Powiązania długookresowych stóp procentowych pomiędzy rynkiem niemieckim a wybranymi rynkami krajów Europy Środkowej i Północnej
Relationships between Long-Term Interest Rates in Germany and Central and North European Countries

Summary/Abstract: The Treasury bond market has an important role in the public finance policy. It determines the cost of public debt capital, but also affects the functioning of enterprises. Transferring impulses between the bond markets is one of the research elements. In Europe, shaping of German bond quotations is used as the basis for comparison for analyses of domestic bond markets. A similar conviction used in this work. Based on the data of the European Central Bank regarding long-term interest rates with a monthly frequency covering the years 2001–2017, the interest rate connections in 9 European countries were sought. Inparticular, the problem of belonging to the euro area was considered. The analysis used the identification of turning points, integration and ECM modeling. Research has shown that interest rates are characterized by similar trends, but they can not be considered long-term relationships. This is especially true for countries outside the euro area.

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