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Magyar szuverén fix kamatozású forintkötvények hozamdekompozíciója
[Decomposition of the five-year Hungarian sovereign fixed income forint yields]

Author

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  • Monostori, Zoltan

Abstract

Tanulmányomban bemutatom azokat a tényezőket, melyek befolyásolják a magyar államkötvények árfolyamait. Arra a kérdésre keresem a választ, hogy a válság során mely felárak mozgatták a hosszú lejáratú állampapírok hozamait. Egy Magyarországhoz hasonló, kis, nyitott, nettó hitelezett gazdaságban a hozamokat a kockázatmentes hozam, a várható devizaárfolyam-változás, és a befektetők kockázataiért elvárt felár határozzák meg. A felárat alapvetően négy fő kockázattípus befolyásolja: hitelkockázat, likviditási kockázat, devizaárfolyam-kockázat és kamatkockázat. Míg a hitel- és a likviditási kockázati prémium becslésére elfogadható proxykat találok (credit default swap szpredek és kamatswapszpredek), a másik két tényező okozta felárat, valamint a várt devizaárfolyam-elmozdulás hatását együttesen, maradékelven vizsgálom. A válság első hullámában a hozamok növekedéséhez elsősorban a hitelkockázati felár és a likviditási felár járult hozzá, míg 2011 nyarától egy összeurópai összeomlás valamint egy csupán magyar nemfizetés vélt esélye okozza a prémium nagy részét, miközben a likviditási felár növekedése korlátozott marad.

Suggested Citation

  • Monostori, Zoltan, 2012. "Magyar szuverén fix kamatozású forintkötvények hozamdekompozíciója [Decomposition of the five-year Hungarian sovereign fixed income forint yields]," MPRA Paper 54253, University Library of Munich, Germany, revised Sep 2012.
    • Handle: RePEc:pra:mprapa:54253
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    References listed on IDEAS

    as
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    7. Christian Hawkesby & Christie Smith & Christine Tether, 2000. "New Zealand's currency risk premium," Reserve Bank of New Zealand Bulletin, Reserve Bank of New Zealand, vol. 63, September.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    fixed income yield; marginal investor; decomposition; premium;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
    • H63 - Public Economics - - National Budget, Deficit, and Debt - - - Debt; Debt Management; Sovereign Debt

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