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Sovereign credit risk drivers in a spatial perspective.
Název práce v češtině: Sovereign credit risk drivers in a spatial perspective.
Název v anglickém jazyce: Sovereign credit risk drivers in a spatial perspective.
Klíčová slova: prostorová ekonometrie, CDS spready, kreditní riziko státu, nákaza, realizovaná kovariance
Klíčová slova anglicky: spatial econometrics, CDS spreads, sovereign credit risk, financial contagion, realised covariance
Akademický rok vypsání: 2015/2016
Typ práce: diplomová práce
Jazyk práce: angličtina
Ústav: Institut ekonomických studií (23-IES)
Vedoucí / školitel: PhDr. Petr Gapko, Ph.D.
Řešitel: Mgr. Josef Záhlava - zadáno vedoucím/školitelem
Datum přihlášení: 09.06.2016
Datum zadání: 09.06.2016
Datum a čas obhajoby: 31.01.2018 08:30
Místo konání obhajoby: Opletalova - Opletalova 26, O105, Opletalova - místn. č. 105
Datum odevzdání elektronické podoby:05.01.2018
Datum proběhlé obhajoby: 31.01.2018
Oponenti: doc. Petr Janský, M.Sc., Ph.D.
 
 
 
Kontrola URKUND:
Seznam odborné literatury
Barunik, J., Vacha, L. (2015). Realized wavelet-based estimation of integrated variance and jumps in the presence of noise. https://ideas.repec.org/p/arx/papers/1202.1854.html
Barunik, J., Vacha L. (2016) Do co-jumps impact correlations in currency markets? https://ideas.repec.org/p/arx/papers/1602.05489.html
Cantor, R., & Packer, F. (1996). Determinants and impact of sovereign credit ratings. Economic policy review, 2(2).
Eder, A., & Keiler, S. (2012). CDS Spreads and Systemic Risk-A Spatial Econometric Approach.
Pesaran, M. Hashem and Schuermann, Til and Treutler, Björn-Jakob and Weiner, Scott M., Macroeconomic Dynamics and Credit Risk: A Global Perspective (July 2003). CESifo Working Paper Series No. 995. Available at SSRN: http://ssrn.com/abstract=432903
Tang, D. Y., & Yan, H. (2010). Market conditions, default risk and credit spreads. Journal of Banking & Finance, 34(4), 743-753
Předběžná náplň práce
1. Motivation
2. Literature review
3. Data
4. Methods
5. Results
6. Concluding remarks

Hypothesis 1: Macroeconomic conditions drive sovereign credit risk
Hypothesis 2: The drivers’ impact is biased by cross-country correlation.
Hypothesis 3: The impact of cross-country correlation as well as the other drivers changed significantly during the crisis

I will conduct an empirical analysis of sovereign credit risk drivers. I will work with daily data on CDS spreads to get as much information about sovereign credit risk as possible. Using sophisticated estimators, I will evaluate true cross-country correlations to construct spatial weights matrix for further analysis based on the spatial econometrics framework. In contrast to previous analyses, I will control for the countries’ interconnectedness in the estimation to obtain unbiased estimates of macroeconomic conditions’ impact on sovereign credit risk. The results will provide information on importance of taking countries’ interconnectedness into consideration when performing analyses and will improve general understanding of the forces behind sovereign credit risk. Also, this work differs from current literature with its aim to demonstrate the possibility of employment of elaborate estimators working with high-frequency data and using their results in broader context, in this case spatial econometric models working with macroeconomic conditions.
Předběžná náplň práce v anglickém jazyce
1. Motivation
2. Literature review
3. Data
4. Methods
5. Results
6. Concluding remarks

Hypothesis 1: Macroeconomic conditions drive sovereign credit risk
Hypothesis 2: The drivers’ impact is biased by cross-country correlation.
Hypothesis 3: The impact of cross-country correlation as well as the other drivers changed significantly during the crisis

I will conduct an empirical analysis of sovereign credit risk drivers. I will work with daily data on CDS spreads to get as much information about sovereign credit risk as possible. Using sophisticated estimators, I will evaluate true cross-country correlations to construct spatial weights matrix for further analysis based on the spatial econometrics framework. In contrast to previous analyses, I will control for the countries’ interconnectedness in the estimation to obtain unbiased estimates of macroeconomic conditions’ impact on sovereign credit risk. The results will provide information on importance of taking countries’ interconnectedness into consideration when performing analyses and will improve general understanding of the forces behind sovereign credit risk. Also, this work differs from current literature with its aim to demonstrate the possibility of employment of elaborate estimators working with high-frequency data and using their results in broader context, in this case spatial econometric models working with macroeconomic conditions.
 
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