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Catholic Religion, Corporate Governance, and Executive Compensation
Šarapatka, Jan ; Novák, Jiří (advisor) ; Žigraiová, Diana (referee)
I find a significant positive compensation premium for executives employed by firms headquartered in Catholic counties. I document that the compensation premium holds only for board member executives and that it is related to weaker corporate governance in Catholic regions. In addition, I explore several corporate governance measures and reveal that weaker corporate governance is a result of more developed connection networks among executives in Catholic regions. I document that even though a denser executive's social network is associated with worse operating performance, it enables the executive to reach higher pay. Therefore, I suggest that executives in Catholic regions are using their more developed social networks and weaker corporate governance to extract additional rents from the firm. My findings are consistent with a larger development of social ties in more community-focused Catholic regions than in more individualistic Protestant regions. I contribute by showing how religion deters efficiency of the top executive labor market through social ties.
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The impact of Basel III on trade finance
Malešová, Jana ; Teplý, Petr (advisor) ; Žigraiová, Diana (referee)
The thesis focuses on the impact of the banking regulation Basel III on bank-intermediated trade finance. The theoretical part of the thesis explains details of Basel III requirements, history of Basel Accords and their future in the form of Basel IV, characteristics of trade finance products and of the whole industry. Trade finance industry voiced worries about the negative effect that these new requirements might have on trade finance business. The thesis estimates determinants of bank-intermediated trade finance and includes a regulatory variable. We use trade finance data from the Czech Republic and Hong Kong in 2000−2014 and from India in 2007−2014. A negative effect of Basel III on trade finance growth is found using pooled OLS regression. Contrary to previous research, we also estimate a negative coefficient of banks' capital to assets ratios. To the best of our knowledge, the thesis provides the first empirical analysis of the impact of Basel III on trade finance. Trade finance research usually focuses more on the relationship of trade finance and trade flows and the thesis provides an extensive literature summary of this topic. The final part of the thesis contrasts different levels of risk of trade finance and shows that the imputed low-riskiness does not apply to the Czech data.
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Caps on Loan-to-Value ratio: Can they reduce housing bubble and credit growth?
Šubáková, Dominika ; Jašová, Martina (advisor) ; Žigraiová, Diana (referee)
An increasing trend of using macroprudential instrument, caps on loan-to-value (LTV) ratio, requires a full understanding of how the instrument works in practice. As the empirical research is still scant, this thesis attempts to contribute with a new evidence on LTV effectiveness in context of six developed economies, namely Netherlands, Sweden, Ireland, Hungary, Latvia and Lithuania. To achieve this objective we analyse the impact of caps on LTV on credit growth, mortgage credit-to- GDP ratio and price growth. LTV limits are not a harmonised measure and its national-level implementation includes numerous specificities that can hinder cross-country comparisons. As a result, this thesis proposes a construction of LTV index reflecting specific aspects of the measure. Using the LTV Index we confirmed a slowdown of credit, mortgage and price growth. JEL Classification E44, E51, E52, E58, G21 Key words caps on loan-to-value ratio, maximum LTV ratio, macroprudential policy, credit-related instruments, LTV Index, house price growth, credit growth, financial stability.
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Measuring and explaining the extent of occupational gender segregation
Ranošová, Tereza ; Pertold-Gebicka, Barbara (advisor) ; Žigraiová, Diana (referee)
Occupational gender segregation is one of the most visible characteristics of labour markets all over the world, the Czech Republic is not an exception. In 2013 more than 57% of employed men or women would have to change their job so that the proportion of each gender could be the same in each occupation. The measure increases to 60.19% when housework is treated as another occupation. Moreover, men are often almost completely isolated from women - more than 18% of them work in an occupation with less than one percent of female colleagues. Unexpectedly, the youngest cohorts in the sample experience higher segregation than men and women in their thirties and forties. In the second half of the thesis occupations are characterised by their demanded abilities and work styles, contexts, values and interests (utilizing the O*NET database). It is tested which of these characteristics actually matter for the concentration of men or women in an occupation. Altogether, eighteen characteristics proved significant. The most surprising result is that higher demanded levels of mathematics and memorization attract the opposite gender than is assumed in the literature. Powered by TCPDF (www.tcpdf.org)
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Should monetary policy pay attention to financial stability? A DSGE approach
Žáček, Jan ; Holub, Tomáš (advisor) ; Žigraiová, Diana (referee)
After the recent financial crisis of 2007, a connection between monetary policy and financial stability has started to be thoroughly investigated. One of the particular areas of this research field deals with the role of various financial variables in the monetary policy rules. The main purpose of this research is to find whether direct incorporation of the financial variables in the monetary policy rule can bring macroeconomic benefits in terms of lower volatility of inflation and output. So far, the main emphasis of the research has been placed on the investigation of the augmented Taylor rules in the context of a closed economy. This thesis sheds light on the performance of the augmented Taylor rules in a small open economy. For this purpose, a New Keynesian DSGE model with two types of financial frictions is constructed. The model is calibrated for the Czech Republic. The thesis provides four conclusions. First, incorporation of the financial variables (asset prices and the volume of credit) in the monetary policy rule is beneficial for macroeconomic stabilization in terms of lower implied volatilities of inflation and output. Second, the usefulness of the augmented monetary policy rule is the most apparent in case of the shock originating abroad. Third, there is a strong link between the financial and the...
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Income Elasticity of Electricity Demand: A Meta-Analysis
Hauzr, Marek ; Havránek, Tomáš (advisor) ; Žigraiová, Diana (referee)
In this thesis we look over the previous studies on income elasticity of electricity demand and on previous meta-analysis on the topic. We outline the meta-analytical tools and we carry out the MRA itself. We show the presence of publication bias and that the elasticity's true effect is lower than commonly thought, from 8 times less than the mean estimate in short-run to 2 times less than the mean estimate in long-run. To our knowledge this thesis is the first meta-analysis on this topic that takes publication bias into account. Powered by TCPDF (www.tcpdf.org)
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Financial earthquakes: Are volatility correlations related to Omori's law?
Bureš, Vlastimil ; Krištoufek, Ladislav (advisor) ; Žigraiová, Diana (referee)
The purpose of this thesis is to analyze the market dynamics in periods following a large financial shock. In order to do so, we compute the cumulative number of times the volatility is greater than a given threshold. Such a method is analogous to Omori's law from geophysics. We draw statistical evidence from three different events. The first one is concerned with the death of Steve Jobs and how it affected the evolution of Apple's share price. The second one focuses on the Flash Crash of 2010 when the Dow Jones Industrial Average experienced the largest drop of 900 points. And the last one is when IBM announced its 2013Q1 earnings which were significantly below expectations. By employing two different approaches to volatility calculation, we are able to compare the obtained results and thus draw a more definite conclusion. Our findings suggest that the decay rate of after-shocks for the considered earthquakes is well described by a power-law which is analogous to Omori's law. Powered by TCPDF (www.tcpdf.org)
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U.S. Monetary Policy and Bank Liquidity Creation: VAR Evidence
Lacko, Branislav ; Horváth, Roman (advisor) ; Žigraiová, Diana (referee)
With recent financial crisis the importance of liquidity not only as indicator of financial health of banks heightened. Thus this thesis aims the focus to relationship between real economy and bank liquidity creation, and provides empirical evidence of significant relationship between bank liquidity creation and GDP or inflation. Moreover, it shows that implementation of bank liquidity creation indicator into Taylor rule, in order to address for financial stability and health, is suitable alternative for financial stress index.
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Housing Prices in the Czech Republic and Slovakia: Regional Comparison
Cempírek, Petr ; Hlaváček, Michal (advisor) ; Žigraiová, Diana (referee)
The objective of the present Bachelor's thesis is to compare the behavior of housing prices in the Czech Republic and Slovakia using econometric analysis. First, the author presents the historical context and basic housing indicators. After verifying that variables in dataset are cointegrated, a panel DOLS es- timator for modelling housing prices is employed. The author uses quarterly regional data in order to analyze the response of basic housing price fundamen- tals in the two countries that formed one federation until 1992. By forming a short run equation with an error-correction term the author checks for the existence of long run housing price equilibrium and for the speed of price rever- sion to equilibrium in case it is misaligned. The author then focuses on housing price misalignments as well as their dynamics in the individual regions.
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What Are the Main Determinants of Banks' Ratings Across CEE Countries?
Wolf, Kryštof ; Seidler, Jakub (advisor) ; Žigraiová, Diana (referee)
This thesis uses data of more than 180 banks from CEE region to identify the main determinants of long term credit ratings assigned to these banks in period between 2010 - 2012. This is done by employing two frequently used classification methods - Multiple Discriminant Analysis and Ordered Logit Model. The main contribution lies in including explanatory variables from various areas which have impact on financial health of examined banks. Apart from standard spheres of banks' performance such as capital adequacy, asset quality or profitability we investigate relevance of macroeconomic and qualitative factors as well. Although our results suggest that all mentioned areas are relevant for credit risk and hence rating assignment process the bank specific variables, both quantitative and qualitative, still play the key role.
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