Impact of declining interest rates on European primary bond market

The purpose of this paper is to analyze the impact of negative interest rates on economic activity in a selected group of countries, in particular Sweden, Denmark, and Switzerland, for the period 2009–2018. The central banks of these countries were among the first to implement negative interest rates to revive the economic growth. Therefore, this study analyzed long- and short-term relationships between interest rates announced by central banks and gross domestic product and blue chip stock indices. Time series analysis was conducted using Engle-Granger cointegration analysis and Granger causality testing to identify long- and short-term relationship. The first step, using the Akaike criteria, was to determine the optimal delay of the entire time interval for the analyzed periods. Time series that seem to be stationary were excluded based on the results of the Dickey-Fuller test. Further testing continued with the Engle-Granger test if the conditions were met. It was designed to identify co-integration relationships that would show correlation between the selected variables. These tests showed that at a significance level of 0.05, there is no co-integration between any time series in the countries analyzed. On the basis of these analyses, it was determined that there were no long-term relationships between interest rates and GDP or stock indices for these countries during the monitored time period. Using Granger causality, the study only confirmed short-term relationship between interest rates and GDP for all examined countries, though not between interest rates and the stock indices.

Acknowledgment 
The paper has been created with the financial support of The Czech Science Foundation GACR 18-05244S – Innovative Approaches to Credit Risk Management.

The paper is focused on the performance features of the monetary transmission mechanism (MTM) in Ukraine as a small open economy. To assess the efficiency of monetary transmission channels, it is important to disclose their interaction, define criteria and tools for analyzing their impact on key macroeconomic parameters. The study deepens approaches to the analysis of the intensity of using monetary, credit, interest rate and exchange rate channels in Ukraine in 2005–2020 and detects violations in the functioning of the MTM. Using economic and statistical methods and regression models, the influence of the main channels of monetary transmission on real GDP growth rate and inflation in Ukraine was assessed. It was concluded that it is advisable to clarify the conditions for increasing the efficiency of MTM in Ukraine; also, the parameters of forecasting the intensification of its channels in the medium and long term are determined. The paper highlights measures to improve the formation of volume and structure of the monetary base and monetary aggregates, improve credit and investment climate, and increase the efficiency of monetary regulation. Moreover, interest rate and foreign exchange policies of the central bank to transmit impulses from the decisions of monetary authorities to market participants were substantiated.

Using macroeconomic factors as control variables, this paper examines the impact of corruption on the development of the stock market in East Asia and the Pacific (EAP) from 2008 to 2018. The research model uses GMM techniques to estimate panel data on two sub-sets of data, including five developed markets and seven emerging markets, and a dataset of both market groups. The market capitalization and the stock transaction value relative to GDP represent the development of the stock market, and the corruption control index represents the corruption factor. The empirical results found that corruption has a positive impact on the EAP stock market capitalization with the entire sample data set, which positively affects both size of the market capitalization value and value of stock transactions in underdeveloped markets. However, it is not statistically significant in explaining the development of developed stock markets. Besides, macroeconomic factors such as inflation, interest rates, savings, and credit affect some stock markets at EAP. Compared to previous studies, the article’s results found that corruption affects stock market capitalization and has a positive impact on stock liquidity in underdeveloped stock markets. Corruption affects more underdeveloped stock markets than developed stock markets. This may be due to the implicit relationship of economic benefits between large enterprises and officials in underdeveloped markets.