A carregar...
Publicação
How did the the public debt risk of the PIIGS (Portuguese, Ireland, Italy, Greece and Spain) progressed compared with Germany for different yields between 2000 and 2013?
| Nome: | Descrição: | Tamanho: | Formato: | |
|---|---|---|---|---|
| 1.43 MB | Adobe PDF |
Autores
Orientador(es)
Resumo(s)
Nos recentes anos temos vindo a observar um aumento da dívida soberana nos países como os PIIGS (Portugal, Grécia, Irlanda, Itália e Espanha). Isto fez com que os investidores, gradualmente começassem a refugiar os seus investimentos em países seguros como a Alemanha.
Neste trabalho, queremos perceber como progrediu o risco da dívida pública para os PIIGS, comparativamente com a Alemanha para as diferentes yields (2, 5 e 10 anos), entre 2000 e 2013. Para medir este risco usamos uma medida bastante conhecida, chamada Value at Risk (VaR). Mas, será este VaR um método de avaliação apropriado do risco de dívida soberana?
Do ponto de vista do investidor, uma questão importante surge, qual foi a percepção do risco, entre 2000 e 2002 (período em que o EURO entrou em vigor), e entre 2002 e 2008 (período antes da crise)? E depois de 2008 (crise financeira e crise da dívida soberana)? E por fim, o que é que pode explicar a crise da dívida soberana em termos de risco de crédito?
As principais conclusões deste trabalho são que os PIIGS, apresentam uma volatilidade elevada (países com maior risco), o que implica um elevado VaR e uma baixa correlação em contraste com o que é observado na Alemanha. Outra conclusão obtida foi a de que os resultados do VaR são diferentes dependendo do país e do período em questão.
In recent years, we have observed an increase in sovereign debt on countries such as the PIIGS (Portugal, Greece, Ireland, Italy and Spain). This led investors to, gradually start to refugee their investments in safer countries like Germany. In this work we intend to study how did the public debt risk for PIIGS progressed, comparatively with Germany in different yields (2, 5 and 10 years), between 2000 and 2013. To measure this risk we used a well know measure, called Value at Risk. But, is VaR an appropriated valuation method of sovereign debt risks? In that sense, this work is innovative. Despite being a very relevant subject, no evidence was found on studies done of the use of VaR to measure this type of risk faced by European investors. From the point of view of the investor an important issue is performed, what was the risk perception, between 2000 and 2002 (period of entry into force of the Euro) and between 2002 and 2008 (period pre-crisis)? And after 2008 (financial crisis and sovereign debt crisis)? And ultimately, what can explain the debt sovereign crisis in terms of credit risks? The main conclusions of this work are that PIIGS, present higher volatility, which means they are riskier countries, also present higher VaR and low correlation, in contrast to what is observed in Germany. Another conclusion reached is that, the results are different depending on the period and country.
In recent years, we have observed an increase in sovereign debt on countries such as the PIIGS (Portugal, Greece, Ireland, Italy and Spain). This led investors to, gradually start to refugee their investments in safer countries like Germany. In this work we intend to study how did the public debt risk for PIIGS progressed, comparatively with Germany in different yields (2, 5 and 10 years), between 2000 and 2013. To measure this risk we used a well know measure, called Value at Risk. But, is VaR an appropriated valuation method of sovereign debt risks? In that sense, this work is innovative. Despite being a very relevant subject, no evidence was found on studies done of the use of VaR to measure this type of risk faced by European investors. From the point of view of the investor an important issue is performed, what was the risk perception, between 2000 and 2002 (period of entry into force of the Euro) and between 2002 and 2008 (period pre-crisis)? And after 2008 (financial crisis and sovereign debt crisis)? And ultimately, what can explain the debt sovereign crisis in terms of credit risks? The main conclusions of this work are that PIIGS, present higher volatility, which means they are riskier countries, also present higher VaR and low correlation, in contrast to what is observed in Germany. Another conclusion reached is that, the results are different depending on the period and country.
Descrição
Mestrado em Finanças
Palavras-chave
Risco Value at Risk Risco Soberano Dívida Publica PIIGS Alemanha Risk Sovereign Risk Public Debt PIIGS Germany
Contexto Educativo
Citação
Miroto, Liliana Martins (data de publicação). "How did the the public debt risk of the PIIGS (Portuguese, Ireland, Italy, Greece and Spain) progressed compared with Germany for different yields between 2000 and 2013?". Dissertação de Mestrado, Universidade de Lisboa. Instituto Superior de Economia e Gestão.
Editora
Instituto Superior de Economia e Gestão