Εφαρμογή Arch - Garch υποδειγμάτων για τη μελέτη της μεταβλητότητας μακροοικονομικών μεταβλητών
Implementation of Arch - Garch models to study the volatility of macroeconomic variables
Γκάρος, Άλφρεντ - Παντελής
KeywordsΚρατικές συμβάσεις ; Παράγωγα ; Χρηματοοικονομικά προϊόντα ; Στατιστική ανάλυση ; Διαχείριση κινδύνου ; Μεταβλητότητα (volatility) ; Τιμές ; Μακροοικονομική ; Arch υποδείγματα ; Garch υποδείγματα
Sovereign credit-default swaps (CDS) are derivative financial instruments with a reference entity on the debt of an underlying country. Simultaneously, they are widely used as an indicator of the default risk of a country, as well as a barometer of the "health" of its financial system. In this respect, the identification of the determinants of CDS spreads and the volatility of their prices is of great importance. The aim of this study is to investigate the association between sovereign credit risk in the Eurozone, as expressed by CDS, and, global or regional financial factors and domestic macroeconomic indicators. This study structures as follows. A general description of the concept of public debt and a reference of Eurozone debt crisis is provided in the first chapter. The following chapter includes a description of the evolution and growth of the sovereign CDS market and a literature review of the determinants of sovereign CDS. The third chapter presents: a) a statistical representation of CDS spreads for selected countries of the Eurozone; b) the macroeconomic and financial determinants used in the present study; c) the methodology of research. Finally, the fourth chapter presents the results of the statistical analysis with focus on Eurozone sovereign CDSs, as measures of the Eurozone credit risk and the variables that were tested for their interpretative capabilities in explaining their volatility.