihttp://hdl.handle.net/11089/30939
dc.description.abstractSafe assets are recognized as being the cornerstone of contemporary financial systems. Due to financial globalization and massive international capital flows, they transformed into global safe assets, meaning that both demand and supply sides can be created by international investors. The article consists of two main parts. The first one concentrates on the theoretical issues of safe assets: definitions, attributes, categories of investors who search for them, as well as categories of suppliers. The theoretical considerations lead to the conclusions that only debt instruments can be used as safe assets, and due to limited substitutability between private and public issues, only the latter can perform this function properly, especially in times of stress. In the context of global safe asset considerations, it seems reasonable that only countries issuing reserve currencies can become public issuers of safe assets. The empirical analysis presented in the second part of the article confirms the theoretical predictions. A study of sovereign bond yield differentials conducted for two groups of countries (issuers of reserve currency and non‑issuers but possessing the highest credit ratings) shows that in the period 2005-2017, the spreads in the first group were depressed by the mere fact they held the status of a reserve currency issuer.en_GB
dc.description.abstractArtykuł składa się z dwóch części. Część pierwsza koncentruje się na teoretycznych zagadnieniach dotyczących aktywów bezpiecznych: prezentuje definicje, atrybuty, kategorie emitentów oraz inwestorów zgłaszających popyt. Rozważania teoretyczne prowadzą do wniosku, że funkcję aktywów bezpiecznych najlepiej spełniają instrumenty dłużne, a z uwagi na ograniczoną substytucyjność między emitentami publicznymi i prywatnymi, funkcję tę w największym stopniu wykonują skarbowe papiery dłużne. Co istotne, na skutek swoich specyficznych właściwości i atrybutów, na międzynarodowych rynkach finansowych dostawcami globalnych aktywów bezpiecznych są kraje emitujące walutę rezerwową. Analiza empiryczna przedstawiona w drugiej części artykułu potwierdza opisywane zależności teoretyczne. Badanie różnic rentowności obligacji skarbowych (względem Niemiec) przeprowadzone dla dwóch grup krajów (emitenci waluty rezerwowej i podmioty niebędące emitentami, ale posiadające najwyższe oceny wiarygodności kredytowej) sugeruje, że w latach 2005-2017 spready w pierwszej grupie były zaniżane przez sam fakt posiadanie statusu emitenta waluty rezerwowej.pl_PL
dc.language.isoenen_GB
dc.publisherWydawnictwo Uniwersytetu Łódzkiegoen_GB
dc.relation.ispartofseriesComparative Economic Research. Central and Eastern Europe; 3
dc.rightsThis work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 License.en_GB
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/4.0en_GB
dc.subjectsafe assetsen_GB
dc.subjectdeveloped economiesen_GB
dc.subjectgovernment bondsen_GB
dc.subjectreserve currenciesen_GB
dc.subjectaktywa bezpiecznepl_PL
dc.subjectkraje rozwiniętepl_PL
dc.subjectobligacje skarbowepl_PL
dc.subjectwaluty rezerwowepl_PL
dc.titleReserve Currency Status as a Safe Asset Determinant. Empirical Evidence from Main Public Issuers in the Period 2005–2017en_GB
dc.title.alternativeStatus waluty rezerwowej a determinanty aktywów bezpiecznych. Analiza empiryczna na podstawie doświadczeń emitentów publicznych w latach 2005–2017pl_PL
dc.typeArticleen_GB
dc.page.number65-81
dc.contributor.authorAffiliationUniversity of Lodz, Faculty of Economics and Sociology International Business and Trade Department, Lodz, Poland
dc.contributor.authorAffiliationUniversity of Lodz, Faculty of Economics and Sociology International Finance and Investment Department, Lodz, Poland
dc.contributor.authorAffiliationUniversity of Lodz, Faculty of Economics and Sociology International Finance and Investment Department, Lodz, Poland
dc.identifier.eissn2082-6737
dc.referencesAkram, T., Huiqing, L. (2018), The Dynamics of Japanese Government Bonds’ Nominal Yields, “Levy Economics Institute”, Working Paper No. 906.en_GB
dc.referencesAlessandrini, P., Fratianni, M., Hughes Hallett, A., Presbitero, A. (2014), External Imbalances and Fiscal Fragility in the Euro Area, “Open Economies Review”, No. 25 (1).en_GB
dc.referencesArghyrou, M., Kontonikas, A. (2012), The EMU sovereign‑debt crisis: Fundamentals, expectations and contagion, “Journal of International Financial Markets”, Institutions and Money, 22 (4).en_GB
dc.referencesBarrios, S., Iversen, P., Lewandowska, M., Setzer, R. (2009), Determinants of intraeuro area government bond spreads during the financial crisis. Brussels: European Commission, Directorate‑General for Economic and Financial Affairs.en_GB
dc.referencesBeirne, J., Fratzscher, M. (2013), The pricing of sovereign risk and contagion during the European sovereign debt crisis, “Journal of International Money and Finance”, 34.en_GB
dc.referencesBernoth, K., Erdogan, B. (2012), Sovereign bond yield spreads: A time‑varying coefficient approach, “Journal of International Money and Finance”, 31 (3).en_GB
dc.referencesBernoth, K., von Hagen, J., Schuknecht, L., (2012), Sovereign Risk Premiums in the European Government Bond Market, “Journal of International Money and Finance”, 31 (5).en_GB
dc.referencesBogołębska, J. (2013), Nierownowagi globalne a stabilność międzynarodowego systemu walutowego, Wydawnictwo Uniwersytetu Łodzkiego, Łodź.en_GB
dc.referencesCaballero, R., Farhi, E., Gourinchas, P. (2017), The safe assets shortage conundrum, “Journal of Economic Perspectives”, Vol. 31, No. 3, Summer.en_GB
dc.referencesD’Agostino, A., Ehrmann, M. (2013), The pricing of G7 sovereign bond spreads the times, they are a‑changin, ECB Working Paper Series No. 1520/march.en_GB
dc.referencesFarhi, E., Maggiori, M. (2016), A model of the international monetary system, NBER Working Paper 22295.en_GB
dc.referencesGelpern, A., Gerding, E., Inside safe assets, Georgetown University Law Center, www.scholarship.law.georgetown.edu/facpub/1831 (accessed: 10.07.2018).en_GB
dc.referencesGiordano, R., Pericoli, M., Tommasino, P. (2013), Pure or Wake‑up‑Call Contagion? Another Look at the EMU Sovereign Debt Crisis, “International Finance”, 16 (2).en_GB
dc.referencesGolec, P., Perotti, E. (2011), Safe assets: a review, ECB Working Paper Series, No. 2035, March.en_GB
dc.referencesGorton, G. (2016), The history and economics of safe assets, NBER Working Paper, No. 22210, April.en_GB
dc.referencesGourinchas, P., Jeanne, O. (2012), Global safe assets, BIS.en_GB
dc.referencesGrabowski, W., Welfe, A. (2016), An Exchange Rate Model with Market Pressures and a Contagion Effect, “Emerging Markets Finance and Trade”, 52 (12).en_GB
dc.referencesHolmstrom, B. (2015), Understanding the role of debt in the financial system, BIS Working Paper, No. 479.en_GB
dc.referencesInternational Monetary Fund (2012), Safe assets: financial system cornerstone, Global Financial Stability Report.en_GB
dc.referencesKacperczyk, M., Perignon, C., Vuillemey, G. (2017), The private production of safe assets, CEPR Discussion Papers.en_GB
dc.referencesKilponen, J., Laakkonen, H., Vilmunen, J. (2015), Sovereign Risk, European Crisis Resolution Policies and Bond Yields, “International Journal of Central Banking”, 11 (2).en_GB
dc.referencesLandau, J. (2013), Global liquidity: public and private, Federal Reserve Bank of Kansas City, Economic Symposium.en_GB
dc.referencesMaltritz, D. (2012), Determinants of sovereign yield spreads in the Eurozone: A Bayesian approach, “Journal of International Money and Finance”, 31 (3).en_GB
dc.referencesWarnock, E. (2010), How dangerous is U.S. government debt? The risks of a sudden spike in U.S. interest rates, “Capital Flows Quarterly”, Council on Foreign Relations.en_GB
dc.referenceshttp://viableopposition.blogspot.com/2012/04/sovereign-debt-what-is-safe-haven.html (accessed: 12.09.2018)en_GB
dc.referenceswww.data.imf.org (accessed: 22.11.2018).en_GB
dc.contributor.authorEmailjoanna.bogolebska@uni.lodz.pl
dc.contributor.authorEmailewa.feder@uni.lodz.pl
dc.contributor.authorEmailewa.grabowska@uni.lodz.pl
dc.identifier.doi10.2478/cer-2019-0023
dc.relation.volume22en_GB
dc.subject.jelE51en_GB
dc.subject.jelE58en_GB
dc.subject.jelE63en_GB
dc.subject.jelF33en_GB


Files in this item

Thumbnail

This item appears in the following Collection(s)

Show simple item record

This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 License.
Except where otherwise noted, this item's license is described as This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 License.