|
|
Ekonomické faktory ovplyvňujúce cenu dlhopisov v USA a v Nemecku
Ticháková, Simona
This bachelor thesis deals with the value of government bonds issued in USA and Germany, and the factors which influenced their market value development since the outbreak of financial crisis in years 2007 to 2017. Literature overview consists of two main parts, in first I address bonds in general, and in the second part, economic factors affecting market value of government bonds. Second part of my thesis compares American and German government bonds in conjunction with identification of the main factors influencing them in the reference period. Following research is focused on calculation of correlation between bonds market value and factors affecting it. The interest rates, which were supposed to have the greatest impact on bond’s prices, were statistically insignificant. Final chapter is dedicated to discussion of obtained results.
|
|
|
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.
|
|
|
The impact of the financial crisis on the U.S. bond market
Ševčík, Marek ; Pavlík, Zdeněk (advisor) ; Čajka, Radek (referee)
The thesis analyses the impact of the financial crises on the U.S. bond market. Theoretical part deals with the factors affecting the value of bonds and deals with the processes in the american bond market. The main goal of the practical part is to analyse the U.S. bond market after the bankruptcy of Lehman Brothers, analyse changes in the monetary policy of the Federal Reserve and changes in yields of the government obligations, selected derivatives and assets. Primarily, there will be compared annual return on government bonds to annual return on stock in the period of the financial crisis.
|
|
|
Česká swapová křivka, ekonomické fundamenty a finanční trhy
Pohl, Martin ; Málek, Jiří (advisor) ; Kodera, Jan (referee) ; Lukáš, Ladislav (referee)
We focus on Czech swap market in a broader context of economic and financial development and we provide extensive empirical evidence that swaps have many features of a "risk-free" asset. They are traded with sufficient liquidity and low transaction costs that make them attractive for investors. Swap curve dynamics may be decomposed into level, slope and curvature parameters known from bond markets.Level and slope parameter may be interpreted by Taylor rule like functions in terms of output gap and inflation. Level reflects mainly inflation expectations and its sensitivity to output gap is small. Slope parameter is highly sensitive to business cycle fluctuations and inflation deviation from CNB's target. Domestic monetary policy remains an important determinant of swap curve parameters with gradual market reaction. Czech swap rates are closely connected to Euro swap rates. We found level factors to be cointegrated and also slope and curvature exhibit strong sensitivity to Euro rates. Financial variables don't seem to have large impact on swap rates with the exemption of global equity markets, where we found positive correlation between level and SP500 returns. In contrast, Czech government bonds have many features historically connected to corporate bonds such as positive correlation with risky assets and business cycle fluctuations. Government bonds also showed large volatility and rising risk premia in the 2008/2009 financial crisis. Finally, we estimated forward premium and we found large and rising premium and limited support for expectation theory.
|
|
|
Influence of government bonds on private investment in Czech republic
Hlaváček, Jiří ; Dočkal, Dalibor (advisor) ; Štěpánek, Pavel (referee)
This work is an analysis of the crowding out effect caused by issues of governmen bonds in small open economy - in this case in Czech republic. Issue of bonds is for government one of possible solutions to budget deficits. There is no integrated opinion on the effect, which issues of government bonds have on private investment, in the theory. If the economy is not fully open, it can be crowd out. On the one hand neokeynesian Mundell-Fleming model talks about decrease of level of net exports. On the other hand the neoclassical by R. Barro developed Ricardian equivalence says, that private consumption will decrease in the reaction to budget deficit. Mundell-Fleming model is presented as an traditional theory and the Baroo's theory is refused. Empirical study in this work can this opinion validate or disapprove by observation of trends of budget deficit, issues of government debt, interest rates and private investment in Czech republic.
|
|
|
Actual Financial Problems of Greece
Sýkorovská, Lucie ; Taušer, Josef (advisor) ; Černá, Iveta (referee)
Thesis deals with the Greek debt crisis which is currently an actual problem, affecting whole European Union. Aim of the thesis is to find and analyze the connection between historical development of Greece and current debt crisis, to describe reaction of the financial markets to the present situation and to appraise the restrictive actions which are taken to solve the problem. The thesis is devided into 3 parts - economic and political development of Greece, analysis of the influence of the adjusted fiscal figures on the development of Greek government bonds and taken corrective measures both in the European Union and Greece.
|
|
| |
guest ::
