PRACE NAUKOWE Uniwersytetu Ekonomicznego we Wrocławiu

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1 PRACE NAUKOWE Uniwersytetu Ekonomicznego we Wrocławiu RESEARCH PAPERS of Wrocław University of Economics Nr 381 Financial Investments and Insurance Global Trends and the Polish Market edited by Krzysztof Jajuga Wanda Ronka-Chmielowiec Publishing House of Wrocław University of Economics Wrocław 2015

2 Copy-editing: Agnieszka Flasińska Layout: Barbara Łopusiewicz Proof-reading: Barbara Cibis Typesetting: Małgorzata Czupryńska Cover design: Beata Dębska Information on submitting and reviewing papers is available on the Publishing House s website The publication is distributed under the Creative Commons Attribution 3.0 Attribution-NonCommercial-NoDerivs CC BY-NC-ND Copyright by Wrocław University of Economics Wrocław 2015 ISSN e-issn ISBN The original version: printed Publication may be ordered in Publishing House tel./fax ; econbook@ue.wroc.pl Printing: TOTEM

3 Contents Introduction... 9 Roman Asyngier: The effect of reverse stock split on the Warsaw Stock Exchange Monika Banaszewska: Foreign investors on the Polish Treasury bond market in the years Katarzyna Byrka-Kita, Mateusz Czerwiński: Large block trades and private benefits of control on Polish capital market Ewa Dziwok: Value of skills in fixed income investments Łukasz Feldman: Household risk management techniques in an intertemporal consumption model Jerzy Gwizdała: Equity Release Schemes on selected housing loan markets across the world Magdalena Homa: Mathematical reserves in insurance with equity fund versus a real value of a reference portfolio Monika Kaczała, Dorota Wiśniewska: Risks in the farms in Poland and their financing research findings Yury Y. Karaleu: Slice-Of-Life customization of bankruptcy models: Belarusian experience and future development Patrycja Kowalczyk-Rólczyńska: Equity release products as a form of pension security Dominik Krężołek: Volatility and risk models on the metal market Bożena Kunz: The scope of disclosures of fair value measurement methods of financial instruments in financial statements of banks listed on the Warsaw Stock Exchange Szymon Kwiatkowski: Venture debt financial instruments and investment risk of an early stage fund Katarzyna Łęczycka: Accuracy evaluation of modeling the volatility of VIX using GARCH model Ewa Majerowska: Decision-making process: technical analysis versus financial modelling Agnieszka Majewska: The formula of exercise price in employee stock options testing of the proposed approach Sebastian Majewski: The efficiency of the football betting market in Poland. 222 Marta Małecka: Spectral density tests in VaR failure correlation analysis

4 6 Contents Adam Marszk: Stock markets in BRIC: development levels and macroeconomic implications Aleksander R. Mercik: Counterparty credit risk in derivatives Josef Novotný: Possibilities for stock market investment using psychological analysis Krzysztof Piasecki: Discounting under impact of temporal risk aversion a case of discrete time Aleksandra Pieloch-Babiarz: Dividend initiation as a signal of subsequent earnings performance Warsaw trading floor evidence Radosław Pietrzyk, Paweł Rokita: On a concept of household financial plan optimization model Agnieszka Przybylska-Mazur: Selected methods of the determination of core inflation Andrzej Rutkowski: The profitability of acquiring companies listed on the Warsaw Stock Exchange Dorota Skała: Striving towards the mean? Income smoothing dynamics in small Polish banks Piotr Staszkiewicz, Lucia Staszkiewicz: HFT s potential of investment companies Dorota Szczygieł: Application of three-dimensional copula functions in the analysis of dependence structure between exchange rates Aleksandra Szpulak: A concept of an integrative working capital management in line with wealth maximization criterion Magdalena Walczak-Gańko: Comparative analysis of exchange traded products markets in the Czech Republic, Hungary and Poland Stanisław Wanat, Monika Papież, Sławomir Śmiech: Causality in distribution between European stock markets and commodity prices: using independence test based on the empirical copula Krystyna Waszak: The key success factors of investing in shopping malls on the example of Polish commercial real estate market Ewa Widz: Single stock futures quotations as a forecasting tool for stock prices Tadeusz Winkler-Drews: Contrarian strategy risks on the Warsaw Stock Exchange Marta Wiśniewska: EUR/USD high frequency trading: investment performance Agnieszka Wojtasiak-Terech: Risk identification and assessment guidelines for public sector in Poland Ewa Wycinka: Time to default analysis in personal credit scoring Justyna Zabawa, Magdalena Bywalec: Analysis of the financial position of the banking sector of the European Union member states in the period

5 Contents 7 Streszczenia Roman Asyngier: Efekt resplitu na Giełdzie Papierów Wartościowych w Warszawie Monika Banaszewska: Inwestorzy zagraniczni na polskim rynku obligacji skarbowych w latach Katarzyna Byrka-Kita, Mateusz Czerwiński: Transakcje dotyczące znaczących pakietów akcji a prywatne korzyści z tytułu kontroli na polskim rynku kapitałowym Ewa Dziwok: Ocena umiejętności inwestycyjnych dla portfela o stałym dochodzie Łukasz Feldman: Zarządzanie ryzykiem w gospodarstwach domowych z wykorzystaniem międzyokresowego modelu konsumpcji Jerzy Gwizdała: Odwrócony kredyt hipoteczny na wybranych światowych rynkach kredytów mieszkaniowych Magdalena Homa: Rezerwy matematyczne składek UFK a rzeczywista wartość portfela referencyjnego Monika Kaczała, Dorota Wiśniewska: Zagrożenia w gospodarstwach rolnych w Polsce i finansowanie ich skutków wyniki badań Yury Y. Karaleu: Podejście Slice-Of-Life do dostosowania modeli upadłościowych na Białorusi Patrycja Kowalczyk-Rólczyńska: Produkty typu equity release jako forma zabezpieczenia emerytalnego Dominik Krężołek: Wybrane modele zmienności i ryzyka na przykładzie rynku metali Bożena Kunz: Zakres ujawnianych informacji w ramach metod wyceny wartości godziwej instrumentów finansowych w sprawozdaniach finansowych banków notowanych na GPW Szymon Kwiatkowski: Venture debt instrumenty finansowe i ryzyko inwestycyjne funduszy finansujących wczesną fazę rozwoju przedsiębiorstw Katarzyna Łęczycka: Ocena dokładności modelowania zmienności indeksu VIX z zastosowaniem modelu GARCH Ewa Majerowska: Podejmowanie decyzji inwestycyjnych: analiza techniczna a modelowanie procesów finansowych Agnieszka Majewska: Formuła ceny wykonania w opcjach menedżerskich testowanie proponowanego podejścia Sebastian Majewski: Efektywność informacyjna piłkarskiego rynku bukmacherskiego w Polsce Marta Małecka: Testy gęstości spektralnej w analizie korelacji przekroczeń VaR Adam Marszk: Rynki akcji krajów BRIC: poziom rozwoju i znaczenie makroekonomiczne

6 8 Contents Aleksander R. Mercik: Ryzyko niewypłacalności kontrahenta na rynku instrumentów pochodnych Josef Novotný: Wykorzystanie analizy psychologicznej w inwestycjach na rynku akcji Krzysztof Piasecki: Dyskontowanie pod wpływem awersji do ryzyka terminu przypadek czasu dyskretnego Aleksandra Pieloch-Babiarz: Inicjacja wypłaty dywidend jako sygnał przyszłych dochodów spółek notowanych na warszawskim parkiecie Radosław Pietrzyk, Paweł Rokita: Koncepcja modelu optymalizacji planu finansowego gospodarstwa domowego Agnieszka Przybylska-Mazur: Wybrane metody wyznaczania inflacji bazowej Andrzej Rutkowski: Rentowność spółek przejmujących notowanych na Giełdzie Papierów Wartościowych w Warszawie Dorota Skała: Wyrównywanie do średniej? Dynamika wygładzania dochodów w małych polskich bankach Piotr Staszkiewicz, Lucia Staszkiewicz: Potencjał handlu algorytmicznego firm inwestycyjnych Dorota Szczygieł: Zastosowanie trójwymiarowych funkcji copula w analizie zależności między kursami walutowymi Aleksandra Szpulak: Koncepcja zintegrowanego zarządzania operacyjnym kapitałem pracującym w warunkach maksymalizacji bogactwa inwestorów. 425 Magdalena Walczak-Gańko: Giełdowe produkty strukturyzowane analiza porównawcza rynków w Czechach, Polsce i na Węgrzech Stanisław Wanat, Monika Papież, Sławomir Śmiech: Analiza przyczynowości w rozkładzie między europejskimi rynkami akcji a cenami surowców z wykorzystaniem testu niezależności opartym na kopule empirycznej Krystyna Waszak: Czynniki sukcesu inwestycji w centra handlowe na przykładzie polskiego rynku nieruchomości komercyjnych Ewa Widz: Notowania kontraktów futures na akcje jako prognoza przyszłych cen akcji Tadeusz Winkler-Drews: Ryzyko strategii contrarian na GPW w Warszawie Marta Wiśniewska: EUR/USD transakcje wysokiej częstotliwości: wyniki inwestycyjne Agnieszka Wojtasiak-Terech: Identyfikacja i ocena ryzyka wytyczne dla sektora publicznego w Polsce Ewa Wycinka: Zastosowanie analizy historii zdarzeń w skoringu kredytów udzielanych osobom fizycznym Justyna Zabawa, Magdalena Bywalec: Analiza sytuacji finansowej sektora bankowego krajów Unii Europejskiej w latach

7 PRACE NAUKOWE UNIWERSYTETU EKONOMICZNEGO WE WROCŁAWIU nr 207 RESEARCH PAPERS OF WROCŁAW UNIVERSITY OF ECONOMICS nr Financial Investment and Insurance ISSN Global Trends and the Polish Market e-issn Monika Banaszewska Poznań University of Economics FOREIGN INVESTORS ON THE POLISH TREASURY BOND MARKET IN THE YEARS Summary: In the article the involvement of non-residents in the domestic market for Polish Treasury bonds in the years was examined. The structure of this involvement was analysed from the sectorial and instrumental points of view. The causes of changes in this involvement and the risk associated with the possible withdrawal of capital by foreign investors were also discussed. The author used descriptive analysis and descriptive statistics methods. The study shows that in the years there was as a result of both internal and external factors a significant increase in the involvement of non-residents in the domestic government bond market. The largest share in the group of foreign investors had non-bank financial institutions (sectorial approach), while capital was primarily invested in fixed rate bonds (instrumental approach). The risk of sudden outflow of non-residents was mitigated by cash reserves kept by the Ministry of Finance and the structural liquidity surplus of the Polish banking sector. Keywords: Treasury debt, Treasury securities, emerging markets. DOI: /pn Introduction Research on the causes, determinants and implications of foreign capital inflows to emerging markets (and outflows of this capital) is important both from the cognitive and application points of view. In the context of the recent global crisis, the attention has been turned to the involvement of foreign investors in the markets for Treasury securities denominated in national currency [Peiris 2010; Miyajima, Mohanty, Chan 2012]. This issue is of high significance for emerging economies like Poland. Therefore, the article discusses the involvement of non-residents in the domestic market for Polish Treasury bonds, also in comparison to the situation in several emerging countries (European as well as non-european ones). The author uses descriptive analysis and descriptive statistics methods (correlation analysis).

8 Foreign investors on the Polish treasury bond market in the years Involvement of foreign investors in the domestic marketable Treasury bond market levels and flows Domestic marketable Treasury bonds 1 are by far the largest component of the Treasury debt in Poland. 2 As can be seen from Figure 1, in the period from 2007 to 2013 this share ranged from 61.4% (February 2009) to 72.3% (March 2008). The involvement of different groups of investors on the market of these instruments and their changes are therefore crucial for the Treasury debt management, including covering state budget borrowing needs. Figure 1. Share of domestic marketable Treasury bonds in the total Treasury debt in Poland in the years (in %) Source: own calculations on the basis of [Ministerstwo Finansów, Zadłużenie Skarbu Państwa]. Overall, in the years in Poland there was a downward and then an upward trend in the involvement of foreign investors in the domestic Treasury bond market (see Figure 2). 3 The turning point for the non-residents outflow tendency was the first quarter of Participation of non-residents in the domestic bond market reached a minimum in absolute value in December 2008 (PLN 55.2 bln) and in relative value in March 2009 (15.2%) (see Figure 2). In contrast, the highest share of foreign investors both in absolute and relative terms occurred in April The terms domestic marketable Treasury bonds, domestic marketable bonds and domestic Treasury bonds will be used interchangeably throughout this article. 2 In addition to the marketable bonds (that may be subject to secondary trading on a regulated secondary market) the domestic Treasury debt in Poland consists of: savings bonds (addressed to individual investors and traded only on an unregulated secondary market) and non-market bonds (issued outside the financial market). 3 There were similar changes in many other emerging markets [Turner 2012, p. 18].

9 28 Monika Banaszewska (PLN bln; 37.9%). A temporary as it turned out outflow of non-residents from emerging markets was triggered by B. Bernanke s statement that the Fed might reduce quantitative easing programme at the end of The financial markets stabilised thanks to the improvement in the global economic circumstances and investors belief that the reduction in the Fed s asset purchase would not be associated with an immediate rise in central bank interest rates [Institute of International Finance 2014, p. 1, 2]. Figure 2. Absolute and relative share of foreign investors on the domestic marketable Treasury bonds market in Poland in the years (in %) Source: own calculations on the basis of [Ministerstwo Finansów, Portfele po seriach]. The reasons for a substantial increase in the involvement of non-residents in the Polish market for domestic Treasury bonds, starting from the second quarter of 2009, include [Ministerstwo Finansów 2012b, p. 28; NBP 2010, p. 23; NBP 2011, p. 23, 24]: disparity in interest rates between developed markets and Poland particularly eager to invest in emerging markets are insurance companies and pension funds offering defined benefit plans which are required to achieve rates of return not lower than technical rates of return or benchmarks, set before the financial crisis; relatively high profitability of Polish bonds in comparison with credit risk; stable credit rating for Poland; satisfying budget and macroeconomic situation, against the background of other countries in the region and some euro area countries; sufficiently large, liquid and well-organized financial market, especially the Treasury securities market.

10 Foreign investors on the Polish treasury bond market in the years In most cases (54 months, 64.3% of the total) non-residents portfolio changed in the same direction as debt in domestic marketable bonds (see Table 1). The Pearson correlation coefficient between these two variables in the years equals and is statistically significant at α = 0,05 (df = 82; p-value = 0,001). The demand of foreign investors was therefore an important factor determining the choice of timing and size of their issuance. Table 1. Flows of foreign investors funds and changes in debt in domestic marketable Treasury bonds in the years Change in non- -residents portfolio Change in debt Number of months Total Total Source: own calculations on the basis of [Ministerstwo Finansów, Portfele po seriach]. It is also worth noting that in the years 2007 and 2008, the most common variant was a combination of a decline in foreign investors involvement (in absolute terms) and an increase in the relevant part of Treasury debt. Under the conditions of foreign investors outflow, financing growing state budget borrowing needs was then assured by the increase in the involvement of domestic investors, predominantly banking sector. 3. Instrumental and sectorial structure of foreign investors involvement in the domestic marketable Treasury bond market Over the period non-residents invested their funds primarily in domestic fixed rate Treasury bonds. The total share of investment in floating rate and inflation indexed bonds did not exceed 11%. It is also worth examining what amount of particular types of domestic Treasury bonds was held by foreign investors (in relative terms). Firstly, the share of non-residents in fixed rate Treasury bond market and its changes were similar to overall changes in their involvement in the market for domestic government bonds. The share of non-residents in floating rate Treasury bond market, by contrast, was negligible. In 66 out of 84 examined months, this share did not exceed 5%. Finally, in early 2007 approximately 80% of inflation linked Treasury bonds was held by non-residents (see Figure 3). Such a high share

11 30 Monika Banaszewska Figure 3. Share of foreign investors in particular types of domestic Treasury bond markets in the years (in %) Source: own calculations on the basis of [Ministerstwo Finansów, Portfele po seriach]. resulted from a relatively low supply of these instruments. Then, this share fell significantly, stabilizing in at the level of ca %. In 2013 foreign investors increased temporarily their share in indexed bond market to over 40%. Figure 4. The structure of foreign investors on the domestic marketable Treasury bond market in the years Source: own calculations on the basis of [Ministerstwo Finansów, Portfele nierezydentów po seriach].

12 Foreign investors on the Polish treasury bond market in the years The analysis of sectorial structure of non-residents involvement in the domestic Treasury bond market indicates that in the period from 2007 to 2013 the share of non-bank financial institutions (including investment funds, pension funds and insurance companies) was by far the largest one (see Figure 4). What is more, this share increased by an average of 0.24 percentage points per month 4 with a corresponding decrease in banks share. This trend should be considered as positive because non-bank financial institutions in particular pension funds and life insurance companies typically have longer investment horizons than banks. Their involvement in the market for domestic bonds is therefore more stable. The importance of other investors (individuals, non-financial entities, others) in the analysed market was the marginal since in the years their share did not exceed 7%. 4. The risk associated with the potential withdrawal of funds by foreign investors Foreign investors, in comparison with domestic ones, attach greater importance to credit ratings (and their changes) and are more likely to be subject to herd mentality [Lojsch, Rodriguez-Vives, Slavik 2011, p. 33]. Outflows of non-residents funds may therefore pose a threat to the stability of domestic Treasury bond market. In the discussion paper [McKinsey Global Institute, 2013] Poland 5 was included in the group of emerging economies threatened by foreign investors capital outflow. There were indicated two main sources of risk for Poland: the highly dynamic inflow of non-residents funds on domestic bond market and the persistent current account deficit. In , the current account deficit (in relation to GDP, in %) amounted to, respectively: 6.2; 6.6; 3.9; 5.1; 5.0; 3.7 and 1.3 [GUS, Roczne wskaźniki makroekonomiczne]. Figure 5 presents three features of non-residents involvement in the domestic State Treasury debt market in Poland and other 17 emerging countries in the years They can assist the evaluation of risk of non-residents outflow from the Polish market. On the one hand, the share of non-residents at the end of 2013 as well as amplitude of this share in categorize Poland as an emerging market relatively prone to non-resident s outflow. On the other hand, the coefficient of variation of this share suggests that the appropriate changes tended to be rather smooth. 4 Linear trend: y = 0.24t (t = 0, 1,, 83; t = 0 for January 2007; R 2 = 0.78). 5 As well as: Chile, Columbia, India, Indonesia, Republic of South Africa, Turkey and Ukraine.

13 32 Monika Banaszewska 60% 40% Non-residents' share as of at the end of 2013 (in %) 20% 0% 40% 20% Argentina Egypt Bulgaria India China Philippines Lithuania Brazil Thailand Turkey Russia Malaysia Indonesia Poland Amplitude of non-residents' share in (max - min; in pp) South Mexico Hungary Peru 0% China Bulgaria India Philippines Brazil Turkey Thailand Lithuania Argentina Indonesia Hungary Malaysia Poland Russia Egypt South Africa Mexico Peru 200% 160% 120% 80% 40% 0% Hungary Indonesia Coefficient of variation of non-residents' share in (in %) Poland Turkey Peru Malaysia Brazil South Africa India Mexico Lithuania Argentina Thailand Bulgaria Egypt Philippines Russia China Figure 5. Foreign investors in selected emerging countries local-currency government securities market Source: own calculations on the basis of [IMF, Sovereign Investor ]. In order to mitigate negative consequences of the sudden outflow of foreign investors from the domestic Treasury bond market, the Ministry of Finance kept a significant liquidity reserve in (see Figure 6).

14 Foreign investors on the Polish treasury bond market in the years Figure 6. Local and foreign currency funds in disposal of the Ministry of Finance Source: own calculations on the basis of [Ministerstwo Finansów 2010, 2011, 2012a, 2013, 2014]. Poland has also obtained an access to the Flexible Credit Line from the International Monetary Fund [Jędrzejowicz, Koziński 2012, p. 292]. The structural excess liquidity in the Polish banking sector is a factor which also stabilises bond market. 6 The share of domestic banks in the Treasury securities market falls in good times, and increases in emergency situations (such as in 2008) [Ministerstwo Finansów 2012b, p. 26, 27]. 5. Conclusions After the stabilisation in global financial markets starting from 2009 a coincidence of domestic and international circumstances resulted in an unprecedented increase in the involvement of non-residents in the Polish domestic Treasury bond market. However, the experience of mid-2013 showed that one should still take into consideration the volatility of foreign investors sentiment. In the short term liquidity reserves (kept by both government entities and domestic investors) are of critical importance. In the medium and long term the 6 In 2013 the average excess liquidity in the Polish banking sector amounted to PLN bln and was over six times higher than in 2007 [NBP 2008; NBP 2014].

15 34 Monika Banaszewska safety of covering state budget borrowing needs is dependent on the development of domestic non-bank financial sector. The comprehensive analysis of the involvement of foreign investors and monitoring its associated risks requires an access to detailed data on the structure of this commitment. In response to these information needs since April 2014, under [Rozporządzenie MF z 6 marca 2014], data on institutional (more specified) and geographical distribution of foreign investors on the domestic marketable Treasury securities market have been collected and published. References GUS, Roczne wskaźniki makroekonomiczne, (retrieved: ). IMF, Sovereign Investor Base Dataset for Emerging Markets, /2014/Data/wp1439.zip (retrieved: ). Institute of International Finance, 2014, Capital Flows to Emerging Market Economies, IIF Research Note, January. Jędrzejowicz T., Koziński W., 2012, A Framework for Fiscal Vulnerability Assessment and Its Application to Poland, [in:] Fiscal Policy, Public Debt and Monetary Policy in Emerging Market Economies, BIS Papers, no. 67, p Lojsch D.H., Rodriguez-Vives M., Slavik M., 2011, The Size and Composition of Government Debt in the Euro Area, ECB Occasional Paper Series, no McKinsey Global Institute, 2013, QE and Ultra-Low Interest Rates: Distributional Effects and Risks, Discussion Paper, November. Ministerstwo Finansów, 2010, Plan finansowania potrzeb pożyczkowych budżetu państwa i jego uwarunkowania. Grudzień 2010, Warszawa. Ministerstwo Finansów, 2011, Plan finansowania potrzeb pożyczkowych budżetu państwa i jego uwarunkowania. Grudzień 2011, Warszawa. Ministerstwo Finansów, 2012a Plan finansowania potrzeb pożyczkowych budżetu państwa i jego uwarunkowania. Grudzień 2012, Warszawa. Ministerstwo Finansów, 2012b, Strategia zarządzania długiem sektora finansów publicznych w latach , Warszawa. Ministerstwo Finansów, 2013, Plan finansowania potrzeb pożyczkowych budżetu państwa i jego uwarunkowania. Grudzień 2013, Warszawa. Ministerstwo Finansów, 2014, Plan finansowania potrzeb pożyczkowych budżetu państwa i jego uwarunkowania. Czerwiec 2014, Warszawa. Ministerstwo Finansów, Portfele nierezydentów po seriach, (retrieved: ). Ministerstwo Finansów, Portfele po seriach, (retrieved: ). Ministerstwo Finansów, Zadłużenie Skarbu Państwa, (retrieved: ). Miyajima K., Mohanty M.S., Chan T., 2012, Emerging Market Local Currency Bonds: Diversification and Stability, BIS Working Papers, No NBP, 2008, Raport roczny 2007, Warszawa. NBP, 2010, Raport o stabilności systemu finansowego. Grudzień 2010, Warszawa. NBP, 2011, Raport o stabilności systemu finansowego. Grudzień 2011, Warszawa.

16 Foreign investors on the Polish treasury bond market in the years NBP, 2014, Raport roczny 2013, Warszawa. Rozporządzenie Ministra Finansów z dnia 6 marca 2014 r. w sprawie obowiązków sprawozdawczych w zakresie obrotu papierami wartościowymi emitowanymi przez Skarb Państwa, Dz.U. poz Turner P., 2012, Weathering Financial Crisis: Domestic Bond Markets in EMEs, [in:] Weathering Financial Crises: Bond Markets in Asia and the Pacific, BIS Papers, no. 63, p INWESTORZY ZAGRANICZNI NA POLSKIM RYNKU OBLIGACJI SKARBOWYCH W LATACH Streszczenie: W artykule zbadano zaangażowanie nierezydentów na polskim rynku obligacji skarbowych w latach Przeprowadzono analizę tego zaangażowania z instrumentalnego i sektorowego punktu widzenia. Zbadano również przyczyny jego zmian oraz ryzyko związane z potencjalnym wycofywaniem kapitałów nierezydentów. W artykule wykorzystano analizę opisową i metody statystyki opisowej. Z przeprowadzonego badania wynika, że w latach wystąpił w rezultacie wpływu czynników zarówno wewnętrznych, jak i zewnętrznych wyraźny wzrost zaangażowania nierezydentów na krajowym rynku obligacji skarbowych rynkowych. W grupie inwestorów zagranicznych największy udział miały pozabankowe instytucje finansowe (ujęcie sektorowe), zaś środki lokowane były przede wszystkim w obligacjach o stałym oprocentowaniu (ujęcie instrumentalne). Ryzyko nagłego odpływu kapitałów nierezydentów było łagodzone rezerwami płynności utrzymywanymi przez Ministerstwo Finansów oraz strukturalną nadpłynnością polskiego sektora bankowego. Słowa kluczowe: dług Skarbu Państwa, skarbowe papiery wartościowe, rynki wschodzące.