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Dylematy reformy indeksów rynku finansowego

Author

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  • Piotr Mielus

Abstract

Celem artykułu jest prezentacja stanu prac nad reformą indeksów rynku finansowego, ze szczególnym uwzględnieniem oceny skutków ekonomicznych proponowanych zmian dla rynku pieniężnego. Reforma wskaźników jest determinowana przez Rozporządzenie Parlamentu Europejskiego w sprawie indeksów stosowanych jako wskaźniki w instrumentach finansowych. W artykule weryfikowana jest teza o istnieniu ścieżki konwersji z indeksów deklaratywnych na transakcyjne, która nie zagraża stabilności rynku i zapewnia ciągłość prawną indeksów. W celu weryfikacji tezy badawczej, autor sięga do opracowań regulatorów i administratorów indeksów, prezentując dyskusję na temat możliwych szans i zagrożeń dla rozwoju rynku finansowego pod wpływem określonych rozwiązań proponowanych przez poszczególnych interesariuszy. Metodyka zastosowana w artykule obejmuje analizę ekonomiczną i prawną zmierzającą do oceny skutków wdrożonych propozycji dla płynności i stabilności różnych segmentów rynku finansowego. Autor wskazuje na możliwe konsekwencje obowiązkowej transformacji indeksów na wiarygodność i ciągłość wskaźników finansowych stosowanych do wyceny kredytów i instrumentów pochodnych. Wnioski z analizy obejmują dwa podstawowe aspekty. Po pierwsze, wskazują optymalną docelową definicję indeksu i metodykę jego wyznaczania. Po drugie, wskazują na ścieżkę konwersji, która minimalizuje ryzyko destabilizacji rynku finansowego. Optymalna definicja indeksu zmierza do oparcia go na faktycznie zawartych transakcjach, a w przypadku braku odpowiednio płynnego rynku bazowego, wymusza rozszerzenie palety instrumentów branych pod uwagę przy wyznaczaniu wskaźnika. Dla indeksów rynku pieniężnego niezbędne będzie uwzględnienie depozytów od instytucji niebankowych. Nowa definicja indeksu doprowadzi jednak do zmiany poziomu i wariancji wskaźnika, co może zagrozić stabilności umów zawartych na rynku finansowym. Dlatego konieczne jest wdrożenie równoległe kwotowania wskaźników wg nowej i starej metodyki, tak aby zachowana była ciągłość wyceny istniejących instrumentów finansowych.

Suggested Citation

  • Piotr Mielus, 2016. "Dylematy reformy indeksów rynku finansowego," Gospodarka Narodowa. The Polish Journal of Economics, Warsaw School of Economics, issue 4, pages 91-114.
    • Handle: RePEc:sgh:gosnar:y:2016:i:4:p:91-114
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    References listed on IDEAS

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    1. Mielus Piotr, 2019. "How to Measure the Economic Integrity of Ibor Panels? A Behavioural Approach," Financial Sciences. Nauki o Finansach, Sciendo, vol. 24(1), pages 51-73, March.

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    More about this item

    Keywords

    indeksy rynku finansowego; rynek pieniężny; koszt finansowania; ryzyko bazowe;
    All these keywords.

    JEL classification:

    • G01 - Financial Economics - - General - - - Financial Crises
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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