Spread Determinants and Model Uncertainty: A Bayesian Model Averaging Analysis

• Název práce v češtině: Determinanty a šíření nejistoty v modelování: analýza Bayesianův model průměrování
• Název v anglickém jazyce: Spread Determinants and Model Uncertainty: A Bayesian Model Averaging Analysis
• Klíčová slova: Determinanty spreadu vládních dluhopisů, Modelová nejistota, Bayesovské modelové průměrování
• Klíčová slova anglicky: Sovereign Spread Determinants, Model Uncertainty, Bayesian Model Averaging
• Akademický rok vypsání: 2010/2011
• Typ práce: diplomová práce
• Jazyk práce: angličtina
• Ústav: Institut ekonomických studií (23-IES)
• Vedoucí / školitel: PhDr. Marek Rusnák, Ph.D.
• Řešitel: skrytý - zadáno vedoucím/školitelem
• Datum přihlášení: 07.03.2011
• Datum zadání: 07.03.2011
• Datum a čas obhajoby: 13.09.2011 08:30
• Místo konání obhajoby: IES
• Datum odevzdání elektronické podoby: 31.07.2011
• Datum proběhlé obhajoby: 13.09.2011
• Oponenti: PhDr. Michal Hlaváček, Ph.D.

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Předběžná náplň práce

Abstrakt
Rozdíl mezi úrokovými sazbami a sazbou vládních dluhopisů patří mezi běžně používaný indikátor pravděpodobnosti státního bankrotu --- tzv. spread. Stávající literatura jej vyjadřuje pomocí mnoha determinant, ale neshoduje se v tom, které z těchto determinant jsou považovány za důležité. Z tohoto důvodu panuje značná nejistota o tom, který z možných modelů je tím pravým. Tento problém řešíme pomocí metody "Bayesian Model Averaging" (BMA), která tomuto problému předchází tím, že vyhodnocuje míru pravděpodobnosti jednotlivých modelů, a jako váhy je používá pro průměrování. Pro toto empirické cvičení používáme panel 47 zemí s dvaceti vysvětlujícími proměnnými pro období 1980-2010.
Pro většinu determinant z literatury byly odhadnuty vysoké míry pravděpodobnosti pro jejich začlenění do modelu. Pro "růst rezerv cizí měny" a "nárůst exportu" byly tyto míry zjištěny nízké. Naopak proměnným "otevřenost ekonomiky" a "nezaměstnanost" byly přiděleny vysoké míry pravděpodobnosti, ač mezi literaturou doporučované determinanty spreadu nepatří.
Tyto výsledky jsou robustní vůči škále alternativních předpokladů o priorních distribucích (BMA priors) a to jak na modelový, tak i na parametrický prostor.

Předběžná náplň práce v anglickém jazyce

Abstract
The spread between interest rate and sovereign bond rate is commonly used indicator for country's probability to default. Existing literature proposes many different potential spread determinants but fails to agree on which of them are important. As a result, there is a considerable uncertainty about the correct model explaining the spread. We address this uncertainty by employing Bayesian Model Averaging method (BMA). The BMA technique attempts to consider all the possible combinations of variables and averages them using a model fit measure as weights. For this empirical exercise, we consider 20 different explanatory variables for a panel of 47 countries for the 1980-2010 period. Most of the previously suggested determinants were attributed high inclusion probabilities. Only the "foreign exchange reserves growth" and the "exports growth" scored low by their inclusion probabilities. We also find a role of variables previously not included in the literature's spread determinants - "openness" and "unemployment" which rank high by the inclusion probability. These results are robust to a wide range of both parameter and model priors.