natgillin/translations-raw huggingface dataset:
interest rates at specific maturities with the average level of volatility across the whole maturity spectrum may allow the central bank to detect atypical movements in some segments of the money market, which, in turn, could be related to imperfections in the market’s structure and might impede the effective transmission of the monetary policy impulse.
Pri ocenjevanju gibanj na denarnem trgu v letu 2007 je treba analizirati ne le raven obrestnih mer (kot v glavnem besedilu), temveč tudi njihovo volatilnost. V zvezi s tem je posebno pomembno dvoje: i) ocena, kako sklepi o denarni politiki vplivajo na denarne trge, in ii) analiza delovanja trga, zlasti glede transmisije signalov denarne politike s krajšega na daljši del razpona ročnosti obrestnih mer.
Against this background, an analysis of the volatility of money market interest rates over the course of 2007 may help to shed light on the impact of the financial turmoil observed as of August 2007.
Na podlagi tega lahko z analizo volatilnosti obrestnih mer denarnega trga v letu 2007 osvetlimo vpliv fi nančnih pretresov po avgustu 2007.
This box focuses on developments in the unsecured segment of the interbank market (i.e. transactions conducted without collateral), the segment most affected by the turmoil.
V tem okvirju se osredotočamo na gibanja v nezavarovanem segmentu medbančnega trga (tj. na transakcije, izvedene brez zavarovanja), na katerega so pretresi najbolj vplivali.
It considers volatility measures derived from the overnight interest rate, interbank deposit rates at one, three, six and twelve-month maturities and the three-month EURIBOR (for which a variety of derivative contracts exist).2
Upoštevamo merila volatilnosti, izvedena iz obrestne mere čez noč, obrestne mere za medbančne vloge z 1, 3, 6- in 12-mesečno ročnostjo ter 3-mesečni EURIBOR (za katerega obstajajo različne izvedene finančne pogodbe).2
The evolution of money market interest rate volatility in 2007
Gibanje volatilnosti obrestnih mer denarnega trga v letu 2007
Chart A shows the evolution of historical realised volatility in the overnight interest rate in 2007.
V grafu A je prikazano gibanje pretekle realizirane volatilnosti obrestnih mer čez noč v letu 2007.
Between January and mid-July realised volatility was relatively low, standing at levels similar to those observed in recent years.
Med januarjem in sredino julija je bila realizirana volatilnost razmeroma nizka in na podobni ravni kot v zadnjih letih.
Volatility exhibited the usual pattern of periodic rises confined to specific periods, namely the days between the last main refinancing operation and the last day of the reserve maintenance period.
Volatilnost je kazala običajni vzorec občasnega povečanja, ki je bilo omejeno na posamezna obdobja, tj. dneve med zadnjo operacijo glavnega refinanciranja in zadnjim dnevom obdobja izpolnjevanja obveznih rezerv.
Following the increased volatility observed in most financial markets towards the end of July, growing tensions in the money market were observed in early August on account of the rising uncertainty related to banks’ potentially large losses on their investments in US subprime mortgage markets and related instruments.
Po povečani volatilnosti, ki jo je bilo proti koncu julija mogoče opaziti na večini fi nančnih trgov, so se na začetku avgusta pojavile vedno večje napetosti na denarnem trgu, ki so bile posledica vse večje negotovosti zaradi potencialno velikih izgub bank pri naložbah v trge drugorazrednih hipotekarnih posojil v ZDA in s tem povezane instrumente.
This resulted in higher demand for overnight liquidity and a sharp rise in the level of volatility.
To je povzročilo večje povpraševanje po likvidnosti čez noč in skokovito povečanje volatilnosti.
2 The two measures of volatility reviewed in this box, namely realised historical volatility and implied volatility, are described in detail in the box entitled “Measuring volatility in the money market” in the article referred to in footnote 1.
2 Dve merili volatilnosti, ki sta obravnavani v tem okvirju (realizirana pretekla volatilnost in implicitna volatilnost), sta pv okvirju z naslovom „Measuring volatility in the money market” v članku, ki je naveden v opombi 1.
Chart B Daily realised volatility of longerterm deposit interest rates
Graf B Dnevna realizirana volatilnost dolgoročnih obrestnih mer za vloge
Chart A Daily realised volatility of the overnight interest rate
Graf A Dnevna realizirana volatilnost obrestne mere čez noč
(basis points)
(bazične točke)
(basis points) daily realised volatility of the overnight ratecentred 21-day moving average one-month deposit interest ratethree-month deposit interest ratetwelve-month deposit interest ratecentred 21-day moving average (one month)centred 21-day moving average (three months)centred 21-day moving average (twelve months)
12-mesečna obrestna mera za vlogesredinjena 21-dnevna drseča sredina (1 mesec)sredinjena 21-dnevna drseča sredina (3 meseci)sredinjena 21-dnevna drseča sredina (12 mesecev)
When considering longerterm rates – namely deposit interest rates with a maturity of one, three or twelve months – the profile which emerges is broadly similar (see Chart B).
Če pogledamo dolgoročnejše obrestne mere – obrestne mere za vloge z 1, 3- in 12-mesenostjo – se pokaže približno enaka dinamika (glej graf B).
However, some significant differences emerge, with longerterm interest rates showing, in particular, a tendency to react more sharply to the August turmoil.
Kljub temu obstajajo velike razlike, zlasti težnja dolgoročnejših obrestnih mer, da se ostreje odzivajo na avgustovske pretrese.
What explained the increased volatility in August 2007
Kaj je vzrok za povečano volatilnost v avgustu 2007?
Between the end of June and early August it became clear that a number of European financial institutions had incurred substantial losses on their activities in the US subprime mortgage markets.
Med koncem junija in začetkom avgusta je postalo jasno, da so številne evropske finančne institucije doživele precejšnje izgube pri svojih dejavnostih na drugorazrednih hipotekarnih trgih v ZDA.
As concerns about exposure to US subprime mortgage defaults intensified, the ability of conduits to refinance themselves diminished and demand for liquidity on the part of banks needing to provide credit to these conduits increased.
Ko se je zaskrbljenost glede izpostavljenosti neizpolnitvi obveznosti iz ameriških drugorazrednih hipotekarnih posojil okrepila, se je zmožnost prehodnih družb, da se same refinancirajo, zmanjšala, povpraševanje po likvidnosti s strani bank, ki so morale kreditirati prehodne družbe, pa se je povečalo.
These phenomena were further exacerbated by difficulties in the valuation of these financial products.
To so še poslabšale težave pri vrednotenju teh fi nančnih proizvodov.
The increased demand for liquidity, together with a loss of trust among counterparties, resulted in a tendency to hoard liquidity on the part of a large proportion of banks, and overall market liquidity thus declined significantly.
Povečano povpraševanje po likvidnosti je skupaj z izgubo zaupanja med nasprotnimi strankami povzročilo, da se je velik delež bank nagibal k tezavriranju likvidnosti, zato se je skupna likvidnost trga občutno zmanjšala.
Interest rates in the money market increased significantly, not least in the overnight segment, where the interest rate reached, on an intraday basis, levels almost 70 basis points above the minimum bid rate.
Obrestne mere na denarnem trgu so se precej zvišale, tudi v segmentu vlog čez noč, ko je bila obrestna mera na dnevni osnovi skoraj 70 bazičnih točk višja kot izklicna obrestna mera.
On 9 August, in view of the strong demand for liquidity in the overnight market, which was also causing a substantial increase in very shortterm market interest rates, the Eurosystem injected a significant amount of liquidity into the market for that day through an overnight refinancing operation.
Glede na veliko povpraševanje po likvidnosti na trgu čez noč, kar je tudi povzročilo občutno zvišanje zelo kratkoročnih obrestnih mer na trgu, je Eurosistem 9. avgusta z operacijo refinanciranja čez noč na trg ponudil veliko količino likvidnosti.
As money market tensions persisted, increases were observed in interest rates in the longerterm segments of the unsecured money market (i.e. on interbank loans not secured by an exchange of collateral), leading to spreads against the secured segments of up to five times the historical average.
Ker so se napetosti na denarnem trgu nadaljevale, so se zviševale tudi obrestne mere v dolgoročnejših segmentih nezavarovanega denarnega trga (tj. za medbančna posojila, ki niso zavarovana z izmenjavo finančnega premoženja), kar je povzročilo, da so razlike v primerjavi z zavarovanim segmentom znašale tudi do petkrat več od dolgoročnega povprečja.
In order to facilitate a better distribution of liquidity among banks, the Eurosystem conducted various forms of liquidity-providing operation during the second half of the year.
Da bi omogočili boljšo porazdelitev likvidnosti med banke, je Eurosistem v drugi polovici leta izvedel več različnih oblik operacij zagotavljanja likvidnosti.
These measures, together with an active communication policy, helped the market to function more smoothly, at least in the short term, and helped to reassure banks that their liquidity needs would be fulfilled.
Ti ukrepi so skupaj z aktivno politiko komuniciranja vsaj kratkoročno prispevali k bolj nemotenemu delovanju trga in pomagali prepričati banke, da bodo njihove potrebe po likvidnosti izpolnjene.
As a result, the level of volatility in the secured market decreased somewhat for various maturities.
Raven volatilnosti na zavarovanem trgu se je tako pri več ročnostih nekoliko znižala.
Chart C Realised volatility and implied volatility for three-month money market interest rates
Graf C Realizirana volatilnost in implicitna volatilnost 3-mesečnih obrestnih merdenarnega trga
(basis points) realised volatility (three-month interest rate)realised volatility – centred 21-day moving averageimplied volatility derived from options on three-month EURIBOR futures (constant six months to maturity)
- m e se čna obrestna mera ) ča realizirana volatilnost – sredinjena 21-dnevna drsesredinaimplicitna volatilnost na podlagi opcij na terminske pogodbe 3-mese čni EU
Although the profiles of the two volatility measures are broadly similar, developments in implied volatility are more pronounced than those in realised volatility calculated on the basis of the three-month deposit interest rate.
Čeprav je krivulja obeh meril volatilnosti v glavnem podobna, so gibanja implicitne volatilnosti izrazitejša kot gibanja realizirane volatilnosti, izračunane na podlagi 3-mesečne obrestne mere za vloge.
Looking at Chart C, implied volatility started increasing in midJuly, before rising more strongly in early August, with pronounced fluctuations being observed thereafter.
V grafu C lahko vidimo, da se je implicitna volatilnost začela povečevati sredi julija in se okrepila na začetku avgusta, pri čemer je izrazito nihala.
A similar development was observed for realised volatility calculated on the basis of three-month deposit interest rates, although the rise in this measure was more gradual and, overall, more contained, including in August (i.e. in the most critical period for the euro money market).
Podobno poveča- nje je bilo mogoče opaziti pri realizirani volatilnosti, izračunani na podlagi 3-mesečnih obrestnih mer za vloge, vendar je bilo tu povečanje bolj postopno in na splošno bolj umirjeno, tudi v avgustu, ko je bilo najbolj kritično obdobje za denarni trg.
These developments observed in the two volatility measures mostly reflect the nature of these measures.
Gibanje obeh meril volatilnosti večinoma odraža naravo vsakega od meril.
While the increase in the realised volatility of the three-month interest rate reflects the perceived tensions in the three-month unsecured segment of the money market, implied volatility also takes into account the uncertainty surrounding the future impact of the tensions resulting from the announcements made by a number of European banks regarding their exposure to securitised products related to the subprime mortgage market.
Medtem ko povečanje realizirane volatilnosti 3-mesečne obrestne mere odraža zaznane napetosti v 3-mesečnem nezavarovanem segmentu denarnega trga, pa implicitna volatilnost upošteva tudi negotovost glede prihodnjega vpliva napetosti, ki izhaja iz dejstva, da so številne evropske banke objavile svojo izpostavljenost listinjenim proizvodom, povezanimi z drugorazrednim hipotekarnim trgom.
In particular, these ongoing tensions in the money market have led to increased uncertainty regarding the future financial and macroeconomic environment, which is captured by the measure of implied volatility, but not by the realised volatility measure.
Zaradi nadaljevanja napetosti na denarnem trgu se je povečala negotovost glede prihodnjega finančnega in makroekonomskega okolja, kar je zajeto v implicitni in ne v realizirani volatilnosti.
Following the exceptionally high levels observed until the beginning of September, the realised volatility measure declined somewhat during that month, possibly in response to the generous liquidity policy conducted as of mid-August.
Po izjemno visoki ravni do začetka septembra se je realizirana volatilnost v tem mesecu nekoliko zmanjšala, verjetno kot odziv na velikodušno likvidnostno politiko od sredine avgusta dalje.
At the same time, implied volatility remained high, probably affected by the more pronounced tensions in the unsecured segment of the market, particularly at the three-month horizon, although it also showed a tendency to decline in September.
Hkrati je implicitna volatilnost ostajala visoka, verjetno zaradi izrazitejših napetosti v nezavarovanem segmentu trga, še posebno v 3-mesečnem obdobju, čeprav je septembra tudi ta volatilnost kazala znake upadanja.
Overall, notwithstanding the abovementioned declines, both measures broadly stabilised thereafter, although at levels higher than those prevailing before the onset of the turmoil in August, indicating that a return to the stable market conditions that prevailed prior to the turmoil may take some time.
Kljub navedenemu znižanju pa sta se obe merili pozneje večinoma ustalili, čeprav na višjih ravneh, kot so prevladovale pred začetkom pretresov v avgustu, kar kaže, da bo za vrnitev na stabilne pogoje trga, ki so prevladovali pred pretresi, verjetno potrebno nekaj časa.
However, this fairly small overall increase in yields masks relatively
3 Implicitna volatilnost v tem okvirju je izpeljana iz opcij na 3-mesesti.
Chart 12 Longterm government bond yields 1)
Graf 12 Donosnost dolgoročnih državnih obveznic 1)
Sources: Reuters, Bloomberg and Thomson Financial Datastream.1) Ten-year bonds or the closest available bond maturity.
Viri: Reuters, Bloomberg in Thomson Financial Datastream.1) 10 letne obveznice ali najbližja razpoložljiva zapadlost obveznic.
in corresponding longterm break-even inflation rates.
Znotraj dokaj majhnega skupnega povečanja donosnosti pa so bila nihanja med letom razmeroma izrazita.
The yield on inflation-linked government bonds maturing in 2015 – a measure of longterm real interest rates – stood at 2% in late 2007, around 20 basis points higher than at the end of 2006.
Donosnost obveznic, vezanih na inflacijo, ki zapadejo leta 2015 – merilo dolgoročne realne obrestne mere – je ob koncu leta 2007 znašala 2%, okrog 20 bazičnih točk več kot ob koncu leta 2006.
In the first half of 2007 longterm government bond yields rose markedly on both sides of the Atlantic.
V poletnih mesecih leta 2007 je začela naraščati zaskrbljenost glede ameriškega nepremičninskega trga.
In the euro area, the yields on government bonds with a ten-year maturity increased by a maximum of around 70 basis points between the end of December 2006 and early July 2007, whereas ten-year bond yields in the United States peaked in mid-June at a level around 60 basis points higher than at the end of 2006.
Zlasti je postalo jasno, da imajo posojilojemalci z najnižjo kreditno sposobnostjo težave pri odplačevanju tako imenovanih drugorazrednih hipotek, ki so bile sklenjene v obdobju zelo nizkih obrestnih mer med letoma 2002 in 2004. Vlagatelji so na začetku mislili, da bodo težave omejene na Z
The upturn in euro area longterm interest rates reflected markets’ expectations of strong economic growth.
A in da bo prizadeta le omejena skupina finančnega premoženja.
This assessment was consistent with what were, on average, better than expected data releases on macroeconomic and business sentiment.
Ob koncu julija je bil ta precej ugoden scenarij postavljen pred resno preizkušnjo, ko je postalo jasno, da so bile
The gradual increase in euro area bond yields was briefly interrupted on two occasions in the first six months of 2007.
V prvi polovici leta 2007 se je donosnost dolgoročnih državnih obveznic izrazito povečala na obeh straneh Atlantika.
First, longterm bond yields fell in late February and early March, following a pronounced decline in risk appetite and resulting portfolio shifts from stock markets to bond markets.
Dvig dolgoročnih obrestnih mer euroobmočja je odražal tržna pričakovanja o visoki gospodarski rasti. Ta ocena je bila skladna z objavljenimi podatki o makroekonomski in poslovni klimi, ki so bili v povprečju boljši od pričakovanih.
Second, in early June longterm bond yields rose markedly, reflecting strong sell-offs originating in the US bond markets.
Prvič, donosnost dolgoročnih obveznic se je ob koncu februarja in na začetku marca znižala po izrazitem upadu nagnjenosti k tveganju, čemur so sledile preusmeritve portfeljev z delniških na obvezniške trge. Drugič,
Chart 13 Spot and forward break-even inflation rates in the euro area
Graf 13 Promptne in terminske izvedene stopnje inflacije v euroobmočju če povprečje dnevnih podatkov;
All in all, the relatively strong recovery observed in nominal euro area bond yields in the first half of 2007 was driven mainly by an increase in the real interest rate component.
2,2 stopenj infl acije v letu 2007 bi bilo lahko povezano tudi s poslabšanjem kratkoročnih pričako- vanj glede in f l flacije, kar je bilo povezano predvsem
In the summer months of 2007 concerns relating to the state of the US real estate market began to mount.
s strmim naraščanjem cen nafte in hrane.
In particular, it became clear that borrowers with the lowest level of credit-
Vseeno pa ni jasno, v kolikšni meri skupno povečanje tega kazalnika kaže spremembe v dolgoročnih infl a-cijskih pričakovanjih tržnih udeležencev oziroma spremembe v premijah za tveganja.
in break-even inflation rates in 2007 mighthave been related to the deterioration in theshort-term outlook for inflation, which was linked, in particular, to surging oil and food prices.
tudi evropske finančne institucije močno izpostavljene ameriškemu trgu drugorazrednih hipotek. V posameznih primerih so izgube zaradi takšne izpostavljenosti celo ogrozile fi finančno stanje zadevnih institucij.
It is unclear, however, to what extent the overall increase in this indicator reflects shifts in market participants’ longterm inflation expectations and changes in the related risk premia.
Razkritje tako resnih tveganj fi nančnih trgih in je povzročilo širše pretrese na splošno nenaklonjenost tveganju, čemur so takoj sledile preusmeritve portfeljev v okviru umika iz bolj tveganih fi nančnih sredstev v varnejša, na primer v državne obveznice.
worthiness were experiencing problems in repaying “sub-prime” mortgages taken out during the period of very low interest rates between 2002 and 2004.
Ocena udeležencev na trgu glede negotovosti obvezniškega trga v euroobmočju, merjena z implicitno volatilnostjo, je ostala v prvih šestih mesecih leta stabilna.
Investors initially felt that the problems would be restricted to the United States and that only a relatively limited set of assets would be affected.
To je bilo posledica pričakovanj, da se bodo ugodne razmere v euroobmočju in v svetovnem gospodarstvu nadaljevale.
In late July that relatively benign scenario was seriously challenged when it became clear that European financial institutions, too, were heavily exposed to the US subprime mortgage market.
Takšna ugodna ocena se je pri vlagateljih zaradi pretresov spremenila, zato se je implicitna volatilnost obvezniškega trga med junijem in avgustom močno dvignila.
In some limited cases, the losses from such exposures even endangered the financial health of the institutions concerned.
Potem je implicitna volatilnost v euroobmočju ostala v glavnem nespremenjena na teh visokih ravneh.
Market participants’ perception of bond market uncertainty in the euro area, as measured by implied volatility, remained stable throughout the first six months of the year.
Zaradi pretresov se je donosnost desetletnih državnih obveznic euroobmočja do konca leta znižala za skupno 30 bazičnih točk v primerjavi z začetkom julija, predvsem zaradi nižje realne donosno- sti. Znižanje donosnosti obveznic v Z
This favourable assessment on the part of investors changed on account of the turmoil, with the result that implied bond market volatility surged between June and August.
A je bilo precej izrazitejše, tako da je desetletna donosnost ob koncu leta znašala približno 130 bazičnih točk manj od najvišje vrednosti sredi junija.
Thereafter implied volatility in the euro area remained broadly unchanged at those somewhat elevated levels.
Izrazitejše znižanje ameriške donosnosti je bilo posledica slabših pričakovanj vlagateljev glede rasti ameriškega gospodarstva in sklepa Zveznega odbora za
In the first two months of 2008 euro area longterm bond yields declined by around 30 basis points to stand at 4.1% on 29 February.
V prvih dveh mesecih leta 2008 se je donosnost dolgoročnih obveznic v euroobmočju zmanjšala za približno 30 bazičnih točk in je 29. februarja znašala 4,1%.
Similar declines in real yields offered on inflation-linked bonds suggest that market participants have, in early 2008, become slightly more pessimistic regarding the prospects for economic activity in the euro area.
Podobno zmanjšanje realne donosnosti obveznic, vezanih na inflacijo, kaže, da so postali tržni udeleženci na začetku leta 2008 nekoliko bolj pesimistični glede prihodnje gospodarske aktivnosti v euroobmočju.
Box 3 highlights the main similarities and differences between the turmoil of 2007 and that of 1998.
V celoti gledano so se zadnji pretresi pojavili po dokaj dolgem obdobju mirnih razmer na trgu.
The five-year forward break-even inflation rate fi five years ahead increased by another 10 basis points over the last six months of 2007, standing at 2.4% at the end of the year. The overall increase
TEČAJI DELNIC EUROOBMOČJA SO SE LETA 2007 OB VISOKI VOLATILNOSTI ZVIŠALI Kljub močni volatilnosti v letu 2007 so se tečaji delnic euroobmočja skupno zvišali, tako da se je nada-
Chart 14 Major stock market indices
Graf 14 Najpomembnejši delniški indeksi
Chart 15 Implied stock market volatility
Graf 15 Implicitna volatilnost delniških trgov čunan na novo osnovo 100;
(index rebased to 100 on 2 January 2007; daily data)
(odstotki na leto; 10 dnevna drse ča sredina; dnevnih podatkov)
(percentages per annum; ten-day moving averages of daily data) euro area Japan United States euro area United States Japan
(indeks 2. januarja 2007 preradnevni podatki) euroobmočje Japonska
Sources: Reuters, Thomson Financial Datastream and ECB calculations.1) The Dow Jones EURO STOXX broad index for the euro area, the Standard & Poor’s 500 index for the United States and the Nikkei 225 index for Japan. Sources: Bloomberg and ECB calculations.Notes: The implied volatility series reflects the expected standard deviation of percentage changes in stock prices over a period of up to three months, as implied in the prices of options on stock price indices.
Viri: Reuters, Thomson Financial Datastream in izra1) Široki indeks Dow Jones EURO STOXX za euroobmoindeks Standard & Poor's 500 za ZDA in indeks Nikkei 225 za Japonsko. Vira: Bloomberg in izračuni ECB.Opomba: Časovna vrsta implicitne volatilnosti odraža pričakovan standardni odklon sprememb cen delnic v odstotkih v obdobju do 3 mesecev, kot jih kažejo predvidene cene opcij na indekse tečajev delnic.