Work detail

Contagion effect in the current debt crisis: Effect of a membership in the eurozone

Author: Mgr. Tomáš Matyska
Year: 2014 - winter
Leaders: prof. Ing. Oldřich Dědek CSc.
Consultants:
Work type: Economic Theory
Masters
Language: English
Pages: 70
Awards and prizes:
Link:
Abstract: This thesis deals with the topic of linkages on the nancial markets. It summa-
rize the main methodologies that are used for analyzing the interdependencies
of nancial time series. The Granger causality is then used to investigate the
relation between the bond yields and stock price indices of the Czech republic
and Slovakia with those of the Germany, Italy and Spain. The aim of this
analysis is to nd out whether the membership in the Eurozone has some sig-
nicant e ect on the nancial market linkages. The results of the analysis
are such that none of the triplet Germany, Italy and Spain granger cause the
nancial data of Slovakia while there is strong evidence that they granger cause
the Czech republic data. Moreover, stronger relationship was found in the case
of the stock price indices

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