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National Repository of Grey Literature 2 records found  Search took 0.00 seconds. 
Identifikace finančních cyklů v eurozóně
 Šmídová, Petra
Šmídová, P. Identification of financial cycles in euro area. Diploma thesis. Brno: Mendel University, 2023. This diploma thesis examines financial cycles in euro area countries using wavelet analysis. This method has significant advantages compared to the methods presented in the theoretical part of the thesis. The wavelet analysis allows to investigate both the time and the frequency domain at the same time and does not work with the assumption of the frequencies in which the financial cycle should be located. Credit and house prices were used as indicators of financial cycles. Statistically significant cycles in credit and house prices for individual euro area countries were identified in a Continuous Wavelet Transform. In the second section of the empirical part, a Wavelet Coherence Analysis was performed in order to answer the question whether financial cycles in the euro area are synchronised. Based on the results obtained, recommendations for macroprudential policy makers were made
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Geopolitical risk and financial markets: trends, co-movements and effects
 Jarina, Vesna ; Horváth, Roman (advisor) ; Vácha, Lukáš (referee)
This thesis explores the impact of geopolitical risk on cross-market co-movements in both global stock markets and regional foreign exchange markets over the period of 1995-2023. Employing two novel approaches, namely the return co- exceedances within the quantile regression framework and the GDCCX-GARCH model, our findings reveal that geopolitical risk has a tendency to weaken ex- treme return co-exceedances and dynamic conditional correlations within these markets, although there are few exceptions from this behaviour. Additionally, we emphasize the significance of considering geopolitical risk when building portfolio strategies by providing evidence for gold's hedging and safe haven properties, the resilience of clean energy investments, and the rise in crude oil prices in response to heightened geopolitical risk.
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