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Sovereign credit risk drivers in a spatial perspective.
Záhlava, Josef ; Gapko, Petr (advisor) ; Janský, Petr (referee)
This thesis analyses what drives sovereign credit risk when contagion is con- trolled for. CDS spreads are used as a measure of credit risk and bond yields are used to estimate interconnectedness of the examined countries. The main contribution lies in the use of high-frequency data and a robust wavelet based estimator in addition to spatial econometric model. The aim of this thesis is to test for presence of contagion and to evaluate which fundamentals are decisive for market perception of sovereign credit risk. Another goal is to evaluate the possibility of a structural break caused by the Greek debt restructuring. The results show that the restructuring did bring change. Contagion is present during the post-crisis period and it diminishes as the economies recover. Sim- ilarly, fundamentals are of higher importance in the post-crisis period when compared with the following period. JEL Classification C22, C31, C33, G01, G32, G33 Keywords spatial econometrics, CDS spreads, sovereign credit risk, financial contagion, realised covari- ance Author's e-mail josef.zahlava@gmail.com Supervisor's e-mail petr.gapko@seznam.cz
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Communication of the European Central Bank and contagion on financial markets
Jonášová, Júlia ; Horváth, Roman (advisor) ; Hlaváček, Michal (referee)
v Abstract The aim of this thesis is to assess the effect of central bank communication on joint occurrence of extreme returns and on extreme movements shared by two stock markets. The research concentrates on the following aspects: predictability of increased share of countries experiencing extreme returns in the eurozone based on the nature of policymaker's statement and also a set of control variables, change in probability of extreme returns joint occurrence after president's speech, determinants of joint occurrence when non-standard measures were announced and finally, effect of crisis period. Additionally, determinants of shared extreme movements between particular countries are examined. The results suggest that communication nature or crisis are not significant predictors of extreme returns joint occurrence. Moreover, markets seem to react jointly to ECB president's speech only when they have extremely high returns. Furthermore, markets jointly react on days of nonstandard measures announcement differently. We also found that in the first quantile dovish statements tend to increase returns above their mean in case of Greece and Germany, and Greece and the UK. Rest of the pairs of countries have opposite reaction to dovish tone and communication is significant in the 95th quantile for the pair...
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Sand flies as hosts of monoxenous and dixenous trypanosomatids
Vondráček, Oldřich ; Votýpka, Jan (advisor) ; Jirků, Kateřina (referee)
Phlebotomine sandflies are blood sucking Dipteran and important vectors of various patogens, especially leishmania parasites (Trypanosomatida, Leishmaniinae). Apart from the genus Leishmania they also transmit variety of other parasites and they are considered to be vectors of trypanosomes (genus Trypanosoma) and hosts of some monoxenous trypanosomatids. This Master thesis is focused on the occurrence and development of mono- and dixenous trypanosomatids (other than the genus Leishmania) in sandflies. We studied experimental infections of various species of sandflies and mosquitoes by two species of trypanosomes and one species of monoxenous parasite (Strigomonas galati). All three studied trypanosomatid species were isolated from sandflies. Further concern of the thesis is the transmission of both species of trypanosomes from sandflies to vertebrate hosts and the transmission of monoxenous parasite between insect hosts and also morphological changes of parasite cells during the development in a culture and in the insect and vertebrate hosts.
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Comovement of Stock Markets and Commodities: A Wavelet Analysis
Vavřina, Marek ; Vácha, Lukáš (advisor) ; Princ, Michael (referee)
The thesis applies the wavelet analysis to four developed stock market indices (USA, UK, Germany and Japan), four developing stock market indices (Brazil, China, India, Russia) and four commodities (Gold, Crude oil, Heating oil and Natural gas) and it aims to reveal how they comoved in the period of the Global financial crisis, which began in the USA as the Subprime mortgage crisis. Also the potential presence of contagion caused by the bankruptcy of Lehman Brothers bank is investigated. In addition the Granger causality test is applied to give a different perspective and to extend the analysis. Empirical results revealed that the wavelet correlation of stock markets and commodities differ significantly when talking about the short-term and the long-term horizon. This information can be utilized in the portfolio analysis. The wavelet analysis revealed contagion coming from the USA to the German and Brazil stock market, Crude oil and Heating oil market after the bankruptcy of Lehman Brothers. The Granger causality test indicates that there is a very strong causal relationship between stock markets and commodities and it differs at different scales.
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Notional ambivalence in the work of Scottish writer Alasdair Gray Translation and stylistic analysis
Zeisek, Adam ; Ženíšek, Jakub (advisor) ; Matuchová, Klára (referee)
This BA thesis is concerned with the translation of A history maker, a novel by Alasdair Gray and interpretation and analyses of the methods of translation which were used. It is divided into two parts. The first one is the translation itself which is the main part. The second part deals with the analyses of the translation and methodology that was applied. It focuses on the translation of Scottish dialect and informal speech. The thesis is predominantly aimed at demonstrating some standard translation approaches and practices, using the chosen textual material.
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Cross-Border Contagion: An Empirical Analysis of the Current Financial Crisis in Central and Eastern Europe
Žáková, Kristýna ; Geršl, Adam (advisor) ; Mertlík, Pavel (referee)
The objective of this thesis is to examine cross-border contagion effects during the 2007-09 crisis in Central and Eastern Europe (CEE) and from all the possible propagation channels, it chooses to focus on cross-border bank loans. It tries to discover which global and local factors had significant influence on the changes in bank loans from banks in source (lending) countries to banks, as well as households, corporations and government in host (borrowing) countries. The main research method is a panel data regression model. The empirical results suggest that both local and global factors had influence on the changes in cross-border loans, i.e. helped to spread the 2007-09 crisis to CEE. The significant local factors were macroeconomic and financial characteristics of both source and host countries, such as their GDP growth differential, interest rate differential, FDI, or profitability and health of the banking sector. The significant global factors were the expected market volatility and investors' risk appetite/aversion which was an indicator of "pure" contagion. The main contribution of this thesis lies in its focus on CEE and the analysis of investors' behavior based on their changing risk appetite.
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Awareness of contagious disease in mind of pupils at basic and secondary schools.
Peštová, Ilona ; Rajsiglová, Ina (advisor) ; Fraiberk, Martin (referee)
Infectious diseases are a very hot topic nowadays in society. In recent years, there were several epidemics, infectious diseases (hepatitis A, Avian influenza, pandemic influenza A) and nobody knows when will the next "new" infection. At the outbreak of epidemics, there is great interest in the company to obtain information about the disease, but often also to unnecessary panic, because the media often publish incorrect information. It would be preferable, in order to improve public awareness and prevent the unnecessary spread of disease. Great emphasis should be given to prevent the disease - primarily on immunization, hygiene rules and principles of safe sex. Quality information should be mainly from teachers in teaching their pupils, as is clear from research books, infectious diseases are only mentioned in textbooks and the number of substantive information in them is missing. The fact that pupils of primary schools and grammar schools with basic information on infectious diseases do not meet in the classroom, evidenced by the results of a survey carried out in the 6th classes and first year at selected elementary schools and grammar schools in Prague. To raise awareness of the pupils in school was to create a methodical manual for teachers, which summarizes information about bacterial and...
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Susceptibility of Individual Fish Species to Koi Herpes Viral Disease - a research study
KOSTLÁN, Jakub
Koi herpes viral disease (hereinafter referred to as "KHVD") is a dangerous viral disease, outbreak of which was recorded in Israel in 1998 for the first time. Due to exhibitions and international fish trade it spread almost to the whole world in the course of the next 17 years and it caused a loss of many tonnes of both breed and consumption carp as well as it inflicted significant economic losses calculated in the tens millions of dollars. The European Union has added the koi herpes viral disease, due to its hazards, to the list of non-exotic diseases. Since 2008 there is a duty to report this infection in the Czech Republic as well. Koi herpes virus classified in the system of viruses as Cyprinid herpesvirus 3 (CyHV-3) is considered the infective agent. Koi carp (Cyprinus carpio koi) and common carp (Cyprinus carpio carpio) are considered the main species susceptible to KHVD. However, it has been proved that the virus may be also detected in tissues of other fish species and in some of them clinical symptoms may appear. It is of high degree of probability that such fish species may play the role of viral communicants and this presumption has already been proved in some species in experimental conditions. With a view to the fact that koi herpes viral disease is incurable and application of a vaccine is impossible in the Czech Republic, for protection of fish breeding it is crucial to prevent bringing the disease in the territory. Mass fish perish caused by KHVD shall be prevented by strict inspection processes of the imported and exported fish, monitoring of the disease spread and responsible breeders' approach. The major objective of this work was to summarise available information about koi herpes viral disease and susceptibility of the individual fish species to this dangerous viral infectious disease in a form of a research study.
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Measuring Sovereign Bond Spillover in Europe and the Impact of Rating News
Claeys, Peter ; Vašíček, Bořek
Although there is by now strong evidence that sovereign risk premia are driven by a common factor, little is known about the detailed linkages between sovereign bond markets. We employ the VAR method by Diebold and Yilmaz (2009) to analyse the strength and direction of bilateral linkages between EU sovereign bond markets using daily data on sovereign bond yield spreads and a common factor. The forecast-error variance decomposition of this FAVAR indicates a lot of heterogeneity in the bilateral spillover sent and received between bond markets. Spillover is more important than domestic factors for all eurozone countries. The CE countries mostly affect each other. Only Denmark, Sweden and the UK are rather insulated from spillover. The spillover has increased substantially since 2007, despite starting from a high level. We use this framework to measure the impact of sovereign rating news and analyse the dynamic linkages between spreads and the ratings of the main credit rating agencies. We find a two-sided relation between rating news and sovereign risk premia. The spillover of rating news is very heterogeneous, and it is substantially stronger for downgrades at lower grades. The impact is often weaker domestically than on bond spreads of other sovereigns. JEL
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