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Cross-Border Contagion in the Banking Sector: The Case of Nordic Countries
Baronaite, Lina ; Babin, Adrian (advisor) ; Princ, Michael (referee)
"Cross-Border Contagion in the Banking Sector: The Case of Nordic Countries" by Lina Baronaite Abstract: The objective of the thesis is to estimate the degree of cross-border contagion among the Nordic banking sectors. It analyzes a sample of sixteen largest listed Nordic banks from January 2004 to January 2014. Using a multinomial logit model we test whether there is any degree of contagion among the four banking sectors, whether it is more pro- nounced for larger banks and whether the recent financial crisis has exacerbated it. Our results are in line with similar studies conducted for other countries. In particular, we find that a shock in one bank- ing sector is positively associated with an increase in shocks in another banking sector. Second, these shocks are larger and more significant for larger and more active international banks. Finally, the effect of the recent financial crisis has ambiguous effects on the cross-sectoral banking contagion. It appears that contagious links between some sec- tors weakened (Sweden and Denmark, Sweden and Finland). Other economies (Sweden and Norway) on the contrary became more depen- dent on each other. The results are robust to a wide variety of changes in specifications.
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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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Coexceedance in Exchange Rates - Analysis of Contagion in Central and Eastern European Countries
Bláhová, Pavla ; Horváth, Roman (advisor) ; Kočenda, Evžen (referee)
The objective of this thesis is to examine the contagion in Central and Easter European countries, namely in Czech Republic, Hungary, and Poland. From all possible propagation channels, it chooses to focus on exchange rates. The method of coexceedance with consequent quantile regression is employed. We find that coexceedance does occur but not as frequently as assumed. The coexceedance occurs more frequently during the depreciation of the currencies. The persistence effect is very significant and the coexceedances are ``continual'' rather than ``correcting'' for previous extremes. We found evidence for both asset class effect and volatility effect. These effects have different impact during the 2008 Financial Crisis most of the times. An evidence for both Hungarian and Polish government bond yields having influence on the coexceedance with Czech Republic. Surprisingly, we did not find evidence for oil market influence on coexceedance.
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Cross-Border Contagion in the Banking Sector: The Case of Nordic Countries
Baronaite, Lina ; Babin, Adrian (advisor) ; Princ, Michael (referee)
"Cross-Border Contagion in the Banking Sector: The Case of Nordic Countries" by Lina Baronaite Abstract: The objective of the thesis is to estimate the degree of cross-border contagion among the Nordic banking sectors. It analyzes a sample of sixteen largest listed Nordic banks from January 2004 to January 2014. Using a multinomial logit model we test whether there is any degree of contagion among the four banking sectors, whether it is more pro- nounced for larger banks and whether the recent financial crisis has exacerbated it. Our results are in line with similar studies conducted for other countries. In particular, we find that a shock in one bank- ing sector is positively associated with an increase in shocks in another banking sector. Second, these shocks are larger and more significant for larger and more active international banks. Finally, the effect of the recent financial crisis has ambiguous effects on the cross-sectoral banking contagion. It appears that contagious links between some sec- tors weakened (Sweden and Denmark, Sweden and Finland). Other economies (Sweden and Norway) on the contrary became more depen- dent on each other. The results are robust to a wide variety of changes in specifications.
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