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A devizakötvény-felárak és a hitelminősítések összefüggése - keresztmetszeti elemzés. A cross-section analysis
[The relationship of international bond spreads and sovereign credit ratings]

Author

Listed:
  • Kocsis, Zalán
  • Mosolygó, Zsuzsa

Abstract

Az államadósság után fizetett kamatok egyik lényeges összetevője a szuverén kibocsátó (az állam és a jegybank) kockázati felára, amely a befektetőket az adós nem fizetési kockázatáért kárpótolja. E kockázat (államkockázat) és az érte követelt felár tanulmányozása fontos lehet a kamatalakulás és kötvénypiaci folyamatok általános összefüggéseinek megértésében. A szerzők az államkockázatot explicit módon mérő hitelminősítői besorolások és a piac értékelését kifejező devizakötvény-felárak kapcsolatát modellezik. A modellek alapján választ keresnek arra a kérdésre, hogy a magyar állam által fizetett devizafelárak megfelelnek-e a magyar hitelminősítői besorolásból következő feláraknak; vagyis hasonlóan ítélik-e meg a hitelminősítő ügynökségek és a piaci szereplők a magyar államkockázatot. Ezenkívül azt is megvizsgálják, hogyan változott globális méretekben a hitelminősítői besorolás és a devizakötvény-felárak közötti kapcsolat 2005 eleje és vége között, s ez milyen tényezőknek tulajdonítható. Journal of Economic Literature (JEL) kód: E43, F34, G15, G29.

Suggested Citation

  • Kocsis, Zalán & Mosolygó, Zsuzsa, 2006. "A devizakötvény-felárak és a hitelminősítések összefüggése - keresztmetszeti elemzés. A cross-section analysis [The relationship of international bond spreads and sovereign credit ratings]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(9), pages 769-798.
    • Handle: RePEc:ksa:szemle:867
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    References listed on IDEAS

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    1. Zalán Kocsis & Dénes Nagy, 2011. "Variance decomposition of sovereign CDS spreads," MNB Bulletin (discontinued), Magyar Nemzeti Bank (Central Bank of Hungary), vol. 6(3), pages 36-50, October.

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    More about this item

    JEL classification:

    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
    • F34 - International Economics - - International Finance - - - International Lending and Debt Problems
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • G29 - Financial Economics - - Financial Institutions and Services - - - Other

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