We investigate the interdependence among three CEE stock markets and be- tween CEEs vis-à-vis euro area, using daily data from 2001-2011. Initially, we estimate bivariate ADCC models. Then, OLS regressions are employed to understand the evolution of correlations in time and during the recent financial crises. Finally, we examine the relationship between correlations and volatilities using the simple OLS model and the rolling stepwise regression methodology. Our results indicate that 3 out of 4 series exhibit asymmetries in conditional variances, while only 1 pair out of 6 exhibit asymmetries in correlations. We found that correlations are increased over time and during the recent financial crises for both pairs (CEEs-CEEs and CEEs-eurozone). However, the highest increase is observed for CEEs-eurozone. Mainly, we found a positive rela- tionship between correlations and volatilities, even though this relationship is niether constant in time nor strictly positive or negative during all the sample period, but rather time-varying with periods of being higher or lower than zero.

Given the extensive participation of mining stocks in the Peruvian stock market, the Lima Stock Exchange (BVL) provides an ideal setting for exploring both the impact of metal returns on mining stock returns and stock market volatility, and the comovements between mining stock returns and metal returns. This research is a first attempt to explore these issues using international metal prices and the prices of the most important mining stocks on the BVL and the IGBVL index. To achieve this, we use univariate GARCH models to model individual volatilities, and the Exponentially Weighted Moving Average (EWMA) method and multivariate GARCH models with time-varying correlations to model comovements in returns. We found that Peruvian mining stock volatilities mimic the behavior of metal volatilities and that there are important correlation levels between metals and mining stock returns. In addition, we found time-varying correlations with distinctive behavior in different periods, with rises potentially related to international and local historical events. / Dada la amplia participación de acciones mineras en el mercado de valores peruano, la Bolsa de Valores de Lima (BVL) resulta un escenario ideal para explorar tanto el impacto de los ren- dimientos de acciones de metales en los rendimientos de las acciones mineras y la volatilidad del Mercado de valores, así como los co-movimientos entre los rendimientos de las acciones mineras y los rendimientos de los metales. Este estudio es un primer intento en explorar estos temas usando precios internacionales de los metales y los precios de las acciones mineras más importantes de la BVL y del índice IGBVL. Para conseguir esto, hemos usado modelos GARCHunivariados para modelar las volatilidades individuales, y el método de Media Móvil Ponderada Exponencialmente (EWMA) y modelos GARCH multivariados con correlaciones de variantes en el tiempo a modelos de co-movimientos en rendimientos. Hemos encontrado que las volatilidades imitan el comportamiento de las volatilidades de los metales y que hay importantes niveles de correlación entre los metales y el retorno de las acciones mineras. Adicionalmente, encontramos correlaciones variantes en el tiempo con un comportamiento distintivo en periodos diferentes, el que aumenta potencialmente en relación con eventos históricos internacionales o nacionales.

In this thesis, we inquire interdependencies and comovements between CEE capital markets within each other. German market is also included in the analysis as a benchmark to CEE capital markets. We have chosen German capital market as it represents more developed market from the same geographical region. We study a unique high-frequency dataset of 5 minutes, 30 minutes and 1 hour data frequencies covering the the crisis period and post-crisis "tranquil" period. Daily data frequency is also involved in the analysis. Using different econometric techniques, we found no steady long-term relationships among stock market indices. The only strong relationship was detected between the DAX and WIG20 indices during both crisis and "tranquil" periods. The frequency of interactions changed across periods. The strongest interdependencies were recognized in 5 minute data frequency which indicates fast reactions between markets. Information inefficiency was revealed between markets according to cointegration tests in most cases.

Understanding financial asset return correlation is a key facet in asset allocation and investor’s portfolio optimization strategy. For the last decades, several studies have investigated this relationship between stock and bond returns. But, fewer studies have dealt with multi-asset return dynamics. While initial literature attempted to understand the fundamental pattern of comovements, later studies model the economic state variables influencing such time-varying comovements of primarily stock and bond returns. Research widely acknowledges that return distributions of financial assets are non-normal. When the joint distributions of the asset returns follow a non-elliptical structure, linear correlation fails to provide sufficient information of their dependence structure. In particular two issues arise from this existing empirical evidence. The first is to propose a more reliable alternative density specification for a higher-dimensional case. The second is to formulate a measure of the variables’ dependence structure which is more instructive than linear correlation. In this work I use a time-varying conditional multivariate elliptical and non-elliptical copula to examine the return comovements of three different asset classes: financial assets, commodities and real estate in the US market. I establish the following stylized facts about asset return comovements. First, the static measures of asset return comovements overestimate the asset return comovements in the economic expansion phase, while underestimating it in the periods of economic contraction. Second, Student t-copulas outperform both elliptical and non-elliptical copula models, thus confirming the ii dominance of Student t-distribution. Third, findings show a significant increase in asset return comovements post August 2007 subprime crisis ... [cont.].

Understanding financial asset return correlation is a key facet in asset allocation and investor’s portfolio optimization strategy. For the last decades, several studies have investigated this relationship between stock and bond returns. But, fewer studies have dealt with multi-asset return dynamics. While initial literature attempted to understand the fundamental pattern of comovements, later studies model the economic state variables influencing such time-varying comovements of primarily stock and bond returns. Research widely acknowledges that return distributions of financial assets are non-normal. When the joint distributions of the asset returns follow a non-elliptical structure, linear correlation fails to provide sufficient information of their dependence structure. In particular two issues arise from this existing empirical evidence. The first is to propose a more reliable alternative density specification for a higher-dimensional case. The second is to formulate a measure of the variables’ dependence structure which is more instructive than linear correlation. In this work I use a time-varying conditional multivariate elliptical and non-elliptical copula to examine the return comovements of three different asset classes: financial assets, commodities and real estate in the US market. I establish the following stylized facts about asset return comovements. First, the static measures of asset return comovements overestimate the asset return comovements in the economic expansion phase, while underestimating it in the periods of economic contraction. Second, Student t-copulas outperform both elliptical and non-elliptical copula models, thus confirming the ii dominance of Student t-distribution. Third, findings show a significant increase in asset return comovements post August 2007 subprime crisis ... [cont.].

Cette thèse étudie le rôle des marchés de production intersectoriels dans l’amplification et dans la propagation des chocs subis par les économies modernes. Une littérature théorique récente prédit que lorsque les réseaux d’inputs intermédiaires sont dominés par un groupe réduit de fournisseurs, la propagation des chocs au sein d’une économie est conséquente, et la dynamique de la production agrégée devient sensible aux aléas microéconomiques ; c’est à dire, à ceux subis par des firmes ou des secteurs. Cette thèse a pour premier but de tester cette hypothèse de façon empirique. Cette thèse va aussi au-delà des concepts déjà présentés par cette littérature en démontrant que l’étude de la structure en réseau des marchés internationaux d’inputs permet aussi d’étudier la propagation de chocs entre pays. Ainsi, cette thèse propose une nouvelle façon d’étudier un mécanisme de contagion international bien connu : les chaines internationales de valeur. Trois questions guident notre discussion : Est-ce que les économies industrialisées présentent-elles une structure en réseau susceptible d’amplifier les chocs idiosyncratiques ? Est-t-il possible de relier empiriquement la structure en réseau des marchés intersectoriels à la force de propagation des chocs ? Est-ce que la structure en réseaux des marchés internationaux d’inputs peut aider à expliquer la propagation des chocs entre pays, et ainsi la synchronisation internationale des cycles économiques entre pays ? Les résultats empiriques de cette thèse suggèrent une réponse positive à ces trois interrogations, et apportent des nouveaux éléments en faveur du développement de cette nouvelle branche de la macroéconomie internationale / This dissertation explores empirically the link between the network structure of inter-industry markets and the force of propagation of shocks affecting modern economies. Recent theoretical propositions suggest that where intermediate inputs markets are led by few very influential suppliers the propagation of shocks is strong, and the aggregate economy becomes sensitive to industryspecific shocks. The first objective of this dissertation is to test empirically these propositions. More importantly, this thesis goes beyond these observations by highlighting that current concepts linking the network structure of economies to the propagation of shocks within the economies may be applied to study the propagation of shocks across countries. This dissertation introduces a new way of studying a well-known international diffusion mechanism: the global inter-industry value chains. Discussion is articulated throughout three questions : Based on their network structure, are modern economies prone to important spillovers ? If so, may the network structure of economies predict the actual level of comovement of industrial activity ? Since globalization led to international fragmentation of production, may the network structure of international inter-industry value chains foster cross-country spillovers ? Empirical results give positive answers to these questions, and provide elements to continue exploring this emerging literature of the international macroeconomics

This dissertation contains three essays in international macroeconomics and financial time series forecasting. In the first essay, I show, numerically, that a two-country New-Keynesian Sticky Prices model, driven by monetary and productivity shocks, is capable of explaining the highly positive correlation across the industrialized countries' inflation even though their cross-country correlation in money growth rate is negligible. The structure of this model generates cross-country correlations of inflation, output and consumption that appear to closely correspond to the data. Additionally, this model can explain the internal correlation between inflation and output observed in the data. The second essay presents two important results. First, gains from monetary policy cooperation are different from zero when the elasticity of substitution between domestic and imported goods consumption is different from one. Second, when monetary policy is endogenous in a two-country model, the only Nash equilibria supported by this model are those that are symmetrical. That is, all exporting firms in both countries choose to price in their own currency, or all exporting firms in both countries choose to price in the importer's currency. The last essay provides both conditional and unconditional predictive ability evaluations of the aluminum futures contracts prices, by using five different econometric models, in forecasting the aluminum spot price monthly return 3, 15, and 27-months ahead for the sample period 1989.01-2010.10. From these evaluations, the best model in forecasting the aluminum spot price monthly return 3 and 15 months ahead is followed by a (VAR) model whose variables are aluminum futures contracts price, aluminum spot price and risk free interest rate, whereas for the aluminum spot price monthly return 27 months ahead is a single equation model in which the aluminum spot price today is explained by the aluminum futures price 27 months earlier. Finally, it shows that iterated multiperiod-ahead time series forecasts have a better conditional out-of-sample forecasting performance of the aluminum spot price monthly return when an estimated (VAR) model is used as a forecasting tool.

L'objectif de cette thèse est d'évaluer l'interdépendance macroéconomique entre pays développés sur les récentes décennies et, en particulier, à la suite de la crise financière de 2007-09 aux États-Unis. Pour cela, on utilise différentes hypothèses de modélisation dans les trois chapitres principaux que constituent la thèse permettant de capturer la dimension internationale des cycles économiques : modèle VAR en panel permettant de modéliser l'interdépendance entre les pays directement, modèle VAR simple en utilisant des variables domestiques et étrangères, et modèle DSGE à 2 pays permettant de modéliser directement les mécanismes réels et financiers qui lient les pays entre eux. Notre résultat principal est que la dimension internationale est importante pour expliquer la dynamique macroéconomique des pays développés sur les trois dernières décennies, que les variables soient réelles, nominales ou financières. Néanmoins, le rôle des facteurs étrangers ne croit pas dans le temps comme on pourrait le penser avec l'accentuation de la mondialisation de ces dernières décennies. Aussi, en regardant les crises économiques récentes aux États-Unis et de la zone euro, nous confirmons que la crise financière américaine de 2007-09 présente un choc plus important comparé aux standards historiques, qui s'est propagé à la zone euro à travers les liens financiers internationaux. Au contraire, la crise des dettes publiques de la zone euro de 2011 est un choc relativement standard, similaire aux chocs observés pendant la crise du Système Monétaire Européen (SME) de 1992-93, et affectant principalement les économies européennes. / The aim of this thesis is to evaluate macroeconomic interdependence between developed economies over the recent decades and, in particular, following the 2007-09 US financial crisis. For that purpose, we use several modeling assumptions across the three main chapters of the thesis to capture the international dimension of business cycles across countries: panel VAR model to model countries interdependence directly, simple VAR model with both domestic and foreign variables, and two-country DSGE model to model the real and financial mechanisms that link countries together. Our main result is that international dimension is important to explain the macroeconomic dynamics of developed economies over the last three decades and for either real, nominal and financial variables. Nevertheless, the role of foreign factors does not grow over time as would be expected with the increase in globalization of the recent decades. Also, looking at the recent economic crises in the US and the euro area, we confirm that the 2007-09 US financial crisis features a bigger shock relative to historical standards, which propagated to euro area economies through international financial linkages. In contrast, the 2011 euro area sovereign debt crisis features a standard shock, comparable to those observed in previous European crises like the 1992-1993 ERM crisis, and affecting mostly European economies.

This dissertation thesis consists of three essays on new EU foreign exchange markets (FX), i.e. the Czech koruna, Polish zloty and Hungarian forint. In the first two essays, the impact of foreign macroeconomic news announcements and central banks' monetary policy settings on the value and volatility of examined exchange rates is analyzed. In the third chapter, the conditional comovements and volatility spillovers on new EU FX markets is examined. The aim of this thesis is to contribute to the existing empirical literature by providing new evidence of the examined currencies during periods, which have not been examined yet (after the Global financial crisis (GFC), during the EU debt crisis and during currency interventions in the Czech Republic). The first essay (Chapter 2) examines the impact of Eurozone/Germany and US macroeconomic news announcements and monetary policy settings of the ECB and the Fed on the value of new EU member states' currencies. It is a complex analysis of 1-minute intraday dataset performed by event study methodology (ESM). We observe different reactions of exchange rates in pair with the US dollar on the US macroeconomic announcements and Euro-expressed FX rates on Germany macro news during the EU debt crisis and after it. We also provide evidence of leaking news, showing...