This Thesis is dedicated to the variance decompositions from the VAR model un- der the Diebold, Yilmaz (2012) methodology combined with the Baruník, Křehlík (2017) method of frequencies that was used to create traditional and directional spillover tables to be compared under different frequencies. Diverse markets vari- ables were used for the analysis during the period 1/6/1999 to 29/6/2018. The S&P 500 Index represented the financial markets, EUR/USD and YEN/USD rep- resented the Forex markets, and eight types of commodities: Crude Oil, Natural Gas, Gasoline, and Propane represented energy commodities and Corn, Coffee, Wheat, and Soybeans represented food commodities. This analysis contribute to understanding of the dynamic frequency connectedness in case of a differentiated system of markets. The main finding was the strongest short-frequency reaction to shocks in case of all variables, which is opposite behavior than usually observed in banking sector frequency dynamics analyses. JEL Classication: F12, F21, F23, H25, H71, H87 Keywords: connectedness, financial market, forex market, commodity market, systemic risk, spillovers, frequency analysis Author's e-mail: 93414233@fsv.cuni.cz Supervisor's e-mail: barunik@fsv.cuni.cz
| Identifer | oai:union.ndltd.org:nusl.cz/oai:invenio.nusl.cz:392632 |
| Date | January 2019 |
| Creators | Šoleová, Juliána |
| Contributors | Baruník, Jozef, Vácha, Lukáš |
| Source Sets | Czech ETDs |
| Language | English |
| Detected Language | English |
| Type | info:eu-repo/semantics/masterThesis |
| Rights | info:eu-repo/semantics/restrictedAccess |
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