In 2007 the effects of the world liquidity crisis were not seriously noticeable on the treasury markets. However, last year, the symptoms of the crisis throughout the world could already be observed on the MTS Poland Market. In 2008, after the losses caused by toxic assets were officially revealed, the next phase of the liquidity crisis and risk aversion increase began in the financial markets. The financial crisis also affected Treasury markets, resulting in a liquidity fall. Banks were more and more interested in their own liquidity maintenance thus they were reluctant to invest cash into treasury securities. Therefore, the symptoms of the crisis that had taken place on the MTS Poland Market in 2007 did not recede. On the contrary, in the first half of 2008 the crisis was even stronger. The most negative effects were noticeable in the third quarter of 2008, when it was necessary to release market-making obligations, most of foreign participants suspended their trading activity and the liquidity of the electronic segment of the wholesale treasury market decreased significantly.

Keywords: Liquidity crisis, confidence crisis, risk aversion, MTS Poland Market, Treasury securities
JEL: E44

   Janusz Czarzasty - The Impact of the Liquidity Crisis Connected with the American Market of Mortgage Credit on the Wholesale Polish Treasury Market - the MTS Poland Market Example - plik pdf; (778 KB)