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Time-scale analysis of sovereign bonds market co-movement in the EU
Šmolík, Filip ; Vácha, Lukáš (advisor) ; Krištoufek, Ladislav (referee)
The thesis analyses co-movement of 10Y sovereign bond yields of 11 EU mem- bers (Greece, Spain, Portugal, Italy, France, Germany, Netherlands, Great Britain, Belgium, Sweden and Denmark) divided into the three groups (the Core of the Eurozone, the Periphery of the Eurozone, the states outside the Eurozone). In the center of attention are changes of co-movement in the crisis period, especially near the two significant dates - the fall of Lehman Brothers (15.9.2008) and the day, when increase of Greek public deficit was announced (20.10.2009). Main contribution of the thesis is usage of alternative methodol- ogy - wavelet transformation. It allows to research how co-movement changes across scales (frequencies) and through time. Wavelet coherence is used as well as wavelet bivariate and multiple correlation. The thesis brings three main findings: (1) co-movement significantly decreased in the crisis period, but the results differ in the groups, (2) co-movement significantly differs across scales, but its heterogeneity decreased in the crisis period, (3) near to the examined dates sharp and significant decrease of wavelet correlation was observable across lower scales in some states. JEL Classification C32, C49, C58, H63 Keywords Co-movement, Wavelet Transformation, Sovereign Debt Crisis, Sovereign Bond Yields,...
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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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Belarus and Interdependence: The Influence of Dependence on International Interaction
Behrends, Haylee ; Svoboda, Karel (advisor) ; Šír, Jan (referee)
In today's globalized world it is nearly impossible for countries to act independently without some degree of cooperation. It is even more diffult for countries with high levels of dependence. Dependence in Belarus on others influences its foreign policy in a way that inhibits Belarus' power. The degree of dependence, power, and interdependence in Belarus is analyzed by looking at its level of participation in international organizations, trade partners, and reliance on foreign aid. Powered by TCPDF (www.tcpdf.org)
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Time-scale analysis of sovereign bonds market co-movement in the EU
Šmolík, Filip ; Vácha, Lukáš (advisor) ; Krištoufek, Ladislav (referee)
The thesis analyses co-movement of 10Y sovereign bond yields of 11 EU mem- bers (Greece, Spain, Portugal, Italy, France, Germany, Netherlands, Great Britain, Belgium, Sweden and Denmark) divided into the three groups (the Core of the Eurozone, the Periphery of the Eurozone, the states outside the Eurozone). In the center of attention are changes of co-movement in the crisis period, especially near the two significant dates - the fall of Lehman Brothers (15.9.2008) and the day, when increase of Greek public deficit was announced (20.10.2009). Main contribution of the thesis is usage of alternative methodol- ogy - wavelet transformation. It allows to research how co-movement changes across scales (frequencies) and through time. Wavelet coherence is used as well as wavelet bivariate and multiple correlation. The thesis brings three main findings: (1) co-movement significantly decreased in the crisis period, but the results differ in the groups, (2) co-movement significantly differs across scales, but its heterogeneity decreased in the crisis period, (3) near to the examined dates sharp and significant decrease of wavelet correlation was observable across lower scales in some states. JEL Classification C32, C49, C58, H63 Keywords Co-movement, Wavelet Transformation, Sovereign Debt Crisis, Sovereign Bond Yields,...
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Czech - Russian Energy Relations
Holan, Michal ; Binhack, Petr (advisor) ; Romancov, Michael (referee)
The main objective of the thesis is to analyze energy relations between the Czech Republic and Russian Federation. Author will use neo-liberal theory of mutual interdependence and the research will be conducted in the spirit of qualitative research of explanatory epistemology. Analyze will be based on relevant literature related to the topic and subsequent analysis of energy relations between the Czech Republic and Russian Federation since the fall of the Soviet Union till the gas crisis in 2009. Theoretical framework of interdependence with regard to the asymmetry in the Czech-Russian energy relations is used in this thesis to explain the threats that can be caused by some Russian Federation′s decisions and that can very seriously damage an energy security of the Czech Republic. Asymmetric interdependence in Czech- Russian energy relations can act as a source of power of the Russian Federation. For full understanding of a theme of this thesis it is necessary to explain the threats and their impacts to the energy security of the Czech Republic and it is also necessary to explain the weaknesses of Russian Federation′s energy security. Author emphasizes a working of energy sector and a role of energy actors.
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Potential of the European Neighbourhood Policy for EU energy security
Fráně, Luděk ; Dubský, Zbyněk (advisor) ; Sršeň, Radim (referee)
Relations between the EU and its neighbour countries and regions are very important for either side. One of the topics which joins them is the energy resource issue. Daily, millions of barrels of oil and billions of cubic meter of natural gas flow through this area into Europe. This diploma thesis deals exactly with this matter, e.i. European Union's energy security. It is a very topical, discussed but above all for the EU important theme. The purpose of this thesis is to connect the conception of EU's energy security through the European Neighbourhood Policy, e.i. the policy which the EU has established to create stability and prosperity with the neighbour regions of North Africa, Near East, Eastern Europe and the Caucasus states. The outcome of this paper should be to evaluate the potential of the countries in the European neighbourhood and the potential of the neighbourhood policy for strengthening the EU security policy, that means to summarize the possibilities for effective co-operation in the field of energy and to say if this co-operation could strengthen European Union's energy security.
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