Do fundamentals matter for government bond spreads in the EU? Evidence from non-linear models

• Název práce v češtině: Závisí na fundamentech u spreadů vládních dluhopisů v EU? Evidence na základě nelineárních modelů
• Název v anglickém jazyce: Do fundamentals matter for government bond spreads in the EU? Evidence from non-linear models
• Klíčová slova: Výnosy dluhopisů, spready dluhopisů, DMA
• Klíčová slova anglicky: Bond yields, bond spreads, DMA
• Akademický rok vypsání: 2016/2017
• Typ práce: diplomová práce
• Jazyk práce: angličtina
• Ústav: Institut ekonomických studií (23-IES)
• Vedoucí / školitel: PhDr. Jaromír Baxa, Ph.D.
• Řešitel: skrytý - zadáno vedoucím/školitelem
• Datum přihlášení: 16.06.2017
• Datum zadání: 16.06.2017
• Datum a čas obhajoby: 16.01.2019 08:30
• Místo konání obhajoby: Opletalova - Opletalova 26, O206, Opletalova - místn. č. 206
• Datum odevzdání elektronické podoby: 04.01.2019
• Datum proběhlé obhajoby: 16.01.2019
• Oponenti: PhDr. František Čech, Ph.D.

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Předběžná náplň práce

Tato práce se zabývá dynamikou spreadů vládních dluhopisů v zemích v a mimo
Evropskou měnovou unii, využitím nelineárních metod Markov-switching a Dynamic
model averaging. Využitím hlavně pomocí metody Dynamic model averaging jsme
našli přítomnost třech režimů, kterými jsou spready ovlivňované – předkrizový, krize
a po ohlášení OMTs. Tyto tři režimy jsou charakteristické pro všechny země Evropské
měnové unie (vyjma Slovenska) a Českou Republiku. Ohlášení OMTs zpustilo třetí
režim i v Slovenské Republice. Třetí režim není přítomný v Polsku, Maďarsku a Velké
Británii. Ve Velké Británii byl dokonce identifikován jenom jeden režim a je výhradně
dominovaný tržními očekáváními. Mezi všemi zkoumanými zeměmi je přítomná
heterogenita determinantů vládních dluhopisů. Navíc, byla zjištěna závislost spreadů
na tržních a ekonomických očekáváních.

Předběžná náplň práce v anglickém jazyce

This thesis investigates dynamics of determinants of government bond spreads in
EMU and non-EMU countries, using non-linear Markov-switching method and
Dynamic model averaging. Utilizing Dynamic model averaging we found evidence of
three bond pricing regimes – pre-crisis, crisis and post Outright monetary transaction
announcements. These three regimes are characteristic for all EMU countries (except
Slovak Republic) and Czech Republic. Announcements of OMTs triggered post
OMTs announcement regime also in Slovak republic. Third regime is not present in
Poland, Hungary and United Kingdom. Moreover United Kingdom has only one
regime and is dominated solely by market expectations. We found that there is
heterogeneity in the determinants of bond spreads across all examined countries.
Moreover we found that spreads are significantly related to market and economic
sentiments.