National Repository of Grey Literature 51 records found  1 - 10nextend  jump to record: Search took 0.00 seconds. 
Soft Budget Constraint and Financial Crisis
Seifert, Jan ; Janda, Karel (advisor) ; Hlaváček, Michal (referee)
This work attempts to describe the role of soft budget constraint in the mature economies. The main attention is paid to the revival of the notion "soft budget constraint", because we assume that because of the current financial crisis it is important to focus on this problem. This work focuses mainly on the analysis of the U.S. financial sector, because this sector was hit by the financial crisis the most. Our effort is to find out whether the U.S. environment provides sufficient conditions for appearance of the soft budget constraint. We are especially interested in the assumption whether it is relevant to assume the presence of the soft budget constraint in the bank sector and in the consequences of its presence. Here we stress the importance of institutions and the current form of the bank sector. The next step is to analyze if under current conditions there is a positive probability that some U.S. firms do have soft budget constraint. The final part of this work covers the problems of soft budget constraint 5 and financial crisis. We analyzed a few possible solutions for the current financial crisis and compare its effects on soft budget constraint appearance in the U.S. economy.
Equity incentives and company performance
Šářec, Theodor ; Kočenda, Evžen (advisor) ; Hlaváček, Michal (referee)
1 Abstract The equity-based incentives are considered to be one of the instruments helping to motivate executives. The use of this compensation framework should in theory tackle and mitigate the agency problems, and prevent the possible attempts of managers to pursue their own interest over the interests of shareholders. The literature focusing on the effects differs greatly. There is no conformity over the effect of equity compensation on company performance. This research study the effect of CEO-related equity incentives and stock ownership on company performance. The main finding is the positive effect of the equity incentives measured by the percentage of CEOs' equity- based compensation on company performance proxied by the change in Tobin's Q. The thesis does not find any significant effect of insiders' stock ownership. The dataset of 107 publicly traded US companies is used for the empirical analysis. The results are estimated based on a fixed effects model and pooled ordinary least squares. This thesis contributes to the ongoing debate over the effects. It also widens the narrow literature on the structure of compensation. JEL Classification M120 Keywords Equity-based, CEO, compensation structure, equity ownership, company performance Author's e-mail theo.sarec@gmail.com Supervisor's e-mail...
Analysis of a Behavioral New Keynesian Model
Křížková, Šárka ; Kukačka, Jiří (advisor) ; Hlaváček, Michal (referee)
The thesis focuses on the analysis of a Behavioral New Keynesian DSGE model. In particular, various specifications of the model are collected from the existing literature and their combinations are simulated. The specifications include heuristics for forecasting output gap, sets of estimated or calibrated parameters and model structures. The resulting simulated output and inflation gap series are compared with the macroeconomic stylized facts and real world data from the US and Euro area based on their distributional characteristics and autocorrelation structures. In addition, a comparison of various simulated model specifications is performed based on the level of correlation between fractions of agents following a specific heuristic and the resulting output and inflation gap values. The distributional characteristics of the US output gap seem to be matched the best by the specifications with unbiased and extrapolative output gap heuristics generating series with higher levels of variance and kurtosis. Contrarily, the Euro output gap is best matched by specifications with optimistic, pessimistic and unbi- ased heuristics producing series with lower levels of variance and kurtosis. Second, the autocorrelation structure of the simulated series tends to mirror the stylized facts as opposed to the...
Social housing problems
Müller, Erik ; Hlaváček, Michal (advisor) ; Filip, Ondřej (referee)
The motivation of this paper is to explore the assumptions of an effective social policy which is efficient, economical and persistent. The theoretical part is based on comparison of the different realizations of social housing in Europe and in the Czech Republic. New trends from abroad show that the efficiency of resocialization depends on the quality of the social works, which are performed simultaneously with the provision of housing. Nowadays, the role of social housing in a society changes. The instrument of social policy becomes a complex tool that may determine, among other things, high building standards as well as increase general social cohesion. The identified aspects of effectiveness are compared with the new proposal of the Social Housing Act. The innovation is the concept of Housing First, which emphasizes fast provision of dwelling and subsequent individual work with the client. The practical part verifies several hypotheses that led to the formulation of the Act, using econometric models. My goal is to contribute into public discussion by proposing specific innovative approaches. They may lead to the successful reintegration of socially excluded into society. What should be the main goal of social housing.
Consumer Credit Risk Analysis: Evidence from the Czech Republic
Mittigová, Patricie ; Kočenda, Evžen (advisor) ; Hlaváček, Michal (referee)
An increase in the number of granted loans in last decades resulted in more attention paid to proper assessment of borrower's creditworthiness. For this purpose, credit scoring aims to classify good and bad applicants prior loan granting. In this thesis, I analyze a large real-world dataset of borrowers who were granted an unsecured consumer loan in the Czech Republic. The objec- tive is to determine core default predictors while employing seven classification methods. Additionally, a performance measure is computed for each method in order to compare their suitability for examined loan types. Using logistic regression as the core model, the results suggest that borrower's age, monthly income, region of residence, and the number of children substantially influence the probability of default. Conversely, borrower's gender and education level did not prove to be significant for assessing client's creditworthiness. Compar- ing the performance of employed classification methods, it can be concluded that all models produced almost identical results and can be used for the purpose of credit scoring. This thesis complements rather a limited number of credit scoring studies in the Czech Republic and provides new findings about default determinants for unsecured consumer loans. 1
Interbank markets, monetary transmission and bank efficiency
Lešanovská, Jitka ; Geršl, Adam (advisor) ; Hlaváček, Michal (referee) ; Fungáčová, Zuzana (referee) ; Brei, Michael (referee)
The dissertation thesis comprises three essays which interlink monetary policy transmission and bank characteristics, particularly bank cost efficiency, in the light of recent financial crisis. The first essay focuses on the development of the interbank market risk premium in the Czech Republic during the global financial crisis. We explain the significant departure of interbank interest rates from the key monetary policy rate by a combination of different factors, including liquidity risk, counterparty risk, foreign influence, interbank relations, and strategic behavior. The results suggest a relevant role of market factors, and some importance of counterparty risk. The second essay examines the pass-through from financial market interest rates, directly influenced or targeted by central banks, to the rates that banks charge firms and households. It examines the pass-through mechanism using a unique data set of Czech loan and deposit products and focus on bank-level determinants of pricing policies, especially cost efficiency, which we estimate employing both stochastic frontier and data envelopment analysis. The main results are threefold: First, the long-term pass- through was close to complete for most products before the financial crisis, but has weakened considerably afterward. Second, banks...
Bank lending surveys and financial cycles
Mayr, Samuel ; Geršl, Adam (advisor) ; Hlaváček, Michal (referee)
In 2003 European Central Bank issued a qualitative survey of financing condi- tions. Called bank lending survey (BLS) and including 22 questions on credit standards, credit terms and conditions, and loan demand, the BLS was supposed to act as an additional information stream for the European Central Bank to be able to differentiate between supply and demand effects. This thesis gathers available BLS answers and evaluates their potential use in an early warning system. According to AUROC analysis of various logit models, based partially on traditional early warning indicators (EWIs) and partially on the BLS data, the study picks 27 BLS variables that significantly improve performance of the current EWIs over the period of 2003-2017. JEL Classification C23, C40, F47, G01, G21, G28 Keywords EWIs, bank lending survey, ROC, financial cycle Author's e-mail mayr.samuel@gmail.com Supervisor's e-mail adam.gersl@gmail.com
Foreign Banks and Financial Development - Foreign Bank Lending in CEE Countries
Köthe, Anja ; Hlaváček, Michal (advisor) ; Svoboda, Karel (referee) ; Korosteleva, Julia (referee)
Foreign Banks and Financial Development - Foreign Bank Lending in CEE Countries Master thesis Anja Köthe Abstract The objective of this paper is to investigate the relation between foreign banks and financial development and to focus on foreign bank lending, in particular. The research focuses on four countries with a high share of foreign banks: Czech Republic, Hungary, Poland and Slovakia. Using a dataset of 122 banks over a 10 year period from 2005 to 2015 a fixed effects panel regression models is used for an empirical analysis. Loan growth as a proxy for lending behaviour and credit stability is used as the dependent variable. The empirical models investigate the determinants of loan growth in foreign and domestic banks as well as the dependence of foreign bank subsidiaries on their parent banks. The regression results indicate that domestic banks are more dependent on local economic conditions and bank performance. Their credit supply depends more on their profitability, loan quality and domestic market share. Foreign bank subsidiaries, in contrast, exhibit greater independence from local economic conditions and also from subsidiary performance indicators such as profitability ratios. Instead their lending behaviour is significantly influenced by the financial characteristics of their parent banks.
Interaction between Macroprudential and Monetary Policies, and Bank Runs
Kolomazníková, Barbora ; Hlaváček, Michal (advisor) ; Geršl, Adam (referee)
The thesis focuses on the interaction between macroprudential and monetary policies in the presence of bank runs. In particular, it is examined whether the two policies should be conducted separately or jointly, and whether the occurence of a bank run affects the result. Furthermore, it is studied how a bank run impacts the efficiency of the two policies. \\ The baseline results suggest that cooperation between the two policies is less efficient than when they are determined separately. The reason might be a coordination issue that arises because the same objective is being assigned to both policies in the cooperative case. On the other hand, when facing a bank run the cooperative regime achieves a higher degree of financial stability by reducing the probability of a next run. This is caused by the fact that cooperating authorities choose more aggresive macroprudential policy when a bank run occurs. A bank run itself does not change the ranking of the two policy regimes. However, an occurence of a bank run induces higher efficiency of both policies, irrespective of the regime in place. In addition, the policies are more effective when they face financial shocks, as opposed to a productivity shock.
Natural Interest Rate: Is 2% CPI Inflation Still the Right Target?
Scheerová, Lucie ; Holub, Tomáš (advisor) ; Hlaváček, Michal (referee)
This paper uses the semi-structural Laubach and Williams model to estimate the time- varying natural rate of interest by Kalman filter and Maximum Likelihood method, applying it for the first time to Czech data. The results show a significant decrease of the natural interest rate during the past decade, which constitutes further evidence for the wide-spread notion that structural factors in many countries have shifted after the global financial crisis. The paper's contribution is mainly represented by preparing ground for further research. It concludes that the basic version of the Laubach and Williams model is not optimal for the Czech environment and suggests appropriate adjustments to it. It discusses and analyzes sources of potential problems with the estimation, notably the issues of singularity and model specification. Eventually the paper concludes that due to the low significance of results and the uncertainty of gains and losses related to a policy switch, the best reaction of the central bank would be to keep the current regime and inflation target. JEL Classification C32, E43, E52, O40 Keywords natural real interest rate, inflation target, inflation measurement, monetary policy, Kalman filter, trend growth Author's e-mail lucie.scheer@gmail.com Supervisor's e-mail tomas.holub@fsv.cuni.cz v

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See also: similar author names
1 Hlaváček, Marek
2 Hlaváček, Martin
1 Hlaváček, Matěj
9 Hlaváček, Michal
1 Hlaváček, Michal,
1 Hlaváček, Milan
11 Hlaváček, Miroslav
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