Work detail

Time-scale analysis of sovereign bonds market co-movement in the EU

Author: Mgr. Filip Šmolík
Year: 2014 - summer
Leaders: Mgr. Lukáš Vácha Ph.D.
Work type: Finance, Financial Markets and Banking
Language: English
Pages: 126
Awards and prizes: M.A. with distinction from the Dean of the Faculty of Social Sciences for an excellent state-final examination performance and for an extraordinarily good masters diploma thesis.
Abstract: The thesis analyses co-movement of 10Y sovereign bond yields of 11 EU members
(Greece, Spain, Portugal, Italy, France, Germany, Netherlands, Great
Britain, Belgium, Sweden and Denmark) divided into the three groups (the
Core of the Eurozone, the Periphery of the Eurozone, the states outside the
Eurozone). In the center of attention are changes of co-movement in the crisis
period, especially near the two significant dates - the fall of Lehman Brothers
(15.9.2008) and the day, when increase of Greek public deficit was announced
(20.10.2009). Main contribution of the thesis is usage of alternative methodology
- wavelet transformation. It allows to research how co-movement changes
across scales (frequencies) and through time. Wavelet coherence is used as well
as wavelet bivariate and multiple correlation. The thesis brings three main
findings: (1) co-movement significantly decreased in the crisis period, but the
results differ in the groups, (2) co-movement significantly differs across scales,
but its heterogeneity decreased in the crisis period, (3) near to the examined
dates sharp and significant decrease of wavelet correlation was observable across
lower scales in some states.




Patria Finance
Česká Spořitelna