Time-scale analysis of sovereign bonds market co-movement in the EU

• Název práce v češtině: Analýza vzájemné závislosti výnosů z vládních dluhopisů v EU
• Název v anglickém jazyce: Time-scale analysis of sovereign bonds market co-movement in the EU
• Klíčová slova: Vzájemná Závislost, Waveletová Transformace, Dluhová Krize, Výnosy z Vládních Dluhopisů, Eurozóna
• Klíčová slova anglicky: Co-movement, Wavelet Transformation, Sovereign Debt Crisis, Sovereign Bond Yields, Eurozone
• Akademický rok vypsání: 2014/2015
• Typ práce: rigorózní práce
• Jazyk práce: angličtina
• Ústav: Institut ekonomických studií (23-IES)
• Vedoucí / školitel: Mgr. Lukáš Vácha, Ph.D.
• Řešitel: skrytý - zadáno vedoucím/školitelem
• Datum přihlášení: 20.07.2015
• Datum zadání: 20.07.2015
• Datum a čas obhajoby: 21.07.2015 00:00
• Datum odevzdání elektronické podoby: 20.07.2015
• Datum proběhlé obhajoby: 21.07.2015
• Oponenti: prof. PhDr. Ladislav Krištoufek, Ph.D.

Seznam odborné literatury

1) Percival D. & Walden A. (2000). “Wavelet Methods for Time Series Analysis”,
Cambridge University Press, first edition, 622p
The textbook is utilized in methodology part to explain DWT and especially MODWT plus their pyramid algorithms in detail.

2) Gencay, R., Selçuk, F. & Whitcher, B. J. (2002). An introduction to wavelets
and other filtering methods in finance and economics, Academic press.
The textbook is the cornerstone of wavelet-based estimation of correlation and cross-correlation. It describes and in detail explains procedure of point estimate of wavelet correlation as well as its confidence intervals. The thesis intensively uses R package “waveslim” written by Whitcher based on the textbook.

3) Grinsted A., Moore, J.C. & Jevrejeva S. (2004), Application of the cross wavelet
transform and wavelet coherence to geophysical time series, Nonlin. Processes Geophys.,
11, 561–566

The article describes wavelet coherence and its application on time series. My thesis uses Matlab package written by the authors used in the paper.

4) Aguiar-Conraria, L., Martins, M. M. & Soares M. J. (2012). The yield curve
and the macro-economy across time and frequencies. Journal of Economic Dynamics and
Control, 36(12), 1950-1970.

The work uses wavelet coherence to analyze relationship between yield curve and various macroeconomic variables (GDP, M2, …). Although it is not connected with my topic, it gives excellent insight into usage of the methodology and its interpretation.

5) Inoue, T., Masuda, A. & Oshige, H. (2013). The contagion of the Greek fiscal crisis
and structural changes in the Euro sovereign bond markets. Public Policy Review, 9(1),
171-202

In this paper DCC-GARCH is applied on sovereign bond yields and showed that co-movement changed in the crisis. In the thesis its results are frequently compared with the results of mine.

6) Fernández-Macho, J.,(2012) Wavelet multiple correlation and cross-correlation:
A multiscale analysis of Eurozone stock markets. Physica A: Statistical Mechanics and
its Applications, Elsevier, 391(4), pages 1097-1104.

The author proposes estimator of wavelet multiple correlation, which allows me to model whole groups of the states together and then test the differences. I will employ the same R package „wavemulcor“, which was developed by the same author.

7) Gallegati, M. (2012). A wavelet-based approach to test for financial market contagion., Computational Statistics & Data Analysis, 56(11), 3491-3497.

The paper utilizes bivariate wavelet correlation to detect contagion between the stock markets all around the world in the crisis. In my thesis this approach and rationale behind is applied too.

8) Barunik, J., Kocenda, E., & Vacha, L. (2013). Gold, oil, and stocks. arXiv preprint
arXiv:1308.0210.

The authors tested heterogeneity of the results across the scales by years. My thesis modifies the approach and creates a simple index of heterogeneity of the estimates.

9) Dias, J. (2012). Sovereign debt crisis in the European Union: A minimum spanning
tree approach. Physica A: Statistical Mechanics and its Applications, 391(5), 2046-2055.

The paper uses minimum spanning tree analysis to model co-movement of the sovereign bonds yields. The author showed that the crisis caused segmentation on the sovereign bond market in the EU.

10) Gómez-Puig, M. & Sosvilla-Rivero, S. (2014). Causality and contagion in EMU
sovereign debt markets. International Review of Economics & Finance, 33, 12-27.

The authors employed Granger causality. According to the results in the crisis time the relationship between the yields are more intensive.

11) Claeys, P., & Vašíček, B. (2014). Measuring Bilateral Spillover and Testing Contagion
on Sovereign Bond Markets in Europe. Journal of Banking & Finance.

The last paper uses factor augmented VAR and identified significant changes in shock transmissions on the sovereign bonds market.

Předběžná náplň práce

Práce analyzuje vzájemnou závislost mezi denními výnosy desetiletých vládních
dluhopisů jedenácti zemí EU (Řecka, Španělska, Portugalska, Itálie, Francie,
Německa, Nizozemska, Velké Británie, Belgie, Švédska a Dánska) rozdělených
do tří skupin (Jádro Eurozóny, Periférie Eurozóny, země mimo Eurozónu).
V centru pozornosti jsou změny vzájemné závislosti v období krize, zejména
blízko dvou významných událostí - pádu Lehman Brothers a veřejného ohlášení
zvýšení řeckého deficitu. Hlavní přínost práce tkví ve využití alternativní techniky
- waveletové transformace. Tato metoda dovoluje zkoumat, jak se liší
vzájemná závislost výnosů na jednotlivých škálách (frekvencích). Ke zkoumání
je použita waveletová koherence a korelace. Práce přináší tři hlavní zjištění:
(1) vzájemná závislost se signifikantně snížila v období krize, avšak jsou zde
vidět rozdíly mezi Jádrem a Periférií, (2) vzájemnou závislost se signifikantně
liší napříč škálami, ale heterogenita výsledků je v období krize menší,(3) u
obou zmíněných událostí bylo detekováno signifikatní snížení waveletové korelace
napříč nižšími škálami.

Předběžná náplň práce v anglickém jazyce

The thesis analyses co-movement of daily 10Y sovereign bond yields of 11 EU
members (Greece, Spain, Portugal, Italy, France, Germany, Netherlands, Great
Britain, Belgium, Sweden and Denmark) divided into the three groups (the
Core of the Eurozone, the Periphery of the Eurozone, the states outside the
Eurozone). In the center of attention are changes of co-movement in the crisis
period, especially near the two significant dates - the fall of Lehman Brothers
(15.9.2008) and the day, when increase of Greek public deficit was announced
(20.10.2009). Main contribution of the thesis is usage of alternative methodology
- wavelet transformation. It allows to research how co-movement changes
across scales (frequencies) and through time. Wavelet coherence is used as well
as wavelet bivariate and multiple correlation. The thesis brings three main
findings: (1) co-movement significantly decreased in the crisis period, but the
results differ in the groups, (2) co-movement significantly differs across scales,
but its heterogeneity decreased in the crisis period, (3) near to the examined
dates sharp and significant decrease of wavelet correlation was observable across
lower scales in some states.