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Interest rate spreads on government bonds
Antoniewiczová, Petronella ; Žák, Kamil (advisor) ; Hurt, Jan (referee)
This work deals with the breakdown of government bonds yields on the risk components. More specifically it deals with cost of liquidity capital, loss of illiquidity and expected default losses. In the beginning we explain the characteristics of bonds, particularly government bonds, further we deal with some of elements which may break up the government bonds yields. Finally, we implement the interest rates of bonds of three EU member states and we will illustrate on Vasicek's model how to imitate part of risk free interest
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Interest rate spreads on government bonds
Antoniewiczová, Petronella ; Žák, Kamil (advisor) ; Hurt, Jan (referee)
This work deals with the breakdown of government bonds yields on the risk components. More specifically it deals with cost of liquidity capital, loss of illiquidity and expected default losses. In the beginning we explain the characteristics of bonds, particularly government bonds, further we deal with some of elements which may break up the government bonds yields. Finally, we implement the interest rates of bonds of three EU member states.
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Forecasting Term Structure of Government Bonds Using High Frequency Data
Kožíšek, Jakub ; Baruník, Jozef (advisor) ; Horváth, Roman (referee)
This thesis investigates the use of realized volatility features from high frequency data in com- bination with neural networks to improve forecasts of the yield curve of government bonds. I use high frequency data on futures of four U.S. Treasury securities to estimate the Nelson-Siegel yield curve and realized variance of its parameters over the period of 25 years. The estimated parameters are used in prediction of the level, slope and curvature of the yield curve using an LSTM neural network and compared to the Dynamic Nelson-Siegel model. Results show that the use of realized variance and neural network outperforms autoregressive methods in prediction of the level and curvature in daily and monthly forecasts. The yield curve of government bonds itself has a predictive power on multiple macroeconomic variables, therefore improvements in its forecastability may have broader implications on forecasting the overall state of the economy.
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Government bonds and stock market volatility: A Multivariate GARCH Analysis
Aliakseyeu, Aliaksei ; Horváth, Roman (advisor) ; Čech, František (referee)
The correlation between stock market returns and changes in bond market yields are of big interest among investors because this indicator helps them allocate their assets and diversify investment risk more effectively. An in- vestor should keep track of development of the economies of individual coun- tries, understand the causes of dissimilarities in the correlations among them and take these differences into account for successful international financial investment. The current author contributes to the existing researches by the modeling of stock-bond market co-movements using the updated datasets with focus on Central European countries and differences in public debt levels. The paper contains the empirical analysis of stock and bond market returns condi- tional correlations, modeled by the use of the Asymmetric Generalized Dynamic Conditional Correlation (AG-DCC) Generalized Autoregressive Conditional Het- eroskedasticity (GARCH) specification, for nine Western and Central European countries (the United Kingdom, Germany, France, Spain, Portugal, Italy, Czech Republic, Poland and Hungary) that differ both by their geographic locations and economic development. The main distinctions in the correlations are ob- served during the European sovereign debt crisis. The three types of develop- ment are...
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China as the biggest foreign holder of U.S. government bonds: analysis of impacts on U.S. foreign policy
Holuša, Petr ; Kozák, Kryštof (advisor) ; Sehnálková, Jana (referee)
This thesis deals with the question whether China's purchases of American government bonds affect the foreign policy of the USA. The first part analyses bonds as instruments for debt financing and explains why China is motivated to buy American government bonds. The second part is concerned with the relationship between the lender and the borrower and assumes that the relationship between deficit financing and a change in the foreign policy towards the lender is possible, an example being the relationship of the USA and Mexico in the 1980s. The last part introduces criteria based on which it evaluates whether the American foreign policy towards China is changing. The thesis is focused on the topic of human rights, which is a frequent source of dispute between these two countries. The thesis also comprises an analysis of the dispute between the USA and China regarding weapon sales to Taiwan. It also analyses the possibility of China selling all its American government bonds and the potential consequences for the American economy. The conclusion sums up the topics discussed in the thesis and provides an answer to the set question.
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Interest rate spreads on government bonds
Antoniewiczová, Petronella ; Žák, Kamil (advisor) ; Hurt, Jan (referee)
This work deals with the breakdown of government bonds yields on the risk components. More specifically it deals with cost of liquidity capital, loss of illiquidity and expected default losses. In the beginning we explain the characteristics of bonds, particularly government bonds, further we deal with some of elements which may break up the government bonds yields. Finally, we implement the interest rates of bonds of three EU member states.
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Interest rate spreads on government bonds
Antoniewiczová, Petronella ; Žák, Kamil (advisor) ; Hurt, Jan (referee)
This work deals with the breakdown of government bonds yields on the risk components. More specifically it deals with cost of liquidity capital, loss of illiquidity and expected default losses. In the beginning we explain the characteristics of bonds, particularly government bonds, further we deal with some of elements which may break up the government bonds yields. Finally, we implement the interest rates of bonds of three EU member states and we will illustrate on Vasicek's model how to imitate part of risk free interest
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The development of government debt in the Czech Republic from 1993 to 2015
Zeman, Mikuláš ; Klement, Josef (advisor) ; Vebrová, Ludmila (referee)
The aim of this bachelor thesis is to analyse the development of government debt in the Czech Republic from 1993 to 2015 with respect to the development of revenues and expenses of national budget as well as the development of macroeconomic indicators. The thesis is focused on evaluation of the economic policy of respective governments during the period and assessment of the effect of political reasons on the development of government debt. It also comprises a comparison of the situation in the Czech Republic with the situation in certain post - communist states. The theoretical part describes main notions the thesis deals with. Eventually it presents thoughts of selected economists on the economic policy. The practical part carries out analysis of the development of government debt in respective periods focusing on revenues and expenses, and the development of selected macroeconomic indicators. Evaluation of the economic policy of respective governments is also included. In its conclusion the thesis assesses an effect of political reasons on the amount of the government debt in view of relevant theories and hypotheses. The analysis showed that under the studied circumstances only one of the hypotheses became evident, namely that a weak position of the government leads to remarkable budgetary deficits.
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Co způsobilo vzestupy a pády úrokových měr státních dluhopisů během evropské dluhové krize?
Václavíček, Tomáš ; Chytil, Zdeněk (advisor) ; Kovář, Kamil (referee)
This study examines the determinants of government bond spreads vis-a-vis Germany for eleven EMU member countries in the period 2000Q1 to 2013Q3 with a special focus on the European Debt Crisis. The aim of the thesis is to test whether selected financial, fiscal and macroeconomic variables have an impact on government bond spreads. A novel contribution is testing whether there has been a significant change of government bond spread determinants following the ECB interventions in summer 2012. Variables reflecting the sustainability of public finance, liquidity of government bonds, risk aversion and competitiveness of a particular country were found to be significant determinants of government bond spreads, unlike banking sector indicators. Government bond spreads thus increase in response to rising debts and deficits and the loss of international competitiveness. No significant change in the composition of government bond yield determinants as a whole was found for the period after the ECB interventions, despite changes in several variables. Results of the thesis suggest that it is important to follow a sound fiscal policy and to prevent a deterioration of a country's international competitiveness in order to keep government bond spread of a particular country low.
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