Do fundamentals matter for government bond spreads in the EU? Evidence from non-linear models
|Autor:||Mgr. Ján Popaďák|
|Rok:||2019 - zimní|
|Vedoucí:|| PhDr. Jaromír Baxa Ph.D.
|Typ práce:|| Diplomová
|Abstrakt:||This thesis investigates dynamics of determinants of government bond spreads in EMU
and non-EMU countries, using non-linear Markov-switching method and Dynamic model
averaging. Utilizing Dynamic model averaging we found evidence of three bond pricing
regimes – pre-crisis, crisis and post Outright monetary transaction announcements.
These three regimes are characteristic for all EMU countries (except Slovak Republic)
and Czech Republic. Announcements of OMTs triggered post OMTs announcement
regime also in Slovak republic. Third regime is not present in Poland, Hungary and United
Kingdom. Moreover United Kingdom has only one regime and is dominated solely by
market expectations. We found that there is heterogeneity in the determinants of bond
spreads across all examined countries. Moreover we found that spreads are significantly
related to market and economic sentiments