Vliv ratingového hodnocení na ceny státních dluhopisů

Abstract

The theme of Bachelor Thesis is determining the impact of rating evaluation on government bond prices. The main objective of Bachelor Thesis is to determine whether and how rating evaluation influenced yields to maturity of Czech Republic bonds in the period 2000-2012. There are used rating evaluations of three the most significant rating agencies Moody’s, Fitch, S&P. Yields to maturity of Czech Republic bonds are compared to rating evaluation, gross domestic product and government budget deficit. Comparison is performed using statistical methods. First chapter of theoretical part of Bachelor Thesis is focused on rating agencies, its history, kinds and methodology of sovereign rating methodology. First part of second chapter is dealt with factors, which influences interest rates and second part is focused on bonds and bond market of the Czech Republic. There is investigated relation between yield to maturity and rating evaluation at the beginning of practical part. Subsequently there is analyzed real reaction of yields to maturity, which happens after new rating evaluation. The analysis of real reaction is performed by data distribution to six-month and annual data sets before the change and after the change. These data sets are statistically compared to each other and conclusions are based on this comparison.