Impact of sovereign debt crisis in Greece on its neighboring countries
|Author:||Bc. Radan Papoušek|
|Year:||2015 - summer|
|Leaders:|| doc. PhDr. Adam Geršl Ph.D.
|Work type:|| Bachelors
|Awards and prizes:|
|Abstract:||In this thesis, I analyze contagious effects stemming from Greece to Bulgaria, Cyprus,
Italy, and Turkey during the Greek sovereign debt crisis. Using the VAR framework,
I estimate adjusted cross-market correlation coefficients, and then test them on contagion.
My research is based on examination of 10-year sovereign bonds and stock
market indices in time period spanning from December 2004 to August 2012. The
thesis finds that contagious impacts arising from the Greek crisis were present in all
the examined countries. I also find significant interdependence among some of the
examined countries. The existence of transmission channels suggests that the crisis
could spread easily from Greece.