Frequency Connectedness of Financial, Commodity, and Forex Markets
|Author:||Mgr. Juliána Šoleová|
|Year:||2019 - winter|
|Leaders:|| doc. PhDr. Jozef Baruník Ph.D.
|Work type:|| Masters
|Awards and prizes:|
|Abstract:||This Thesis is dedicated to the variance decompositions from the VAR model under the Diebold, Yilmaz (2012) methodology combined with the Barun´ık, Kˇrehl´ık
(2017) method of frequencies that was used to create traditional and directional
spillover tables to be compared under different frequencies. Diverse markets variables were used for the analysis during the period 1/6/1999 to 29/6/2018. The
S&P 500 Index represented the financial markets, EUR/USD and YEN/USD represented the Forex markets, and eight types of commodities: Crude Oil, Natural
Gas, Gasoline, and Propane represented energy commodities and Corn, Coffee,
Wheat, and Soybeans represented food commodities. This analysis contribute to
understanding of the dynamic frequency connectedness in case of a differentiated
system of markets. The main finding was the strongest short-frequency reaction
to shocks in case of all variables, which is opposite behavior than usually observed
in banking sector frequency dynamics analyses.