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National Repository of Grey Literature 2 records found  Search took 0.01 seconds. 
Volatility and Skewness Spillover Effects: Multiresolution Analysis
 Frýd, Lukáš ; Vácha, Lukáš (advisor) ; Baruník, Jozef (referee)
The thesis investigates volatility and skewness spillover effects among seven world stock indices and WTI oil under the assumption of the presence of heterogeneous investors. The data sample covers the period from January 1990 to July 2016. The questions addressed in the thesis are twofold: firstly, the dependency of the spillover effect for both the moments-volatility and skewness-on different investments horizons is tested. Further, it is mea- sured whether the inclusion of skewness into has an impact on the volatility spillovers. The decomposition to the different investment horizons is per- formed by the wavelet transformation. Conditional volatility and skewness were estimated by GAS model, which is capable to dynamize static parame- ters from Skewed t distribution. Empirical results suggest significant spillover effects from both volatil- ity and skewness. Another important result is that skewness has a non- significant impact on the volatility spillover effects. Further, it has been found that spillover effects for both the moments are time-scale dependent: the higher investment horizons are associated with higher spillover effects. Additionally, our results support the evidence of the significant impact of the financial crisis in 2008 on the structure of markets. From 2008, there are stronger volatility...
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Spillovers from euro area monetary policy: a focus on emerging Europe
 Benecká, Soňa ; Fadajeva, Ludmila ; Feldkircher, Martin
This paper investigates the international effects of a euro area monetary policy shock, focusing on countries from Central, Eastern, and Southeastern Europe (CESEE). To that end, we use a global vector autoregressive (GVAR) model and employ shadow rates as a proxy for the monetary policy stance during normal and zero-lower-bound periods. We propose a new way of modeling euro area countries in a multi-country framework, accounting for joint monetary policy, and a novel approach to simultaneously identifying shocks. Our results show that in most euro area and CESEE countries, prices adjust and output falls in response to a euro area monetary tightening, but with a substantial degree of heterogeneity.
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