Powiązania długookresowych stóp procentowych w krajach Unii Europejskiej
Relationships of long-term interest rates in European Union countries

Summary/Abstract: Purpose – Determination of the level and differentiation of interest rates in the European Union countries due to the country’s membership in the euro area and the rating. Determination of links between interest rates in European Union countries together with an assessment of the impact of German interest rates on domestic interest rates. Design/methodology/approach – The interest rates calculated on the basis of 10-year treasury bonds were subject to the study. Data provided by the European Central Bank. In the assessment of the level and differentiation of interest rates, methods of descriptive statistics and analysis of variance were used. Relationships between interest rates were examined using a correlation coefficient and breakpoint tests of time series. The impact of German interest rates on domestic rates was examined using ARDL models, long-term link tests and ECM models. Findings – Strong correlation relations between interest rates in the European Union countries have been established, but one can not talk about long-term equilibrium. The influence of German interest rates on interest rates in other countries is limited. Only a few countries were characterized by long-term equilibrium with German rates. Originality/value – The results of correlation relationships with break tests were compared, which allows better interpretation of correlation results. A limited influence of interest rates in Germany on interest rates in most of the European Union countries was established. This means that despite the far-reaching integration of countries, fiscal policy is still being pursued more independent.

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