Impact of sovereign debt crisis in Greece on its neighboring countries
| Název práce v češtině: | Impact of sovereign debt crisis in Greece on its neighboring countries |
|---|---|
| Název v anglickém jazyce: | Impact of sovereign debt crisis in Greece on its neighboring countries |
| Klíčová slova: | finanční nákaza, vzájemná závislost, VAR model, Řecko, státní dluhopisy, akciové indexy |
| Klíčová slova anglicky: | financial contagion, interdependence, VAR model, Greece, sovereign bonds, stock indices |
| Akademický rok vypsání: | 2013/2014 |
| Typ práce: | bakalářská práce |
| Jazyk práce: | angličtina |
| Ústav: | Institut ekonomických studií (23-IES) |
| Vedoucí / školitel: | doc. PhDr. Adam Geršl, Ph.D. |
| Řešitel: | skrytý - zadáno vedoucím/školitelem |
| Datum přihlášení: | 02.06.2014 |
| Datum zadání: | 02.06.2014 |
| Datum a čas obhajoby: | 09.09.2015 00:00 |
| Místo konání obhajoby: | IES |
| Datum odevzdání elektronické podoby: | 30.07.2015 |
| Datum proběhlé obhajoby: | 09.09.2015 |
| Oponenti: | Mgr. Matěj Kuc, Ph.D. |
| Kontrola URKUND: | |
| Zásady pro vypracování |
| In 2010, it became evident that Greece was experiencing serious financial problems and had to ask for international help. Greek government officials asked for bailout in order to prevent default on its government debts. The European Commission, ECB, and IMF have provided bailout plans which have been supplying Greece with hundreds of billions euros and hundreds of billions euros of its loans were written off. Still, after such an enormous international help Greek economy is recovering very slowly. Overall unemployment rate is around 25% and unemployment among age group of 15-24 is around unbelievable 55%. From 2008 to 2012 its nominal GDP felt almost by 30%.
The aim of my thesis will be to examine the impact of Greek economic meltdown on its neighboring economies with focus on financial contagion. I will investigate if financial contagion occurred in all countries, why occurred and how strongly occurred. Also, I will look into in which sectors of economy occurred. Hypotheses: 1. Contagion occurred in all neighboring countries (i.e. Albania, Bulgaria, Cyprus, Italy, Macedonia, and Turkey). 2. Contagion was stronger in EMU member countries. 3. Contagion occurred only in financial sector, non-financial one was intact. Methodology: I will work with term “financial contagion” as it is defined by Forbes & Rigobon (2002). For testing hypotheses I will use VAR model introduced by Forbes & Rigobon (2002). For testing first two hypotheses, I will use daily data from 2003 to 2012 on 10y government bonds. For third hypothesis, I will use daily data from 2003 to 2012 on financial and non-financial stock market indices Content: 1. Introduction 2. Literature Review 3. Methodology 4. Empirical Part 5. Results 6. Conclusion |
| Seznam odborné literatury |
| Forbes, K. J., Rigobon, R. (2002). No contagion, only interdependence: measuring stock market co-movements. Journal of Finance 57 (5), 2223-2261.
http://onlinelibrary.wiley.com/doi/10.1111/0022-1082.00494/abstract Grammatikos, T., Vermeulen, R. (2012). Transmission of the financial and sovereign debt crises to the EMU: Stock prices, CDS spreads and exchange rates. Journal of International Money and Finance 31, 517-533. http://www.sciencedirect.com/science/article/pii/S026156061100146X Hsiao, C. (1981). Autoregressive modelling and money-income causality detection. Journal of Monetary Economics 7, 85-106. http://www.sciencedirect.com/science/article/pii/0304393281900532 Kalbaska, A., Gatkowski, M. (2012). Eurozone sovereign contagion: Evidence from the CDS market (2005-2010). Journal of Economic Behavior & Organization 83, 657-673. http://www.sciencedirect.com/science/article/pii/S0167268112001199 Mink, M., de Haan, J. (2013). Contagion during the Greek sovereign debt crisis. Journal of International Money and Finance 34, 102-113. http://www.sciencedirect.com/science/article/pii/S0261560612001854 Puig, M. G., Sosvilla-Rivero, S. (2014). Causality and contagion in EMU sovereign debt markets. International Review of Economics and Finance 33, 12-27. http://www.sciencedirect.com/science/article/pii/S1059056014000343# Samitas, A, Tsakalos, I. (2013). How can a small country affect the European economy? The Greek contagion phenomenon. Int. Fin. Markets, Inst. and Money 25, 18-32. http://www.sciencedirect.com/science/article/pii/S1042443113000061 |
| Předběžná náplň práce |
| V roce 2010 začalo být evidentní, že Řecko zažívá vážné finanční problémy a muselo požádat o mezinárodní pomoc. Řečtí vládní představitelé požádali o finanční záchranu, aby předešli bankrotu země. Evropská komise, ECB a MMF představili záchranné plány, které zásobují Řecko miliardami euro, navíc miliardy euro již byly z řeckého dluhu odepsány. I přes takto velkou pomoc se řecká ekonomika oživuje jen pomalu. Celková nezaměstnanost v zemi dosahuje 25 %, ve věkové skupině 15-24 let dokonce 55 %. Řecké HDP kleslo mezi roky 2008 až 2012 téměř o 30 %.
Cíl mojí práce je zkoumání vlivu řeckého ekonomického kolapsu na sousední státy se zaměřením na finanční nákazu. Budu testovat, zda se finanční nákaza projevila ve všech zkoumaných zemí, proč se objevila a jak silná byla. Podívám se také ve kterých sektorech ekonomiky se projevila. Hypotézy: 1. Nákaza se objevila ve všech sousedních zemí (Albánie, Bulharsko, Kypr, Itálie, Makedonie a Turecko). 2. Nákaza byla silnější v zemích eurozóny. 3. Nákaza se projevila pouze ve finančním sektoru, nefinančnímu sektoru se nákaza vyhnula. Metodologie: Budu pracovat s termínem „finanční nákaza“, tak jak jej definoval Forbes & Rigobon (2002). Pro testování hypotéz budu používat VAR model představený v paperu Forbes & Rigobon (2002). Pro testování prvních dvou hypotéz použiji denní data od 2003 do 2012 pro 10leté vládní dluhopisy. Pro třetí hypotézu použiji denní data od 2003 do 2012 pro finanční a nefinanční akciové indexy. Obsah: Úvod Přehled literatury Metodologie Empirická část Výsledky Závěr |
| Předběžná náplň práce v anglickém jazyce |
| In 2010, it became evident that Greece was experiencing serious financial problems and had to ask for international help. Greek government officials asked for a bailout in order to prevent default on its government debts. The EC, the ECB, and the IMF have provided bailout plans, which have been supplying Greece with hundreds of billions euros, and hundreds of billions euros of its loans were written off. Still after such an enormous international help, the Greek economy has been recovering very slowly. Overall unemployment rate is around 25 %, and unemployment among age group of 15-24 is around unbelievable 55 %. From 2008 to 2012, its nominal GDP felt almost by 30 %.
The aim of my thesis will be to examine the impact of the Greek economic meltdown on its neighboring economies with the focus on financial contagion. I will investigate, if financial contagion occurred in all the examined countries, why occurred, and how strongly occurred. Also, I will look into, in which sectors of economy occurred. Hypotheses: 1. Contagion occurred in all the neighboring countries (i.e., Albania, Bulgaria, Cyprus, Italy, Macedonia, and Turkey). 2. Contagion was stronger in the EMU member countries. 3. Contagion occurred only in the financial sector, the non-financial one was intact.\\ Methodology: I will work with the term “financial contagion” as it is defined by Forbes & Rigobon (2002). For testing hypotheses, I will use the VAR model introduced by Forbes & Rigobon (2002). For testing first two hypotheses, I will use daily data from 2003 to 2012 on 10Y government bonds. For the third hypothesis, I will use daily data from 2003 to 2012 on financial and non-financial stock market indices. Content: Introduction Literature Review Methodology Empirical Part Results Conclusion |