National Repository of Grey Literature 58 records found  1 - 10nextend  jump to record: Search took 0.00 seconds. 
Credit issue.The Czech Republic Case.
Vaňková, Martina ; Jakubík, Petr (advisor) ; Václavík, Tomáš (referee)
This thesis deals with the development of the credit to private non-financial sector in the Czech Republic in the course of 1993 - 2008. The main purpose of this thesis was to analyse whether the non-financial private sector credit volume in the Czech Republic was excessive in the period under review. In order to do this, the equilibrium relation was estimated as based on the panel data for selected Euro zone countries. Accordingly, the out-of-sample estimate of the steady state of the ratio of non-financial private sector credit to GDP was done for the Czech Republic and selected CEE countries. A comparison of the actual non-financial private sector credit volumes and the estimated steady state has not proved an excessive indebtedness of non-financial private sector in the Czech Republic.
Central Bank Communication and Systemic Stress
Pokorná, Anna ; Horváth, Roman (advisor) ; Jakubík, Petr (referee)
This thesis aims to examine the effect of European Central Bank's (ECB) oral communication on the financial systemic stress in the euro area. It considers ad-hoc speeches and interviews by the members of the ECB Governing Coun- cil as well as official press conferences between July 2008 and January 2014. The empirical analysis tests the effects of communication intensity and senti- ment and whether they differ in different stress regimes. Regression results of ARIMA based models and Threshold auto-regressive model suggest that oc- currence of official press conference increases the systemic stress, sentiment of communication matters only in the case of the ad-hoc speeches and interviews, but mainly that both the official and unofficial oral communication have a con- siderably stronger effect in periods of heightened systemic stress. Although the estimated effects are rather small, this thesis provides support for the hypoth- esis that ECB communication can affect the systemic stress. i
Essays in Empirical Financial Economics
Žigraiová, Diana ; Jakubík, Petr (advisor) ; Witzany, Jiří (referee) ; Teplý, Petr (referee) ; Gächter, Martin (referee)
This dissertation is composed of four essays that empirically investigate three topics in financial economics; financial stress and its leading indicators, the relationship between bank competition and financial stability, and the link between management board composition and bank risk. In the first essay we examine which variables have predictive power for financial stress in 25 OECD countries, using a recently constructed financial stress index. We find that panel models can hardly explain FSI dynamics. Although better results are achieved in country models, our findings suggest that financial stress is hard to predict out-of- sample despite the reasonably good in-sample performance of the models. The second essay develops an early warning framework for assessing systemic risks and predicting systemic events over two horizons of different length on a panel of 14 countries. We build a financial stress index to identify the starting dates of systemic financial crises and select crisis-leading indicators in a two-step approach; we find relevant prediction horizons for each indicator and employ Bayesian model averaging to identify the most useful predictors. We find superior performance of the long-horizon model for the Czech Republic. The theoretical literature gives conflicting predictions on how bank...
Essays in Empirical Financial Economics
Žigraiová, Diana ; Jakubík, Petr (advisor) ; Witzany, Jiří (referee) ; Teplý, Petr (referee) ; Gächter, Martin (referee)
This dissertation is composed of four essays that empirically investigate three topics in financial economics; financial stress and its leading indicators, the relationship between bank competition and financial stability, and the link between management board composition and bank risk. In the first essay we examine which variables have predictive power for financial stress in 25 OECD countries, using a recently constructed financial stress index. We find that panel models can hardly explain FSI dynamics. Although better results are achieved in country models, our findings suggest that financial stress is hard to predict out-of- sample despite the reasonably good in-sample performance of the models. The second essay develops an early warning framework for assessing systemic risks and predicting systemic events over two horizons of different length on a panel of 14 countries. We build a financial stress index to identify the starting dates of systemic financial crises and select crisis-leading indicators in a two-step approach; we find relevant prediction horizons for each indicator and employ Bayesian model averaging to identify the most useful predictors. We find superior performance of the long-horizon model for the Czech Republic. The theoretical literature gives conflicting predictions on how bank...
Using Model Averaging Techniques to Examine Determinants of Stock Returns
Tóthová, Miriama ; Havránková, Zuzana (advisor) ; Jakubík, Petr (referee)
The predictability of stock returns has been a widely discussed topic in the fi- nancial literature. In the presented thesis, we examine the effect of 20 possible predictors on S&P 500 excess returns in the time period from June 1998 till December 2016. However, traditional models examining stock returns usually ignore the issue of model uncertainty. In order to explicitly incorporate uncer- tainty about the model into the analysis, we employ two model averaging tech- niques, in particular Bayesian model averaging (BMA) and frequentist model averaging (FMA). As a robustness check we use three different combinations of priors within BMA framework. We assess the quality of their predictions and compare the results with the traditional methods based on model selection cri- teria. We find out that among the most important variables explaining excess returns on S&P 500 stock index are three-month Treasury bill rate, dividend yield, term premium, payout ratio, excess returns lagged twice, and default risk premium. These are robust across all models we have estimated. Although fre- quentist model averaging provides in-sample predictions superior to BMA as the literature suggests and it also performs better than models selected accord- ing to popular statistical criteria, it fails to outperform the Bayesian...
An investigation of Foreign Currency loans exposure contribution to the soundness of the Financial System
Özalan, Eda ; Tůma, Zdeněk (advisor) ; Jakubík, Petr (referee)
This thesis investigates the impact of foreign currency lending on financial stability for the case of Balkans, CEE and Balkans and CEE together. Such investigation has been carried out by identifying the impact of foreign currency lending across 3 main channels, which are: 1) households, 2) non-financial corporations, and 3) central government. This thesis was able to prove the foreign currency lending relevance, significance, main impact, and remarkable heterogeneity characterizing the Balkans and CEE samples. With respect to each of the subsamples and the full sample, the results can be summarized in 3 main points. For the case of Balkans, the financial instability has been identified to be transmitted through the household and government channels. Regarding the CEE, the dynamics are completely different as household channel provides mixed evidence, while the non-financial corporation one serves as the main transmission channel. When investigating the full sample, it has been pointed out that the prevailing dynamics reveal the non-financial corporation and government channels as the ones with the largest contribution to financial instability. JEL Classification C33, C36, F34, G20, G21, G32 Keywords Financial stability, foreign currency lending, household, non-financial corporation, central...
Measuring Bank Efficiency
Iršová, Zuzana ; Jakubík, Petr (advisor) ; Michalíková, Eva (referee)
This thesis provides an empirical insight on the frontier efficiency estimation methods in banking and their sensitivity toward the change in definition of particular characteristics in the techniques used. The two methods, stochastic frontier approach (SFA) and deterministic data envelopment analysis (DEA) are compared over several variations, results of which are supported by the meta-regression part including 32 studies on the USA and 14 on the transitional countries. The main findings of this study include: the efficiency score is highly dependent on the methodological design, the largest variation in the estimated scores of SFA and DEA are due to Fourier-flexible functional form application, and the rank order correlation between these methods raises with an increase of the homogeneity degree in the sample. JEL Classification C13, C61, G21, L25, P27 Keywords Bank Efficiency, Stochastic Frontier Approach, Data Envelopment Analysis, Meta-Regression Analysis Author's e-mail zuzana.irsova@gmail.com Supervisor's e-mail petr.jakubik@cnb.cz
Extending volatility models with market sentiment indicators
Röhryová, Lenka ; Krištoufek, Ladislav (advisor) ; Jakubík, Petr (referee)
In this thesis, we aim to improve forecast accuracy of a heterogenous au- toregressive model (HAR) by including market sentiment indicators based on Google search volume and Twitter sentiment. We have analysed 30 com- panies of the Dow Jones index for a period of 15 months. We have performed out-of-sample forecast and compiled a ranking of the extended models based on their relative performance. We have identified three relevant variables: daily negative tweets, daily Google search volume and weekly Google search volume. These variables improve forecast accuracy of the HAR model se- parately or in a Twitter-Google combination. Some specifications improve forecast accuracy by up to 22% for particular stocks, others impair forecast accuracy by up to 24%. The combination of daily negative tweets and weekly search volume is a superior model to the basic HAR for 17 stocks according to RMSE and for 16 stocks according to MAE and MASE. The daily nega- tive tweets specification outperforms the basic HAR for 17 and 19 stocks, respectively. And, the combination of daily negative tweets and daily search volume outpaces the basic HAR for 15 and 18 stocks, respectively. Based on the average MASE improvement, the combination of daily negative tweets and weekly search volume is a clear winner as it lowers the...
Macro-Financial challenges in Emerging Markets
Jašová, Martina ; Geršl, Adam (advisor) ; Schmieder, Christian (referee) ; Babecký, Jan (referee) ; Jakubík, Petr (referee)
This dissertation thesis consists of three essays on macroeconomics and finance. In these essays, I focus on events which adversely affect emerging markets and present challenges to economic policy and central bank thinking. My aim is to contribute to the existing empirical literature by providing new evidence on the role of private credit, effects of macroprudential policies and understanding of the exchange-rate pass-through. The first essay evaluates policy measures taken to curb bank credit growth in the private sector in the pre-crisis period 2003-2007. The analysis is based on an original survey conducted on central banks in Central and Eastern Europe. The findings reveal substantial policy intervention and indicate that certain measures - particularly asset classification and provisioning rules; and loan eligibility criteria - might have been effective in taming bank credit growth. The second essay contributes to the existing literature on early warning indicators as well as to the discussion on the appropriateness of credit-to-GDP gap as a leading variable for any country for activation of the countercyclical capital buffer instrument in Basel III. We exploit long-run credit series for 36 emerging markets and evaluate their quality to signal a crisis by using receiver operating characteristics...
Impact of the low yield environment on banks and insurers: Evidence from equity prices
Juřena, Filip ; Jakubík, Petr (advisor) ; Teplý, Petr (referee)
Using static and dynamic panel data analysis, we examine how interest rates influenced equity prices of European banks and insurance companies between 2006 and 2015. Identification and quantification of effects of the low yield environment, which is a consequence of decreasing interest rates, are crucial for regulators and policy makers. Our static and dynamic models show that decreasing short-term interest rates had a negative impact both on banks and insurers. In this thesis, dynamic models are estimated by means of the Blundell- Bond system GMM estimator and we consider their results superior to the results of static models because all underlying assumptions of the dynamic models are met here. Results obtained by employing the Blundell-Bond system GMM estimator suggest that life insurers were effected more than banks, while banks were effected more than non-life insurers. In case of a 1 percentage point decrease in short-term interest rates, equity prices of life insurers are estimated to decrease on average by 18 %, equity prices of banks by 8 %, and equity prices of non-life insurers by 3 %. JEL Classification C33, C36, C61, E44, G21, G22 Keywords interest rates, equity prices, static panel analy­ sis, dynamic panel analysis, system GMM esti­ mator Author's e-mail jurena.filip.l@ gm ail.com...

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