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Does Monetary Policy Uncertainty Impact Corporate Innovation? The Case of China
Wang, Jiahui ; Geršl, Adam (advisor) ; Jakubík, Petr (referee)
This paper constructs a panel data model based on the China Monetary Policy Uncertainty Index and combines financial data of Chinese listed companies to investigate the impact of monetary policy uncertainty on companies' R&D investment. The empirical findings show that an increase in monetary policy uncertainty leads to a significant decline in corporate R&D investment. It is further found that monetary policy uncertainty inhibits R&D investment by strengthening the financing constraints of firms; the more abundant the cash flow of firms, the weaker the negative effect of monetary policy uncertainty on R&D investment; and monetary policy uncertainty has a stronger inhibitory effect on innovation in non-state-owned companies than in state-owned companies. JEL Classification F12 Keywords Monetary policy; R&D investment; financing constraints Title Does Monetary Policy Uncertainty Impact Corporate Innovation? The Case of China
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The impact of the coronavirus crisis on zombie companies in Slovakia
Bosáková, Diana ; Geršl, Adam (advisor) ; Teplý, Petr (referee)
The thesis examines the effect of Covid-19-related financial support on companies in Slovakia in 2020 with a special focus on zombie firms. We examine changes in the number of employees, the average wage and the total costs for companies after receiving financial support. The cross-sectional and fixed effects models are used to determine the effect of the subsidy. Our dataset covers 6,771 large firms from which 7.6% are zombies and 2,547 SMEs in the period 2019-2020. The analysis showed that around 56% of large firms in the sample, both zombie and non-zombie firms, received a subsidy. The results suggest that companies which received the financial support had on average poorer job retention, lower average wage and the effect of the total costs of the company was not statistically significant. Nevertheless, currently available data brings a limitation to the construction of the control group. The thesis contributes to a better understanding of how the pandemic affected zombie companies and the efficiency of Covid-19-related measures on them.
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Does monetary policy reinforce the effects of macroprudential policy?
Livorová, Barbara ; Geršl, Adam (advisor) ; Ehrenbergerová, Dominika (referee)
This thesis examines whether the efects of macroprudential policy on credit and house price growth difer across diverse phases of the monetary policy cycle. The dataset covers 33 advanced and 39 emerging market countries in the period 1990-2019. Using the GMM estimation method, the results for individual types of macroprudential policy instruments and their cumula- tive efect represented by macroprudential policy index show that tightening of monetary policy does on average reinforce the efects of macropruden- tial policy on credit and house price growth. Furthermore, the efects of various types of macroprudential policies on credit and house price growth difer depending on the monetary policy cycle phase. The results suggest that macroprudential policies are efective in curbing house price growth in advanced countries but less so in emerging markets. The efects of macropru- dential policy tools on credit growth are somewhat larger in emerging market economies than in advanced economies. The thesis contributes to the growing literature on the efectiveness of macroprudential policy on credit and housing markets and on the interaction between macroprudential and monetary poli- cies. JEL Classifcation E52, E58, G21, G28, E32 Keywords Macroprudential Policy, Monetary Policy, Credit Growth,...
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Macroeconomic stress-testing of banking systems: survey of methodologies and empirical application
Šimečková, Jana ; Geršl, Adam (advisor) ; Pečená, Magda (referee)
This thesis deals with stress testing as a process that helps to assess the impact of potential adverse shocks on the soundness of a financial system. First section is dedicated to non-technical discussion about stress testing and to some methodological issues. The main focus lies on the system-wide macroeconomic stress testing. The empirical part of the thesis is a contribution to macroprudential analysis of the quality of the aggregate loan portfolio in the Czech Republic. This study adopts a vector autoregression model applied to the Czech banking sector in order to judge its stability and present some evidence on macroeconomic variables affecting the Czech banking system. As a measure of the strength of the loan portfolio is used the stock of non-performing loans vis-à-vis total loans in the sector. The thesis follows the widely used methodology and seeks to identify significant macroeconomic risk factors affecting the loan portfolio quality. The latter part aims also to forecast the most likely development of the loan portfolio.
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Foreign Direct Investment in Emerging Markets: The Case of Turkey
Huseynli, Orkhan ; Geršl, Adam (advisor) ; Zeynalov, Ayaz (referee)
This paper studies determinants of FDI in Turkey using panel data analyses. The results of the study show that political stability, education level, rule of law, and trade cost have significant impact on FDI inflow in Turkey while similarity in economy size of home and host country (Turkey) has not. The effect of the trade cost and rule of law was surprising but it gave a clue to new research area. It was concluded that next studies of FDI determinants in Turkey must be conducted at firms' level to better understand the behaviour of foreign direct investments in the country.
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Leveraged buyouts in Central and Eastern Europe : relationship lending and its impact on leveraged loan terms
Malatinská, Ingrida ; Geršl, Adam (advisor) ; Novák, Jiří (referee)
This thesis complements existing literature in two main research areas: First, the Thesis provides a comprehensive overview of the evolution of leverage lending in the CEE region, describe loan structures which are common in regional deals, analysis of size and volume of CEE deals follows and special attention is paid to current trends and changes associated with the impact of financial crisis on the LBO market in CEE. Second, the Author analyzes the impact of tighter relationship between a private equity firm and a lending bank on terms of European syndicated LBO loans provided by the bank for financing an LBO transaction from 1995-2005. The main finding of this analysis unveiled that banks with stronger long lasting realtionship with private equity firm tend to charge higher interest rates on LBO loans. This supports the exitence of theoretical concept called a hold-up phenomenon and its stronger presence in Europe compared to the USA.
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Stock markets contagion in the Western and Central European region during subprime crisis
Pechová, Lenka ; Geršl, Adam (advisor) ; Hlaváček, Michal (referee)
The topic of financial contagion is growing in importance as the financial markets are integrating and becoming global. In my work I test contagion between stock markets in Central Europe (Czech Republic, Hungary and Poland), markets in Western Europe (Euro zone, France, Germany and UK) and U.S. I use two types of model to test the data from ongoing subprime crisis. The first one is parametrical model that uses the correlation coefficients obtained from VAR regression, based on paper by Forbes and Rigobon 2003. The second one is non parametrical model that uses the Kendall's tau approach to measure the comovements of the stock markets based on paper by Li (2009). In the work is also provided overview of theoretical and empirical literature that is focused on contagion and related topics.
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An empirical analysis of liquidity situation and interbank market rates in the Czech Republic during global crisis
Lešanovská, Jitka ; Geršl, Adam (advisor) ; Horníková, Martina (referee)
This diploma thesis focuses on the development of the interbank market liquidity and interest rates in the Czech interbank market with special focus on the period of global crisis. We analyze determinants of the interbank interest rates and their development with respect to the key monetary policy rate. We explain the significant departure of the interbank interest rates from the key monetary policy rate (impairment of monetary policy transmission) during the global crisis by an increase in risk premia on interbank lending. The source of the risk premia is decomposed into the individual components such as liquidity risk, counterparty risk, foreign influence and other factors. Their contribution to the overall risk premia over time during the global crisis is analyzed. We find that the liquidity risk was the key determinant of tensions in the Czech interbank market in the beginning of the global crisis. However, its influence weakened over time while the role of counterparty risk increased. Keywords: interbank market, liquidity, interest rates, crisis, risk premia, credit risk, liquidity risk, counterparty risk JEL classification: G190, G210
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Liquidity creation and banks' capital casual effect: GIIPS countries case
Gjuzi, Gladiola ; Tůma, Zdeněk (advisor) ; Geršl, Adam (referee)
This study observes the impact of regulatory capital on liquidity creation of banks in GIIPS countries over the period 2006-2016. The results are estimated by conducting a panel data analysis and evaluating Fixed Effect model proceeded by a 2SLS regression method. The results show that there exists a negative relationship between regulatory capital and liquidity creation. They give support to policymakers of Basel III/CRD IV to be concerned about the consequences of imposing higher capital requirements. Furthermore, size of the bank is correlated negatively with liquidity creation, and financial crisis does impact the magnitude of the relationship between regulatory capital and liquidity creation. Nevertheless, we suggest that new buffers on liquidity and capital requirements should be accompanied by other prudential tools to ensure a stable financial system in GIIPS countries. JEL Classification E58,F33, G21, G28 Keywords Regulatory Capital, Liquidity creation, Bank Regulation, Fixed Effect Author's e-mail gladiolagjuzi@hotmail.com Supervisor's e-mail ztuma@kpmg.cz
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