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.
| Identifer | oai:union.ndltd.org:nusl.cz/oai:invenio.nusl.cz:347357 |
| Date | January 2016 |
| Creators | Bláhová, Pavla |
| Contributors | Horváth, Roman, Kočenda, Evžen |
| 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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