Original title: Vnímání nejistoty na finančních trzích během pandemie Covid-19
Translated title: Perceiving Uncertainty on Financial Markets During the Covid-19 Pandemic
Authors: Balažovič, Matej ; Čech, František (advisor) ; Hronec, Martin (referee)
Document type: Bachelor's theses
Year: 2022
Language: eng
Abstract: [eng] [cze]
This thesis examines the effects of the COVID-19 pandemic on forward rate agreements (FRA) spreads in the Czech Republic. Since FRA serves as a useful instrument to hedge against possible risk associated with interest rate movements, it is a relevant indicator of a consensus view and perceived uncertainty about the future financial situation. We measure the effects by employing ARMA-GJR- GARCH modeling. Several COVID-19 indices, representing the government response to the pandemic, are included as explanatory variables. The results show a significant drop in FRA spreads as the pandemic began, as well as a strong increase in the FRA spreads volatility, which doubled during that period. Our main findings suggest that the COVID-19 affected the decrease of FRA spreads. However, we were not able to explain the volatility increase by the COVID-19 data. Táto práca skúma vplyv pandémie COVID-19 na FRA spready v Českej republike. Keďže FRA slúži ako užitočný nástroj na zabezpečenie proti možnému riziku spojenom s pohybom úrokových sadzieb, je to relevantný indikátor konsenzuálneho názoru a vnímanej neistoty ohľadom budúcej finančnej situácie. Účinky meriame pomocou ARMA-GJR-GARCH modelovania. Ako vysvetľujúce premenné sú zahrnuté viaceré indexy COVID-19, ktoré predstavujú reakciu vlády na pandémiu. Výsledky ukazujú pád FRA spreadov pri začiatku pandémie a taktiež zvýšenie volatility FRA spreadov, ktorá sa počas daného obdobia zdvojnásobila. Naše hlavné zistenia naznačujú, že COVID-19 ovplyvnil pokles FRA spreadov. Zvýšenie volatility sme však dátami o COVID-19 nedokázali vysvetliť.
Keywords: Covid-19 Pandemic; financial markets; uncertainty

Institution: Charles University Faculties (theses) (web)
Document availability information: Available in the Charles University Digital Repository.
Original record: http://hdl.handle.net/20.500.11956/173520

Permalink: http://www.nusl.cz/ntk/nusl-506444


The record appears in these collections:
Universities and colleges > Public universities > Charles University > Charles University Faculties (theses)
Academic theses (ETDs) > Bachelor's theses