Coexceedance in Exchange Rates - Analysis of Contagion in Central and Eastern European Countries
|Author:||Mgr. Pavla Bláhová|
|Year:||2016 - summer|
|Leaders:|| prof. Roman Horváth Ph.D.
|Work type:|| Finance, Financial Markets and Banking
|Awards and prizes:|
|Abstract:||The objective of this thesis is to examine the contagion in Central and Easter European
countries, namely in Czech Republic, Hungary, and Poland. From all possible propagation
channels, it chooses to focus on exchange rates. The method of coexceedance with consequent
quantile regression is employed. We find that coexceedance does occur but not as frequently as
assumed. The coexceedance occurs more frequently during the depreciation of the currencies.
The persistence effect is very significant and the coexceedances are ``continual'' rather than
``correcting'' for previous extremes. We found evidence for both asset class effect and volatility
effect. These effects have different impact during the 2008 Financial Crisis most of the times. An
evidence for both Hungarian and Polish government bond yields having influence on the
coexceedance with Czech Republic. Surprisingly, we did not find evidence for oil market
influence on coexceedance.