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What Drives the Sovereign Bond Spreads in Central and Eastern Europe?
Název práce v češtině: Které faktory ovlivňují spready vládních dluhopisů ve střední a východní Evropě?
Název v anglickém jazyce: What Drives the Sovereign Bond Spreads in Central and Eastern Europe?
Klíčová slova: výnosy dluhopisů, spready dluhopisů, střední a východní Evropa
Klíčová slova anglicky: bond yields, bond spreads, central and eastern Europe
Akademický rok vypsání: 2012/2013
Typ práce: bakalářská práce
Jazyk práce: angličtina
Ústav: Institut ekonomických studií (23-IES)
Vedoucí / školitel: PhDr. Jaromír Baxa, Ph.D.
Řešitel: skrytý - zadáno vedoucím/školitelem
Datum přihlášení: 17.05.2012
Datum zadání: 17.05.2012
Datum a čas obhajoby: 20.06.2013 00:00
Místo konání obhajoby: IES
Datum odevzdání elektronické podoby:17.05.2013
Datum proběhlé obhajoby: 20.06.2013
Oponenti: Mgr. Michal Paulus
 
 
 
Zásady pro vypracování
In my Bachelor’s thesis, I will give an overview of factors driving the government bond yields in emerging market economies and present a model explaining the relationship between the spreads and other macroeconomic variables. I am going to use econometric methods to identify key determinants of government bond spreads in the CEE region. After that, I am going to analyze to what extent is the dynamics of bond spreads driven by domestic, regional and foreign factors as well as try to identify subgroups of countries characterized by similar spread determinants. I will investigate whether the regional spread determinants differ from those of the Eurozone countries. Finally, I will provide a comparison of the drivers of sovereign bond spreads in the CEE countries and in other emerging markets.
Seznam odborné literatury
Akitoby, Bernardin and Stratmann, Thomas. "Fiscal Policy and Financial Markets." The Economic Journal, 2008, 118(533), pp. 1971–85.

Alexopoulou, Ioana; Bunda, Irina and Ferrando, Annalisa. "Determinants of Goverment Bond Spreads in New EU Countries." European Central Bank Working Paper Series, 2009.

Baldacci, Emanuele; Gupta, Sanjeev and Mati, Amine. "Is it (Still) Mostly Fiscal? Determinants of Sovereign Spreads in Emerging Markets." IMF Working Paper, 2008.

Bellas, Dimitri; Papaioannou, Michael G. and Petrova, Iva. "Determinants of Emerging Market Sovereign Bond Spreads: Fundamentals vs Financial Stress." IMF Working Paper, 2010.

Bunda, Irina; Hamann, Javier A. and Lall, Subir. "Correlations in Emerging Market Bonds: The Role of Local and Global Factors." Emerging Markets Review, 2009, 10(2), pp. 67–96.

Codogno, Lorenzo; Favero, Carlo and Missale, Alessandro. "Yield Spreads on EMU Government Bonds." Economic Policy, 2003, 18(37), pp. 503–32.

Čihák, Martin and Mitra, Srobona. "The Financial Crisis and European Emerging Economies." Finance a úvěr-Czech Journal of Economics and Finance, 2009, 59(6), pp. 541–53.

Duffie, Darrell; Pedersen, Lasse H. and Singleton, Kenneth J. "Modeling sovereign yield spreads: a case study of Russian debt." Journal of Finance, 2003, 58(1), pp. 119–59.

Eaton, Jonathan; Gersovitz, Mark and Stiglitz, Joseph. "The pure theory of country risk." European Economic Review, 1986, 30(3), pp. 481–513.

Ebner, André. "An empirical analysis on the determinants of CEE government bond spreads." Emerging Markets Review, 2009, 10(2), pp. 97–121.

Eichengreen, Barry; Rose, Andrew K. and Wyplosz, Charles. "Exchange Market Mayhem: The Antecedents and Aftermath of Speculative Attacks." Economic Policy, 1995, 10(21), pp. 249–312.

Manganelli, Simone and Wolswijk, Guido. "What Drives Spreads in the Euro Area Government Bond Market?" Economic Policy, 2009, 24(48), pp. 191–240.

Nickel, Christane; Rother, Philipp C. and Rülke, Jan C. "Fiscal Variables and Bond Spreads: Evidence from Eastern European Countries and Turkey." European Central Bank Working Paper Series, 2009.

Rudebusch, Glenn D. and Swanson, Eric T. "The Bond Premium in a DSGE Model with Long-Run Real and Nominal Risks." American Economic Journal: Macroeconomics, 2012, 4(1), pp. 105–43.
Předběžná náplň práce
Government bond yield spreads play an important role in macroeconomy. Proper understanding of their determinants is crucial, because bond markets exert considerable influence over fiscal policy. Moreover, long term interest rate is one of the Euro convergence criteria.
After the eruption of sovereign debt crisis in the Eurozone, investors changed their perception of government bonds risks. Although a lot of empirical research has been devoted to recent turmoil on bond markets of the Eurozone countries, impact of this adverse development on sovereign bond yields in Central and Eastern Europe remains unclear.


1. Introduction
2. Literature Review
3. Theoretical Model of Government Bond Spreads
4. Econometric Analysis
5. Discussion of Results
6. Summary and Conclusion
Předběžná náplň práce v anglickém jazyce
Government bond yield spreads play an important role in macroeconomy. Proper understanding of their determinants is crucial, because bond markets exert considerable influence over fiscal policy. Moreover, long term interest rate is one of the Euro convergence criteria.
After the eruption of sovereign debt crisis in the Eurozone, investors changed their perception of government bonds risks. Although a lot of empirical research has been devoted to recent turmoil on bond markets of the Eurozone countries, impact of this adverse development on sovereign bond yields in Central and Eastern Europe remains unclear.


1. Introduction
2. Literature Review
3. Theoretical Model of Government Bond Spreads
4. Econometric Analysis
5. Discussion of Results
6. Summary and Conclusion
 
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