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Metoda coexceedance v souvislosti se směnnými kurzy a propagací finanční krize ve střední a východní Evropě / Coexceedance in Exchange Rates - Analysis of Contagion in Central and Eastern European Countries

The objective of this thesis is to examine the contagion in Central and Easter European countries, namely in Czech Republic, Hungary, and Poland. From all possible propagation channels, it chooses to focus on exchange rates. The method of coexceedance with consequent quantile regression is employed. We find that coexceedance does occur but not as frequently as assumed. The coexceedance occurs more frequently during the depreciation of the currencies. The persistence effect is very significant and the coexceedances are ``continual'' rather than ``correcting'' for previous extremes. We found evidence for both asset class effect and volatility effect. These effects have different impact during the 2008 Financial Crisis most of the times. An evidence for both Hungarian and Polish government bond yields having influence on the coexceedance with Czech Republic. Surprisingly, we did not find evidence for oil market influence on coexceedance.

Identiferoai:union.ndltd.org:nusl.cz/oai:invenio.nusl.cz:347357
Date January 2016
CreatorsBláhová, Pavla
ContributorsHorváth, Roman, Kočenda, Evžen
Source SetsCzech ETDs
LanguageEnglish
Detected LanguageEnglish
Typeinfo:eu-repo/semantics/masterThesis
Rightsinfo:eu-repo/semantics/restrictedAccess

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