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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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The Impact of Structural Funds and Cohesion Fund on Convergence: The Case of Slovak Districts
Kotrč, Michal ; Šťastná, Lenka (advisor) ; Cahlík, Tomáš (referee)
Do Structural Funds and Cohesion Fund contribute to the improvement of economic performance across Slovak districts? In order to answer the question this thesis explores the impact of EU funds invested within specific operational programmes over the programming periods 2007-2013 and 2014-2020 on the decrease in unemployment rate and on the increase in real wage and employment rate. Besides the standard panel data regression technique we also apply a spatial autoregressive model due to the presence of spillover effects between regions. This thesis thus goes beyond the existing literature on the evaluation of the impact of EU funds in Slovakia as it incorporates spatial effects in the analysis. In comparison with the results of the baseline fixed effects model, the estimated impact of EU funds in the spatial autoregressive model is smaller and in certain cases even negative. Hence the results raise doubts about the efficiency of EU funds. Furthermore, after including the spatial effects we find that the existence and significance of the economic convergence across Slovakia depends not only on the chosen economic indicator but also on the specification of regional units.
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Analysis of Unemployment in Russia: Spatial Analysis on Russian Regions
Provazník, Jan ; Cahlík, Tomáš (advisor) ; Bezhanishvili, Levan (referee)
This thesis analyses the regional labor markets of Russian Federation in terms of unemployment and Okun's law. Using Hodrick-Prescott filter, the potential GRP and natural rate of unemployment are calculated in order to be used for the estimation of Okun's law coefficient (OLC). The analysis reveals variation in OLC between regions as well as significant spatial correlation thereof (measured by Moran's I). For the examination of Okun's convergence, a new method is developed which consists in estimating a time trend in R-squared obtained by estimating Okun's law cross-sectionally, separately for each year. The results indicate that there is no regional Okun's convergence in Russia.
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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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