Yunanistan ve Avrupa birliği: Çıkış bilmecesi

As a result of the worsening nature of the Greece sovereign debt crisis, the idea of expulsion or exit of a member state from the European Monetary Union (EMU) has been widely discussed since May 2011. Although there are many research that investigate the possible causes and consequences of the crisis, to the best of my knowledge, none examines the evolution of expectations that the idea of the exit is altered within the zone. This thesis analyzes the uncertainty that surrounds Greece's membership to the EMU. The idea behind the research is as follows: The evolution of expectations about Greece's exit is an unobservable movement that is in relation with the public opinion on the subject; moreover financial markets, specifically sovereign bond yields and credit default swap spreads, yield noisy information about this behaviour. Therefore both societal and financial determinants are incorporated in the analysis. In order to capture the viewpoint of the European society, news statements from Bild (Germany), The Guardian (England), Le Parisien (France) and Reuters are compiled. By using this news compilation, following the common quantification methods of a qualitative data, a sentiment index is built that captures the European society's approach to the expulsion of a member state. Modelling the expectations as an unobservable variable in relation with sentiment index, and analysing cds spreads with 5-year-maturity, and bond yields with 3 and 5 years of maturities as noisy observations, I build a state space and solve it recursively by using kalman filter. The resulting expectation index captures some important events about the exit of Greece from the union that occurred between May 2011 and February 2012, which is the time span for the analysis due to data restrictions Keywords: Quantification, State Space Modelling, Kalman Filter, Expectations,Greece, European Monetary Union, Indexing, Debt Crisis