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Authors
Advisor(s)
Abstract(s)
Com este trabalho pretende-se estudar se existe contágio entre os países da
Periferia da União Económica e Monetária (UEM) e os países do Centro no
contexto da crise de dívida soberana, propagado através do mercado de Credit
Default Swaps de dívida soberana.
Na análise empírica foi utilizado um modelo tri-etápico para determinar o
efeito de contágio. As três etapas são: i) um modelo GARCH univariado; ii) um
modelo GARCH multivariado com obtenção da correlação condicional; e iii)
uma análise de reverse causality. Estas etapas permitem detetar o efeito de
contágio através quer da análise da volatilidade, quer da análise gráfica das
correlações condicionais, assim como refutar a mera inter-dependência através
da análise de reverse causality.
Conclui-se que existe de facto contágio pelo menos da Grécia para a
Alemanha, sendo que a análise entre Portugal e a Alemanha não permite
constestar a hipótese de inter-dependência entre os dois países. Uma outra
conclusão relevante é que os mercados de CDS de dívida soberana aparentam
ter uma certa sensibilidade temporal face à possibilidade de default de uma
entidade soberana.
In this thesis we intend to study if there is contagion between countries on the Periphery of the Economic and Monetary Union (EMU) and countries in its core, during the sovereign debt crisis. We also assess if such possible contagion is propelled by the sovereign Credit Default Swaps market. In the empirical analysis, we have used a three-stage approach to test for contagion effects. The three stages are: i) a univariate GARCH model; ii) a multivariate GARCH model with the resulting conditional correlations; and iii) a reverse causality analysis. These steps allow us to detect whether there are contagion effects through the analysis of volatility and the graphic analysis of the conditional correlations, as well as refuting the mere interdependence scenario through reverse causality analysis. We conclude that there is in fact contagion at least from Greece to Germany, as the analysis between Portugal and Germany does not allow us to contest the interdependence hypothesis. Another relevant finding is that the term structure of the sovereign CDS market seems to have a certain sensitivity to the possibility of default of a sovereign entity.
In this thesis we intend to study if there is contagion between countries on the Periphery of the Economic and Monetary Union (EMU) and countries in its core, during the sovereign debt crisis. We also assess if such possible contagion is propelled by the sovereign Credit Default Swaps market. In the empirical analysis, we have used a three-stage approach to test for contagion effects. The three stages are: i) a univariate GARCH model; ii) a multivariate GARCH model with the resulting conditional correlations; and iii) a reverse causality analysis. These steps allow us to detect whether there are contagion effects through the analysis of volatility and the graphic analysis of the conditional correlations, as well as refuting the mere interdependence scenario through reverse causality analysis. We conclude that there is in fact contagion at least from Greece to Germany, as the analysis between Portugal and Germany does not allow us to contest the interdependence hypothesis. Another relevant finding is that the term structure of the sovereign CDS market seems to have a certain sensitivity to the possibility of default of a sovereign entity.
Description
Keywords
Contágio CDS de dívida soberana Crise de dívida soberana Zona Euro Contagion Sovereign CDS Sovereign debt crisis Eurozone