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Economic Growth in European Regions: Divergence within Convergence
Iankov, Egor ; Jeong, Byeongju (advisor) ; Selezneva, Veronika (referee)
Studuji konvergenci a divergenci v regionech EU v letech 2000-2018. Používám údaje o HDP na obyvatele a modelované reálné výdaje v rámci režimů podpory EU regionů z členských zemí EU na úrovni členění NUTS2. Na toto nastavení aplikuji model β-konvergence. Ukazuji, že celková disperze regionů se od roku 2003 téměř bez přerušení zvyšuje. Pokud zahrnu fixní efekty v rámci jednotlivých zemí, rozptyl HDP na obyvatele se v letech 2000-2010 v průměru snižuje. Tento výsledek není zcela v souladu s regresní analýzou složených temp růstu a logaritmického počátečního HDP na obyvatele. Tento nesoulad je však vysvětlitelný vstupem nových regionů a prolínáním jednotlivých skupin regionů v roce 2018. Zjistil jsem, že členské země EU se od sebe navzájem liší, ale regiony v rámci jednotlivých zemí konvergují k průměru zemí. Další analýza ukazuje, že konvergence je robustní vůči zahrnutí regionálních charakteristik a podpory EU. Mé výsledky ukazují, že politika soudržnosti EU je při podpoře konvergence regionů EU úspěšná pouze částečně. Klíčová slova: β-konvergence, regionální politika EU, politika soudržnosti, HDP na obyvatele.
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Financial Connectedness of Eastern European Stock Markets
Shcherbov, Arsenii ; Anatolev, Stanislav (advisor) ; Selezneva, Veronika (referee)
Financial Connectedness of Eastern European Stock Markets Abstract The connectedness of financial assets and markets represents an essential concept that has long-lasting consequences for the assessment of risk. Thus, it is important to correctly measure dependencies and describe their dynamics to predict future responses of markets to shocks. In this thesis, I focus on the connectedness of Eastern European stock markets and assess the relationships between returns and volatilities in these markets, account- ing for the presence of cryptocurrency markets and other major developed markets. I describe conditional correlations of returns from the DCC model of Engle (2002, JBES). Using the spillover framework proposed by Diebold and Yılmaz (2009, EJ) I measure the connectedness from a static and dynamic perspective. The results indicate that Eastern European markets are tightly connected. The measures of connectedness were fluctuat- ing over time and have risen significantly as a consequence of the recent pandemic. The magnitude of the increase for different groups of markets ranges from 35% to 100%. Key words: Financial connectedness, Stock market, Spillovers.
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Cognitive Limitations and Behavioral Biases in the Asset Pricing Context
Chavchanidze, Giorgi ; Matějka, Filip (advisor) ; Selezneva, Veronika (referee)
Cognitive Limitations and Behavioral Biases In The Asset Pricing Context MAER Thesis Asbtract Giorgi Chavchanidze I incorporate behavioral and bounded rationality elements into a single asset-pricing frame- work by setting up a two-period consumption-based portfolio selection problem in which a representative agent has biased priors, does not observe the current state and thus has in- complete information about future state probabilities. He forms posterior beliefs using signals that he selects according to the rational inattention discrete choice framework of Matějka and McKay (2015), where the precision of the beliefs depend intuitively on the priors and the cost of information λ. In the case of log-utility, the optimal portfolio is a convex combination of the N portfolios the investor would have selected in each of the N states if they were fully observable, where the weights reflect the subjective posterior likelihood of time-zero states. The posterior beliefs are induced by parsimonious reweighing of priors, where the weights depend on λ, discount factor β and the relative entropies of the future state distributions induced by different time-zero states. Using a two-state example, I demonstrate how the cost of information and biases can be jointly analyzed in this framework and discuss implied...
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Does index arbitrage distort the market reaction to shocks?
Anatolyev, Stanislav ; Seleznev, S. ; Selezneva, Veronika
We show that ETF arbitrage distorts the market reaction to fundamental shocks. We confirm this hypothesis by creating a new measure of the intensity of arbitrage transactions at the individual stock level and using an event study analysis to estimate the market reaction to economic shocks. Our measure of the intensity of arbitrage is the probability of simultaneous trading of ETF shares with shares of underlying stocks estimated using high frequency data. Our approach is direct, and it accounts for statistical arbitrage, passive investment strategies, and netting of arbitrage positions over the day, which the existing measures cannot do. We conduct several empirical tests, including the use of a quasi-natural experiment, to confirm that our measure captures fluctuations in the intensity of arbitrage transactions. We focus on oil shocks because they contain a large idiosyncratic component which facilitates identification of our mechanism and interpretation of the results. Oil shocks are identified using weekly oil inventory announcements.\n
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Formation of market beliefs in the oil market
Anatolyev, Stanislav ; Seleznev, S. ; Selezneva, Veronika
We characterize formation of market beliefs in the oil market by providing a complete characterization of the market reaction to oil inventory surprises. We utilize the unique sequential nature of inventory announcements to identify inventory shocks. We estimate an AR-ARCH-MEM model of the joint dynamics of returns, return volatilities and trading volumes around the announcements using high frequency data on oil futures contracts. Our model (i) handles illiquidity of long maturity contracts by accounting for trading inactivity, (ii) captures time varying trading intensity, and (iii) allows for structural changes in the dynamics and responses to news over time. We show (i) uniform formation of expectations across oil futures contracts with different maturities, (ii) a strong negative relation between inventories surprises and re-turns, (iii) no effect on the term premium, which suggests that inventory shocks are always considered to be permanent, and (iv) di_erentiation in the reaction of volume by maturity. We demonstrate how our results can be used to test theories of oil price determination and contribute to the debate on the recent oil glut.
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