Master Thesis Online
The impact of political uncertainty on fixed income markets: The case of Brexit
Ballauf, Lars 
Promotor(s) :
Hübner, Georges
Date of defense : 16-Jan-2023/27-Jan-2023 • Permalink : http://hdl.handle.net/2268.2/16749
Details
| Title : | The impact of political uncertainty on fixed income markets: The case of Brexit |
| Translated title : | [fr] L'impact de l'incertitude politique sur les marchés à revenu fixe: le cas du Brexit |
| Author : | Ballauf, Lars
|
| Date of defense : | 16-Jan-2023/27-Jan-2023 |
| Advisor(s) : | Hübner, Georges
|
| Committee's member(s) : | Artige, Lionel
|
| Language : | English |
| Number of pages : | 129 |
| Keywords : | [en] Brexit [en] CDS [en] Bond [en] GARCH [en] Cointegration [en] Political uncertainty |
| Discipline(s) : | Business & economic sciences > Finance |
| Target public : | Researchers Professionals of domain Student |
| Institution(s) : | Université de Liège, Liège, Belgique |
| Degree: | Master en sciences de gestion, à finalité spécialisée en Banking and Asset Management |
| Faculty: | Master thesis of the HEC-Ecole de gestion de l'Université de Liège |
Abstract
[en] This thesis provides an impact study of political uncertainty induced by Brexit on the performance of selected UK government bonds and UK government CDS with matching maturities seperately. For the bonds, a cointegration and ECM method is applied, whereas for the UK government CDS, a GARCH-X(1,1) approach has been chosen. In order to proxy the political uncertainty caused by Brexit, the Bloomberg Brexit news ticker index is chosen and introduced to the methods concerning bonds and CDS as a regressor. The Brexit news index is furthermore distinguished into positive and negative news at the 90th percentile in order to verify effects of increasing or decreasing political uncertainty in the UK due to Brexit on the performance of UK government bonds and their CDS contracts matching in maturity.
File(s)
Document(s)
Annexe(s)
Bloomberg Brexit News Ticker Index 01.06.2016-09.09.2019.xlsx
Description:
Size: 32.74 kB
Format: Microsoft Excel XML
UK 30Y CDS 01.05.2016-30.09.2019.xlsx
Description:
Size: 332.97 kB
Format: Microsoft Excel XML
UK 10Y CDS 01.05.2016-30.09.2019.xlsx
Description:
Size: 332.59 kB
Format: Microsoft Excel XML
UK 5Y CDS 01.05.2016-30.09.2019.xlsx
Description:
Size: 327.79 kB
Format: Microsoft Excel XML
UK 2Y CDS 01.05.2016-30.09.2019.xlsx
Description:
Size: 316.95 kB
Format: Microsoft Excel XML
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