WSPÓŁZALEŻNOŚCI GLOBALNE A KRYZYSY FINANSOWE − PRZESTRZENNE EFEKTY SPILLOVERS NA RYNKU DZIESIĘCIOLETNICH OBLIGACJI SKARBOWYCH
GLOBAL INTERDEPENDENCIES AND FINANCIAL CRISES − SPATIAL SPILLOVER EFFECTS IN THE TEN­‑YEAR TREASURY BOND MARKET

Summary/Abstract: Purpose – The purpose of the article is the assessment of the spatial spillover effectsin the ten­ ‑year treasury bond market. It was considered whether unfavorable changes inbond ratings could be a factor inducing this phenomenon. The distance between individualmarkets was quantified using a matrix based on economic distance.Research method – In the study the spatial dynamic models for pooled‑timeseries,cross­ ‑sectional and panel data has been used. The analysis covers the yield to maturity often­ ‑year treasury bonds issued by forty countries.Results – The empirical analysis confirmed the existence of statistically significantspatial dependencies, not only due to the statistical significance of the autoregressiveparameter, but also the significance of the spatially shifted variable reflecting unfavorablechanges in the rating.Originality   / value   / implications   / recommendations – Extending the analyzes of the con‑tagion phenomenon in the financial market to include the aspect of space provides anopportunity to better understand the patterns of cause and effect relationships that areimportant from the point of view of counteracting the systemic risk to which internationaleconomies are exposed.

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