Sovereign credit risk drivers in a spatial perspective.
|Author:||Mgr. Josef Záhlava|
|Year:||2018 - winter|
|Leaders:|| PhDr. Petr Gapko Ph.D.
|Work type:|| Finance, Financial Markets and Banking
|Awards and prizes:|
|Abstract:||This thesis analyses what drives sovereign credit risk when contagion is controlled
for. CDS spreads are used as a measure of credit risk and bond yields
are used to estimate interconnectedness of the examined countries. The main
contribution lies in the use of high–frequency data and a robust wavelet based
estimator in addition to spatial econometric model. The aim of this thesis is to
test for presence of contagion and to evaluate which fundamentals are decisive
for market perception of sovereign credit risk. Another goal is to evaluate the
possibility of a structural break caused by the Greek debt restructuring.
The results show that the restructuring did bring change. Contagion is present
during the post–crisis period and it diminishes as the economies recover. Similarly,
fundamentals are of higher importance in the post–crisis period when
compared with the following period.