The macroeconomic determinants of Value at Risk of eurozone stock markets

• Κύριος συγγραφέας: Στάικος, Φίλιππος
• Άλλοι συγγραφείς: Δράκος, Κωνσταντίνος
• Μορφή: Thesis
• Γλώσσα: English
• Έκδοση: 2018
• Θέματα: Value at Risk; Macroeconomic factors; Eurozone; Αξία σε Κίνδυνο; Μακροοικονομικοί παράγοντες; Ευρωζώνη; 332.414

This study examines the relationship between Value at Risk and macroeconomic factors. We apply fixed effects estimator in quarterly panel data for the Eurozone stock market indices for 1997 to 2016 period. Value at Risk was estimated with the methods of Historical Simulation and parametric Normal Distribution and we found that P.I.G.S. performed higher VaR than the rest of countries, especially in Greece’s case. Our findings indicate significant relationship between Value at Risk and Industrial production, Unemployment Rate, Inflation, Long Term Government Bond Yield, Oil prices, Debt to GDP ratio and Sovereign Credit Rating. This study is highly useful for investors, financial analysts, regulators and fund managers.