PRACE NAUKOWE Uniwersytetu Ekonomicznego we Wrocławiu

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1 PRACE AUKOWE Uniwersyeu Ekonomicznego we Wrocławiu RESEARCH PAPERS of Wrocław Universiy of Economics r 428 Wrocław Conference in Finance: Conemporary Trends and Challenges Publishing House of Wrocław Universiy of Economics Wrocław 2016

2 Copy-ediing: Mara Karaś Layou: Barbara Łopusiewicz Proof-reading: Barbara Cibis Typeseing: Małgorzaa Czupryńska Cover design: Beaa Dębska Informaion on submiing and reviewing papers is available on websies The publicaion is disribued under he Creaive Commons Aribuion 3.0 Aribuion-onCommercial-oDerivs CC BY-C-D Copyrigh by Wrocław Universiy of Economics Wrocław 2016 ISS e- ISS ISB The original version: prined Publicaion may be ordered in Publishing House Wydawnicwo Uniwersyeu Ekonomicznego we Wrocławiu ul. Komandorska 118/120, Wrocław el./fax ; Prining: TOTEM

3 Conens Inroducion... 9 Andrzej Babiarz: Mehods of valuing invesmen projecs used by Venure Capial funds, financed from public funds / Meody wyceny projeków inwesycyjnych sosowane przez fundusze Venure Capial finansowane ze środków publicznych Magdalena Bywalec: Updaing he value of morgage collaeral in Polish banks / Akualizacja warości zabezpieczenia hipoecznego w polskich bankach Maciej Ciołek: Marke fundamenal efficiency: Do prices really rack fundamenal value? / Efekywność fundamenalna rynku: Czy ceny naprawdę podążają za warością fundamenalną? Ewa Dziwok: The role of funds ransfer pricing in liquidiy managemen process of a commercial bank / Znaczenie cen ransferowych w procesie zarządzania płynnością banku komercyjnego Agaa Gluzicka: Risk pariy porfolios for seleced measures of invesmen risk / Porfele paryeu ryzyka dla wybranych miar ryzyka inwesycyjnego. 63 Ján Gogola, Viera Pacáková: Fiing frequency of claims by Generalized Linear Models / Dopasowanie częsoliwości roszczeń za pomocą uogólnionych modeli liniowych Wojciech Grabowski, Ewa Sawasz: Daily changes of he sovereign bond yields of souhern euro area counries during he recen crisis / Dzienne zmiany renowności obligacji skarbowych południowych krajów srefy euro podczas osaniego kryzysu zadłużeniowego Małgorzaa Jaworek, Marcin Kuzel, Anea Szósek: Risk measuremen and mehods of evaluaing FDI effeciveness among Polish companies foreign invesors (evidence from a survey) / Pomiar ryzyka i meody oceny efekywności BIZ w prakyce polskich przedsiębiorsw inwesorów zagranicznych (wyniki badania ankieowego) Renaa Karkowska: Bank solvency and liquidiy risk in differen banking profiles he sudy of European banking secors / Ryzyko niewypłacalności i płynności w różnych profilach działalności banków badanie dla europejskiego sekora bankowego Mariusz Kicia: Confidence in long-erm financial decision making case of pension sysem reform in Poland / Pewność w podejmowaniu długoerminowych decyzji finansowych na przykładzie reformy sysemu emeryalnego w Polsce

4 6 Conens Tony Klein, Hien Pham Thu, Thomas Walher: Evidence of long memory and asymmery in he EUR/PL exchange rae volailiy / Empiryczna analiza długiej pamięci procesu i asymerii zmienności kursu wymiany walu EUR/PL Zbigniew Krysiak: Risk managemen model balancing financial prioriies of he bank wih safey of he enerprise / Model zarządzania ryzykiem równoważący cele finansowe banku z bezpieczeńswem przedsiębiorswa Agnieszka Kurdyś-Kujawska: Facors affecing he possession of an insurance in farms of Middle Pomerania empirical verificaion / Czynniki wpływające na posiadanie ochrony ubezpieczeniowej w gospodarswach rolnych Pomorza Środkowego weryfikacja empiryczna Ewa Miklaszewska, Krzyszof Kil, Maeusz Folwaski: Facors influencing bank lending policies in CEE counries / Czynniki wpływające na poliykę kredyową banków w krajach Europy Środkowo-Wschodniej Rafał Muda, Paweł iszczoa: Self-conrol and financial decision-making: a es of a novel depleing ask / Samokonrola a decyzje finansowe: es nowego narzędzia do wyczerpywania samokonroli Sabina owak, Joanna Olbryś: Direc evidence of non-rading on he Warsaw Sock Exchange / Problem braku ransakcji na Giełdzie Papierów Warościowych w Warszawie Dariusz Porębski: Managerial conrol of he hospial wih special use of BSC and DEA mehods / Konrola menedżerska szpiali z wykorzysaniem ZKW i DEA Agnieszka Przybylska-Mazur: Fiscal rules as insrumen of economic policy / Reguły fiskalne jako narzędzie prowadzenia poliyki gospodarczej Andrzej Rukowski: Capial srucure and akeover decisions analysis of acquirers lised on WSE / Srukura kapiału a decyzje o przejęciach analiza spółek nabywców noowanych na GPW w Warszawie Andrzej Sławiński: The role of he ECB s QE in alleviaing he Eurozone deb crisis / Rola QE EBC w łagodzeniu kryzysu zadłużeniowego w srefie euro Anna Sroczyńska-Baron: The uni roo es for collecible coins marke as a preeliminary o he analysis of efficiency of on-line aucions in Poland / Tes pierwiaska jednoskowego dla mone kolekcjonerskich jako wsęp do badania efekywności aukcji inerneowych w Polsce Michał Sachura, Barbara Wodecka: Exreme value heory for deecing heavy ails of large claims / Rozpoznawanie grubości ogona rozkładów wielkich roszczeń z użyciem eorii warości eksremalnych Tomasz Szkunik: The impac of daa censoring on esimaion of operaional risk by LDA mehod / Wpływ cenzurowania obserwacji na szacowanie ryzyka operacyjnego meodą LDA

5 Conens 7 Grzegorz Urbanek: The impac of he brand value on profiabiliy raios example of seleced companies lised on he Warsaw Sock Exchange / Wpływ warości marki na wskaźniki renowności przedsiębiorswa na przykładzie wybranych spółek noowanych na GPW w Warszawie Ewa Widz: The day reurns of WIG20 fuures on he Warsaw Sock Exchange he analysis of he day of he week effec / Dzienne sopy zwrou konraków fuures na WIG20 na GPW w Warszawie analiza efeku dnia ygodnia Anna Wojewnik-Filipkowska: The impac of financing sraegies on efficiency of a municipal developmen projec / Wpływ sraegii finansowania na opłacalność gminnego projeku deweloperskiego Kaarzyna Wojacka-Pawlak: The analysis of supervisory regulaions in he conex of repuaional risk in banking business in Poland / Analiza regulacji nadzorczych w konekście ryzyka uray repuacji w działalności bankowej w Polsce

6 Inroducion One of he fases growing areas in he economic sciences is broadly defined area of finance, wih paricular emphasis on he financial markes, financial insiuions and risk managemen. Real world challenges simulae he developmen of new heories and mehods. A large par of he heoreical research concerns he analysis of he risk of no only economic eniies, bu also households. The firs Wrocław Conference in Finance WROFI was held in Wrocław beween 22nd and 24h of Sepember The paricipans of he conference were he leading represenaives of academia, praciioners a corporae finance, financial and insurance markes. The conference is a coninuaion of he wo long-sanding conferences: IVEST (Financial Invesmens and Insurance) and ZAFI (Financial Managemen Theory and Pracice). The Conference consiues a vibran forum for presening scienific ideas and resuls of new research in he areas of invesmen heory, financial markes, banking, corporae finance, insurance and risk managemen. Much emphasis is pu on pracical issues wihin he fields of finance and insurance. The conference was organized by Finance Managemen Insiue of he Wrocław Universiy of Economics. Scienific Commiee of he conference consised of prof. Diarmuid Bradley, prof. dr hab. Jan Czekaj, prof. dr hab. Andrzej Gospodarowicz, prof. dr hab. Krzyszof Jajuga, prof. dr hab. Adam Kopiński, prof. dr. Hermann Locarek-Junge, prof. dr hab. Monika Marcinkowska, prof. dr hab. Paweł Miłobędzki, prof. dr hab. Jan Monkiewicz, prof. dr Lucjan T. Orłowski, prof. dr hab. Sanisław Owsiak, prof. dr hab. Wanda Ronka-Chmielowiec, prof. dr hab. Jerzy Różański, prof. dr hab. Andrzej Sławiński, dr hab. Tomasz Słoński, prof. Karsen Saehr, prof. dr hab. Jerzy Węcławski, prof. dr hab. Małgorzaa Zaleska and prof. dr hab. Dariusz Zarzecki. The Commiee on Financial Sciences of Polish Academy of Sciences held he paronage of conen and he Recor of he Universiy of Economics in Wroclaw, Prof. Andrzej Gospodarowicz, held he honorary paronage. The conference was aended by abou 120 persons represening he academic, financial and insurance secor, including several people from abroad. During he conference 45 papers on finance and insurance, all in English, were presened. There were also 26 posers. This publicaion conains 27 aricles. They are lised in alphabeical order. The ediors of he book on behalf of he auhors and hemselves express heir deep graiude o he reviewers of aricles Professors: Jacek Baóg, Joanna Bruzda, Kaarzyna Byrka-Kia, Jerzy Dzieża, Teresa Famulska, Pior Fiszeder, Jerzy Gajdka, Marek Gruszczyński, Magdalena Jerzemowska, Jarosław Kubiak, Tadeusz Kufel, Jacek Li-

7 10 Inroducion sowski, Sebasian Majewski, Agnieszka Majewska, Monika Marcinkowska, Paweł Miłobędzki, Paweł iedziółka, Tomasz Panek, Maeusz Pipień, Izabela Pruchnicka- -Grabias, Wiesława Przybylska-Kapuścińska, Jan Sobiech, Jadwiga Suchecka, Włodzimierz Szkunik, Mirosław Szreder, Małgorzaa Tarczyńska-Łuniewska, Waldemar Tarczyński, Tadeusz Trzaskalik, Tomasz Wiśniewski, Ryszard Węgrzyn, Anna Zamojska, Pior Zielonka for commens, which helped o give he publicaion a beer shape. Wanda Ronka-Chmielowiec, Krzyszof Jajuga

8 PRACE AUKOWE UIWERSYTETU EKOOMICZEGO WE WROCŁAWIU RESEARCH PAPERS OF WROCŁAW UIVERSITY OF ECOOMICS nr Wrocław Conference in Finance: Conemporary Trends and Challenges ISS e-iss Wojciech Grabowski, Ewa Sawasz Universiy of Lodz s: DAILY CHAGES OF THE SOVEREIG BOD YIELDS OF SOUTHER EURO AREA COUTRIES DURIG THE RECET CRISIS DZIEE ZMIAY RETOWOŚCI OBLIGACJI SKARBOWYCH POŁUDIOWYCH KRAJÓW STREFY EURO PODCZAS OSTATIEGO KRYZYSU ZADŁUŻEIOWEGO DOI: /pn JEL Classificaion: C58, G12 Absrac: The aim of he paper is o idenify deerminans of he sovereign bond yields of 4 souhern euro area counries which were mos severely hi by he sovereign deb crisis, i.e. Greece, Porugal, Spain and Ialy. The sample, which covers he period 2009 Q Q2, is divided by he dae of 26 h July 2012, when he announcemen of he ECB s Ourigh Moneary Transacions programme ook place, ino wo subsamples. The resuls of he esimaion show ha differen facors deermined he developmen of he yields in he counries under consideraion in each subperiod. Moreover, in he firs subperiod here was a conagion from Greece o he res of he analysed counries, whereas in he second subperiod, sovereign bond markes were resisan o negaive news and shocks originaing in he Greek economy. Keywords: VAR-DCC-GARCH, euro area sovereign deb crisis, OMT programme. Sreszczenie: Celem arykułu jes idenyfikacja deerminan renowności obligacji skarbowych 4 krajów Europy Południowej, kóre zosały poważnie doknięe podczas osaniego kryzysu zadłużeniowego. Próba obejmująca okres 2009 Q4-2015Q2 jes podzielona na dwie podpróby a daą graniczną jes 26 lipca 2012 roku, kiedy Europejski Bank Cenralny zapowiedział program OMT. Wyniki esymacji paramerów wskazują, że czynniki wpływające na renowności obligacji skarbowych peryferyjnych krajów srefy euro różniły się w podokresach. Co więcej, w pierwszym podokresie rynki obligacji skarbowych Włoch, Porugalii i Hiszpanii były wrażliwe na negaywne szoki pochodzące z Grecji, naomias po ogłoszeniu programu OMT wrażliwość na szoki zdecydowanie spadła. Słowa kluczowe: VAR-DCC-GARCH, kryzys srefy euro, program OMT.

9 84 Wojciech Grabowski, Ewa Sawasz 1. Inroducion In he 2nd half of 2009, when he global economic recovery gained momenum, i seemed ha he period of he mos inense ensions associaed wih he global economic and financial crisis, iniiaed by he collapse of he US invesmen bank Lehman Brohers in Sepember 2008, ended. However, he sense of calm in he financial markes proved o be shor-lived. A he urn of 2009/2010, he epicenre of he crisis moved from he Unied Saes o he euro area, where i ook he form of a deb crisis for some of is members. I was refleced in fiscal insabiliy of he so-called peripheral counries of he Economic and Moneary Union (EMU), i.e. Greece, Ireland and Porugal, as well as, hough o a lesser exen, Spain and Ialy. In he years , hose counries saw a sharp increase in he cenral and local governmen deb o GDP raio. % Germany Ireland Greece Spain Ialy Porugal Figure 1. Performance of sovereign bond yields in seleced euro area counries Source: Eurosa. In he siuaion of fiscal insabiliy, reasury bond yields of he peripheral euro area counries rose significanly, reaching levels very high for hese economies (Figure 1). Their susained decline occurred only afer he announcemen by he European Cenral Bank (ECB) abou he programme of Ourigh Moneary Transacions (OMT), allowing unlimied purchases on he secondary marke of shor-erm reasury bonds, which ook place in July A he end of 2014, 1 To be precise, he echnical feaures of he OMT were communicaed o he public in Sepember 2012, hough is announcemen can be aribued o he speech by M. Draghi a he conference of inves-

10 Daily changes of he sovereign bond yields of souhern euro area counries Greece experienced renewed sovereign bond marke ensions, which, however, have no moved o he bond markes of oher peripheral euro area counries. The paper aims o idenify deerminans of he sovereign bond yields of 4 Souhern euro area counries, i.e. Greece, Porugal, Spain and Ialy 2. Daily daa covering he period 2009 Q Q2 is used. Since he siuaion in he euro area bond marke improved significanly afer he announcemen of he OMT programme, he sample is divided ino 2 subperiods, i.e. before he OMT announcemen and afer i. We esimae he parameers of he VECM-MGARCH model. Based on his mehod, we analyse he co-movemens beween he reasury bond yields in he counries under consideraion and evaluae relaions beween he shocks. The remainder of he paper is as follows. Secion 2 presens he lieraure review and variables used in he model. Secion 3 provides he specificaion of he economeric model and he resuls of he empirical research. Secion 4 concludes he paper. 2. Lieraure review Deerminans of reasury bond yields in he euro area during he recen deb crisis were broadly sudied in he lieraure. All he research can be divided ino cerain groups. Firsly, some auhors concenrae on he role of macroeconomic fundamenals (e.g. he rae of growh of real GDP, raio of deb and defici o GDP, curren accoun balance o GDP, inflaion, real effecive exchange rae) and nonfundamenal variables. According o he research resuls, he role of macroeconomic fundamenals which was negligible in he pre-crisis period increased subsanially afer 2008 (see: e.g. De Grauwe and Ji [2013]). Secondly, a grea deal of aenion is devoed o he impac of he ani-crisis policy implemened by he insiuions of he European Union during he euro area sovereign deb crisis, wih paricular focus on he ECB s measures. In paricular, he impac of wo asse purchase programmes Securiies Markes Programme (SMP) and he OMT is analysed. According o he resuls of empirical invesigaions, he announcemen of he SMP led o a decrease in reasury bond yields, however, effecs of he programme lased for a shor period of ime (see: e.g. Kilponen e al. [2015]; Falagiarda and Reiz [2015]; Grabowski and Sawasz [2013]). This could be due o a limied scale of he purchases conduced under he SMP programme. In he case of he OMT, is announcemen, as well as is inroducion, led o a decrease in reasury bond yields in he analysed group of counries (see: e.g. Falagiarda and Reiz [2015]; Kilponen e al. [2015]). ors in July On he 26 h of July he pledged ha he ECB wihin is mandae was ready o do whaever i akes o preserve he euro [Draghi 2012]. 2 We omi Ireland due o gaps in daa (see: e.g. Bhano e al. [2014])

11 86 Wojciech Grabowski, Ewa Sawasz Anoher group of research concerns he sensiiviy of yields of he crisis-affeced counries o credi raing announcemens as well as macroeconomic and poliical news. umerous analyses indicae ha: raing downgrades and negaive news had a sronger impac on yields han raing upgrades and posiive news (see: e.g. Alsaaka and Gwilym [2013]; Beesma e al. [2013]); during he euro area sovereign deb crisis, raing downgrades and negaive news from Greece had a negaive impac on he reasury bond yields in oher crisisaffeced counries (see: e.g. Aizenman e al. [2013]). In his paper we evaluae he impac of he poenial deerminans (as lised in Table 1) on he sovereign bond yields of Greece, Ialy, Porugal and Spain in boh subperiods. We aim o conribue o he exising lieraure by analysing how he spillover effecs, which were presen in he bond markes of he euro area s peripheral counries before he OMT announcemen, have changed afer 26 July Table 1. Dummy variables used in he model Variable Type of variable Definiion Source D Macroeconomic news ews abou he condiion of public finance Euroinelligence MA Macroeconomic news Daa releases concerning real economy oher han fiscal daa SU Poliical news ews abou proess agains ani-crisis policies/ collapses of governmens Euroinelligence Euroinelligence RES Poliical news ews abou he Greek deb resrucuring Euroinelligence AU Poliical news ews abou auseriy programmes underaken by he governmens LTRO CO SMP OMT I RT Ani-crisis measure of he ECB Ani-crisis measure of he ECB Ani-crisis measure of he ECB Ani-crisis measure of he ECB Decision of credi raing agencies Source: Auhors own sudy. Decisions abou conducing longer erm refinancing operaions by he ECB Decisions abou loosening or ighening he qualiy sandards for asses eligible as collaeral for Eurosysem credi operaions Decision abou implemenaion of he SMP programme Communicaion of he echnical feaures of he OMT o he public Decisions underaken by hree main raing agencies, i.e. S&P, Fich Raings and Moody s (downgrades, upgrades) Euroinelligence eu eu eu eu Web pages of raing agencies Table 1 presens definiions of dummy variables associaed wih macroeconomic and poliical news, credi raing announcemens and ECB s unconvenional moneary

12 Daily changes of he sovereign bond yields of souhern euro area counries policies, which are considered in he empirical invesigaion. Sources of daa are given as well. 3. Mehodology and empirical resuls In order o analyse he co-inegraion and co-movemens beween he reasury bond yields and dynamic correlaions beween shocks semming from differen bond markes, we sugges he esimaion of he parameers of he following VECM- MGARCH: p r = Πr + Γ r + ΛW + ε 1, ( ) ( ) i= 1 i i E ε = 0, E ε ε = H. (1) In equaion (1) r denoes he vecor of daily yields on reasury bonds of a 10- year mauriy. According o he co-inegraion heory (see: Johansen [1988]), if non-saionary variables co-inegrae, hen marix Π is decomposed ino marix of co-inegraing vecors B and marix of weighs A. Marices Γ,, 1 Γp consis of shor-run coefficiens, W consiss of variables associaed wih credi raing announcemens, he ani-crisis measures of he European Cenral Bank, poliical and macroeconomic news. Conrol variables, among which we consider he rae of reurn on European main sock index (EUROSTOXX50) (rs50 ) and he rae of reurn on he exchange rae USD/EUR (rex ). p are chosen on he basis of he Akaike Informaion Crieria. Condiional covariance marix of he disurbances 3 (H ) is, according o VCC-MGARCH [Tse and Tsui 2002], decomposed in he following way: H = D R D, (2) 1/ 2 1/ 2 T R = ( λ λ ) R + λψ + λ R. (3) In equaion (3) D is a diagonal marix of condiional variances, which evolve according o a univariae GARCH model, R is he marix of means o which he dynamic process of (3) revers and R is a marix of condiional correlaions. Ψ is he rolling esimaor of he correlaion marix of disurbances and λ 1, λ 2 are parameers ha govern he dynamics of he condiional correlaions, which saisfy he following condiion: 0 λ1 + λ2 < 1. Since in he afermah of he OMT announcemen, an imporan change in he performance of reasury bond yields of he counries under consideraion has been noiced, empirical analysis is conduced in 2 subperiods (from he beginning of he euro area sovereign deb crisis o he announcemen of he OMT programme 3 Afer using mulivariae exension of he Mann-Wolfowiz es (see [Friedman, Rafsky 1979]), i urned ou ha disurbances follow mulivariae -suden disribuion wih 4 degrees of freedom.

13 88 Wojciech Grabowski, Ewa Sawasz and afer he OMT announcemen). Table 2 presens he resuls of esing order of inegraion of he reasury bond yields using ADF-GLS es (see: Ellio e al. [1996]) and he co-inegraion rank using Johansen [1988] es for boh subperiods. From he resuls in Table 2, we see ha he reasury bond yields are inegraed of order 1 for boh subperiods for all he counries. There exiss 1 co-inegraing vecor for he firs subperiod and 2 co-inegraing vecors for he second one. Table 2. Resuls of esing he order of inegraion and co-inegraion rank Counry Greece 2.62 ( 2.86) Porugal 1.49 ( 2.83) Ialy 2.28 ( 2.84) Spain 2.51 ( 2.86) Tesing saionariy of levels Tesing saionariy of firs differences Rank Trace saisic Sub. 1 Sub. 2 Sub. 1 Sub. 2 H0 Sub. 1 Sub ( 2.83) 0.84 ( 2.84) 1.06 ( 2.85) 1.33 ( 2.86) ( 1.97) 8.62 ( 1.96) 7.11 ( 1.96) ( 1.97) 2.75 ( 1.96) 2.99 ( 1.96) 2.04 ( 1.97) 2.94 ( 1.97) oe: Criical values (for 0.05 level of significance) are given in brackes. Source: Auhors own sudy (62.99) <= (42.44) <= (25.32) <= (12.25) (62.99) (42.44) (25.32) 5.43 (12.25) Esimaes of he parameers of he model (1) (3) for boh subperiods wih coinegraing relaions and he resuls of esing validiy of assumpions concerning error erm are presened in Table 3. Based on he resuls of he esimaion, we noice ha here exis long-run coinegraing relaions beween he reasury bond yields for he analysed group of counries. When we analyse he pair Spain-Ialy, he long-run sabiliy condiion is saisfied (see: Grabowski and Welfe [2011]). I may imply ha sovereign bonds of hese wo counries are reaed as close subsiues by invesors. Table 3. Resuls of he esimaion of parameers of he VECM-MGARCH Sub. Subperiod 1 Subperiod 2 Var. Δr G, Δr P, Δr I, Δr S, Δr G, Δr P, Δr I, Δr S, CE ** ** ** 0.08* 0.03* CE ** 0.08** * Δr G, ** Δr P, ** ** Δr I, ** * 0.17*

14 Daily changes of he sovereign bond yields of souhern euro area counries Δr S, * 0.41** ** ** RES 18.05** rs ** 0.84* 0.76** 10.27** rex 1.56* 0.86* RT G D 0.11* 0.08* 0.03* RT P D 0.09* RT P U 0.06** D G 0.07* 0.03** 0.03** D P 0.04* SU G 0.08** 0.03* SU I 0.08** 0.02* MA P 0.07* MA I 0.06* MA S 0.01** AU G 0.10*** 0.04* AU I P 0.14** AU P P 0.04* AU S P CO G 0.51** 0.44* CO P 1.17** CO S P CO P P 0.75** LTRO 0.17* 0.10* 0.03* SMP 1.33** 0.60** 0.34** 0.42** 0.03* 0.08** OMT I 0.31** 0.11* 0.21** EQUATIOS OF COVARIACES Cons ε 0.06** 0.12** 0.11** 0.07** 0.03** 0.05** 0.03** 0.03** 1 σ 0.87** 0.86** 0.85** 0.88** 0.91** 0.90** 0.94** 0.93** 2 1 ρ(ε G,ε P ) 0.30** 0.16 ρ(ε G,ε I )

15 90 Wojciech Grabowski, Ewa Sawasz Tabela 3, con. ρ(ε G,ε S ) 0.31** 0.06 ρ(ε P,ε I ) 0.28** 0.82** ρ(ε P,ε S ) 0.38** 0.80** ρ(ε S,ε I ) 0.90** 0.94** λ1 0.02** 0.01** λ2 0.97** 0.98** Eq. 1 LOG-RU COITEGRATIG EQUATIOS (z-saisics in brackes) CE1 =r S, -r I, -0.12(r G, +r P, ) ( 9.27) ( 8.54) CE1 =r S, -r I, -0.07r G, +0.22r P, (-6.26) (4.35) (5.57) Eq. 2 CE2 =r P, -1.53r I, r G, ( 8.31) ( 4.36) (0.58) HYPOTHESES TESTIG (p-values in brackes) Validiy of resricions χ 2 = 0.23 (0.89) χ 2 = 0.55 (0.76) Auocorrelaion χ 2 = (0.15) χ 2 = (0.24) VCC ouperforms DCC z = 0.78 (0.44) z = 1.03 (0.30) oe: *, ** denoe respecively significance a 0.1 and 0.05 level of significance. Leers G,I,P,S in lower indices denoe Greece, Ireland, Porugal and Spain respecively. Leers P and in upper indices refer o posiive and negaive news respecively, while leers D and U in upper indices refer o raing downgrades and upgrades respecively. Source: Auhors own sudy. Analysing he counry-specific shor-erm relaions, we sar wih he news releases and decisions of raing agencies. In he case of Greece, he decision abou deb resrucuring resuled in a decrease in he 10-year governmen bond yields of abou 18 percenage poins. everheless, he effec urned ou o be shor-lived A similar resul was obained, among ohers, by Kilponen e al. [2015]. A negaive impac on he Greek governmen bond marke was exered by bad news concerning Greek public finance, raing downgrades and socio-poliical ensions. As far as Ialy is concerned, higher yields refleced bad macroeconomic news (including news abou public finance), as well as socio-poliical ensions. egaive macroeconomic news urned ou o be also significan for Porugal and Spain (bu only in he second subperiod). Referring o he ECB s ani-crisis moneary policies, he following conclusions can be drawn. The ECB s decisions o ighen collaeral rules for he Greek deb led o an increase in he counry s bond yields. On he oher hand, he exension of he lis of eligible collaeral alleviaed ensions in he Poruguese and Spanish bond markes. We found a posiive role of he supplemenary LTROs for Greece, Porugal and Spain. When i comes o he SMP and he OMT (communicaion of echnical

16 Daily changes of he sovereign bond yields of souhern euro area counries feaures of he OMT), boh programmes conribued o a decrease in sovereign bond yields for all he counries under consideraion. Our resuls are in line wih Falagiarda and Reiz [2015] and Kilponen e al. [2015]. In erms of assessmen of he co-movemens of sovereign bond yields, negaive macroeconomic news abou Greece and downgrades of is credi raing led o an increase in he bond yields in he res of he analysed counries before he announcemen of he OMT programme. An analogous conclusion resuls, among ohers, from he paper of Beesma e al. [2013]. In conras, he spill-over effecs were no found in he second subperiod. Moreover, he correlaions beween he shocks for he pairs Greece-Ialy, Greece-Spain and Greece-Porugal, which were high in he firs subperiod, urned ou o be insignifican in he second subperiod (Table 3). I may imply ha he OMT announcemen conribued o reducing he conagion in he euro area. 4. Conclusions The resuls of he conduced sudy indicae ha he long-erm reasury bond yields of he peripheral euro area counries are co-inegraed. In paricular, he global sabiliy condiion is saisfied for he pair Ialy-Spain, which may imply ha he sovereign bonds of hose wo counries are reaed as close subsiues by invesors. Analysing shor-erm deerminans of sovereign bond yields, a significan impac of macroeconomic and poliical news, as well as of announcemens of credi raing agencies, can be noiced. While in he case of Spain, Ialy and Porugal, negaive news in one counry led o deerioraion of bond marke in he same counry, a significan spill-over of negaive news from Greece o he res of he markes was observed before he OMT announcemen. When i comes o he ani-crisis measures of he ECB, he exension of he lis of eligible collaeral, he supplemenary LTROs and he SMP programme alleviaed ensions in he reasury bond markes in he shor erm, while he influence of he announcemen of he OMT programme urned ou o have a long erm impac. o only did he negaive rends in he bond markes rever, bu he sensiiviy of he bond markes in Ialy, Porugal and Spain declined subsanially. References Aizenmann J., Binici M., Huchison, M., 2013, Credi raings and he pricing of sovereign deb during he euro crisis, Oxford Review of Economic Policy, vol. 29, pp Alsaaka R., Gwilym O., 2013, Raing agencies signals during he European sovereign deb crisis. Marke impac and spillovers, Journal of Economic Behavior and Organizaion, vol. 85, pp Beesma R., Giuliodori M., De Jong F., Widijano D., 2013, Spread he news: The impac of news on he European sovereign bond markes during he crisis, Journal of Inernaional Money and Finance, vol. 34, pp

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