Detail práce

Spread Determinants and Model Uncertainty: A Bayesian Model Averaging Analysis

Autor: Mgr. Seman Vojtěch
Rok: 2012 - zimní
Typ práce: Rigorózní
Jazyk: Anglicky
Stránky: 87
Abstrakt: The spread between interest rate and sovereign bond rate is commonly used in-
dicator for country's probability to default. Existing literature proposes many
di erent potential spread determinants but fails to agree on which of them
are important. As a result, there is a considerable uncertainty about the cor-
rect model explaining the spread. We address this uncertainty by employing
Bayesian Model Averaging (BMA). The BMA technique attempts to consider
all the possible combinations of variables and averages them using a model
t measure as weights. For this empirical exercise, we consider 44 di erent
explanatory variables for a panel of 47 OECD countries for the 1980-2010 pe-
riod. Most of the previously suggested determinants, including "public debt"
or "budget balance", were attributed low inclusion probabilities. We nd a role
of variables previously not included in the literature's spread determinants -
"unemployment" and "government consumption" which rank high by the in-
clusion probability. These results are robust to a wide range of both parameter
and model priors.
Ke stažení: Rigorozní práce Seman




Patria Finance
Česká Spořitelna