| Abstract [eng] |
The main purpose of this master thesis is to determine the impact of geopolitical factors on government bond yields in Eastern and Western Europe. The study is relevant due to the growing geopolitical tensions in the world and the lack of research including regional differences between countries. The work consists of an introduction, an analysis of scientific literature, empirical research methodology, analysis of research results, conclusions and recommendations, and a list of references. The first part of the study discusses the theoretical aspects of bonds, the determinants of government bond yields, the concept of geopolitical risk and its link to financial markets. It summarises and compares the results and conclusions obtained by the researchers. The second part of the paper presents the methodology of the study, describing the methods, variables, sample, time period and hypotheses used in the study. The third part of the study presents the results of a research on the impact of geopolitical factors on government bond yields in Eastern and Western Europe. First of all, a statistical analysis of the data is performed, the characteristics of the selected variables are discussed and transformations are applied. This is followed by a Granger causality test to assess the relationship between the variables. The main part of the research includes a regression analysis where the impact of geopolitical risk on bond markets is investigated in daily and monthly data. In all cases, a significant and positive impact of geopolitical factors on bond yields was found. The impact is stronger in Eastern European countries, but these regional differences become apparent after 7 days. The conclusions and recommendations summarize the findings of the study and provide insights relevant to investors, portfolio managers, and policymakers. In the author's opinion, the findings of the study can contribute to a better understanding of how geopolitical factors affect European bond markets differently. The study results were used to prepare a scientific article. After making necessary changes based on reviewers' comments, the article was submitted for consideration to be published in the academic journal “Ekonomika”. |
