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Polityka fiskalna i premia za ryzyko akcji na warszawskiej giełdzie

Author

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  • Paweł Radwański

    (Uniwersytet Warszawski, Wydział Nauk Ekonomicznych)

Abstract

Artykuł przedstawia analizę wpływu zmian stawek podatkowych w Polsce na premię za ryzyko z akcji na warszawskiej giełdzie. W analizie wykorzystano strukturalny model wektorowej autoregresji (SVAR), do którego identyfikacji posłużyły narracyjne szoki podatkowe skonstruowane tak, aby minimalizować problem przewidywalności polityki fiskalnej. Otrzymane wyniki wskazują na wzrost premii za ryzyko w następstwie podwyżki podatków, mimo że jej wpływ na realny wzrost gospodarczy i inflację jest niewielki. Sugeruje to istotną rolę czynników behawioralnych w kształtowaniu premii za ryzyko zawartej w indeksie giełdowym.

Suggested Citation

  • Paweł Radwański, 2019. "Polityka fiskalna i premia za ryzyko akcji na warszawskiej giełdzie," Bank i Kredyt, Narodowy Bank Polski, vol. 50(3), pages 265-294.
    • Handle: RePEc:nbp:nbpbik:v:50:y:2019:i:3:p:265-294
    as

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    References listed on IDEAS

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    More about this item

    Keywords

    premia za ryzyko; polityka fiskalna; SVAR; metoda narracyjna;
    All these keywords.

    JEL classification:

    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • E62 - Macroeconomics and Monetary Economics - - Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook - - - Fiscal Policy; Modern Monetary Theory
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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