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Analysis of Term Structures in High Frequencies
Název práce v češtině: Vysokofrekvenční analýza časové struktury úrokových sazeb
Název v anglickém jazyce: Analysis of Term Structures in High Frequencies
Klíčová slova: časová struktura úrokových sazeb, výnosové křivky, vysokofrekvenční analýza, spektrální analýza, úrokové futurity
Klíčová slova anglicky: term structure of interest rates, yield curves, high-frequency analysis, spectral analysis, interest rate futures
Akademický rok vypsání: 2015/2016
Typ práce: diplomová práce
Jazyk práce: angličtina
Ústav: Institut ekonomických studií (23-IES)
Vedoucí / školitel: doc. PhDr. Jozef Baruník, Ph.D.
Řešitel: skrytý - zadáno vedoucím/školitelem
Datum přihlášení: 15.06.2016
Datum zadání: 15.06.2016
Datum a čas obhajoby: 19.09.2018 08:30
Místo konání obhajoby: Opletalova - Opletalova 26, O206, Opletalova - místn. č. 206
Datum odevzdání elektronické podoby:30.07.2018
Datum proběhlé obhajoby: 19.09.2018
Oponenti: RNDr. Michal Červinka, Ph.D.
 
 
 
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Motivation:

The term structure of interest rates is of central importance to the research of market activity. It shows how market participants value future nominal payments with varying time to maturity. The information contained in the term structure is essential to the most of the economic decisions. At the same time, we can infer important indicators of the current state of the economy by studying the dynamics and shape of the term structure.

A novel rich dataset of high-frequency tick data from US Treasury market spanning over 19 years’ period provides a unique opportunity to analyse both endogenous and exogenous determinants of term structures and its volatility. Moreover, employing the method of quantile cross-spectral analysis (Baruník and Kley, 2015). allows for detecting general dependence structures invisible to a conventional analysis.

This thesis aims to study the properties of term structures obtained from the US Treasury market high-frequency data, its volatilities and both endogenous and exogenous connectedness in different time horizons and quantiles. Furthermore, analysis of term structures in the frequency domain aims at detecting prevailing cyclical patterns.

Hypotheses:

Hypothesis H1: Volatility of term structures is connected with stock markets volatility
Hypothesis H2: Connectedness of term structures depends on the employed monetary policy
Hypothesis H3: Term structures exhibit common cyclical behaviour across different quantiles

Methodology:

High-frequency tick by tick data from the US Treasury market spanning from January 1992 to December 2010 will be used to construct term structures. This will be achieved through conversion of the bond data to the equivalent zero-coupon yields. Quantile cross-spectral analysis will be employed to study the general dependence structures in quantiles of the joint distribution of the term structures, its volatilities and exogenous economic time series of interest in the frequency domain.

Expected Contribution:

The use of the newly developed framework of quantile cross-spectral analysis on the scarcely analysed tick by tick data of the US Treasury market provides an opportunity to uncover dependencies in term structures, its volatilities and other exogenous variables, that so far remain unexplored. This proposed thesis aims to analyse short and long-term connectedness in term structures and its relationships in varying quantiles as well as its connectedness to possible various exogenous determinants of its shape and dynamics. It is expected to discover previously unobserved relationships between the analysed time series.
 
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