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Default Risk of Greek Government During the Crisis of 2010
Veselý, Oldřich ; Dědek, Oldřich (advisor) ; Báťa, Karel (referee)
Many people have already questioned whether Greece would default: investors, economists, politicians and general public. The Greek debt crisis has also caused a great turmoil in the EU causing fears of its spreading to other countries with poor fiscal situation in Eurozone through bond markets. Finally the rescue package was prepared for Greece consisting of EUR 110 billion loan facility from both Eurozone and IMF. We study the Greek fiscal crisis in the thesis. We try to find its real causes in the historical chapter and we also show the methodology which can be used to assess the credit risk of Greek government using bond market information and CDS contracts information. In the empirical part we study the evolution of the probability of default of Greek government during the debt crisis using parsimonious model based on the bond market information.
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Offshore financial centers and the financial crisis
Sůva, Vojtěch ; Janský, Petr (advisor) ; Báťa, Karel (referee)
This thesis considers the identification of main offshore financial centers and the impact of the recent global financial crisis on them. The identification follows the ideas proposed by Zoromé (2007) and is developed further in a model based on data for each country's GDP, financial services and portfolio assets (International investment position, CPIS) for the years 2001-2008. The thesis begins with an overview of the main concepts of offshore financial centers and explains the development of definitions by which they are identified. The original model by Zoromé is introduced and a new model based on the panel data is presented. It then provides a summary of the main offshore financial centers identified by the proposed model and the influence of the financial crisis on them. In the last part, outlook on the preferences of the Czech companies is provided. The thesis concludes with the main findings from the proposed models and offers a further possibility to map the development of the offshore centers after the financial crisis.
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Chinese Stock Markets: Underperformance and its Determinants
Kováč, Roman ; Báťa, Karel (advisor) ; Dědek, Oldřich (referee)
Performance of stock markets is determined by three classes of variables: macroeconomic indicators, industry & firm heterogeneity and third country effects. When assessing performance of a stock market index, impact of industry & firm heterogeneity is marginal as it is already embedded in the index through its constituent companies. This paper will therefore focus on the other two. Chinese stock market was selected as an application as their performance compared to other domestic indicators (mainly GDP growth) is considered inferior by many researchers. Using econometric framework for panel data and a Bayesian extension, the paper estimates multiple models of Chinese stock market performance examining individual determinants of it. Subsequently, it predicts development of theoretical prices of two main Chinese stock indices on two time samples until 2013. The paper then demonstrates underperformance of Chinese stock market by comparing the modeled prices to actual prices realized on the market. JEL Classification C23, C51, C53, G15, G17 Keywords underperformance, panel data, fixed effects model, Bayesian Model Averaging Author's e-mail roman_kovac@ymail.com Supervisor's e-mail karel.bata@seznam.cz
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Competion in service of altruism - what the healthy competiton brings to the sellers of Novy Prostor magazine
Šafařík, Michal ; Kuběna, Aleš (advisor) ; Báťa, Karel (referee)
Behavioral study based on observations of 30 street newspaper sellers from Prague (about 50% of all Prague sellers) observed at the time of offering the "Nový Prostor" street newspaper (below just "NP") and their interactions with a total of 140 customers. Street newspaper sale project is primarily intended as a social program.The sellers participating take in many self-restraints resulting from accepting the "Novy Prostor" rules. In the alternative ways of asking for financial support from the passerby people there is an obvious absence of a rules similar. Theoretical basis of research assume that there is a signal produced by a street newspaper sale, through which the sellers communicate their ability of money donated meaningful use to the passing by people and potential customers. In this context a meaningful use includes also the overnight expenses (housing for 1 night). The above mentioned self-restraints represent the costs expended for this signal. One of the confirmation aspects to assess the suitability of the sale of NP through the lens of Signaling Game Theory is the existence of a counterfeiters (in a NP slang so called "poachers"). Empirical experiment has proved that the sellers giving clear signals actively, are waiting for a customer less then those who are not active (survival...
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Liberalization of Trade in Peru: Analysis of the Free Trade Agreement with USA and its effect on incomes
Šimůnková, Marta ; Bauer, Michal (advisor) ; Báťa, Karel (referee)
This thesis analyzes the trade liberalization implemented in the form of FTA between Peru and USA in 2009 and its effect on the welfare of different clusters of individuals. In the ambient of economy with high income inequities it evaluates the liberalization separately for different income-level samples. The research is based on the comparison of groups of individuals occupied in sectors that were already liberalized by other market opening tools before 2009 and groups recently affected by the FTA. The analysis is than accomplished on the household survey panel data covering the period between 2007 and 2010. The findings suggest the trade liberalization positively affected not only the wealthier population but also the poor, both from the category of individuals working in sectors producing for domestic consumption. The positive effect on export-oriented producers hasn't been approved.
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Evaluation of fulfilling the endogeneity hypothesis of the OCA criteria in some countries of the EMU
Černý, Kryštof ; Strecker, Ondřej (advisor) ; Báťa, Karel (referee)
This bachelor thesis focuses on the Optimum Currency Areas theory (OCA) and applies its findings on evaluating the economic progress in chosen countries: Portugal, Italy, Greece and Spain in comparison with the "Core" of EMU. Consequently the thesis investigates the endogeneity hypothesis of the OCA criterion of structural similarity. The first section of the thesis contains an introduction to the OCA theory, the second section evaluates the progress of chosen macroeconomic and structural indices of the chosen countries, the third section investigates the endogeneity hypothesis with an empirical model and the last section contains final assessments, conclusions and remarks.
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Chinese Stock Markets: Underperformance and its Determinants
Kováč, Roman ; Báťa, Karel (advisor) ; Dědek, Oldřich (referee)
Performance of stock markets is determined by three classes of variables: macroeconomic indicators, industry & firm heterogeneity and third country effects. When assessing performance of a stock market index, impact of industry & firm heterogeneity is marginal as it is already embedded in the index through its constituent companies. This paper will therefore focus on the other two. Chinese stock market was selected as an application as their performance compared to other domestic indicators (mainly GDP growth) is considered inferior by many researchers. Using econometric framework for panel data and a Bayesian extension, the paper estimates multiple models of Chinese stock market performance examining individual determinants of it. Subsequently, it predicts development of theoretical prices of two main Chinese stock indices on two time samples until 2013. The paper then demonstrates underperformance of Chinese stock market by comparing the modeled prices to actual prices realized on the market. JEL Classification C23, C51, C53, G15, G17 Keywords underperformance, panel data, fixed effects model, Bayesian Model Averaging Author's e-mail roman_kovac@ymail.com Supervisor's e-mail karel.bata@seznam.cz
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Evaluation of fulfilling the endogeneity hypothesis of the OCA criteria in some countries of the EMU
Černý, Kryštof ; Strecker, Ondřej (advisor) ; Báťa, Karel (referee)
This bachelor thesis focuses on the Optimum Currency Areas theory (OCA) and applies its findings on evaluating the economic progress in chosen countries: Portugal, Italy, Greece and Spain in comparison with the "Core" of EMU. Consequently the thesis investigates the endogeneity hypothesis of the OCA criterion of structural similarity. The first section of the thesis contains an introduction to the OCA theory, the second section evaluates the progress of chosen macroeconomic and structural indices of the chosen countries, the third section investigates the endogeneity hypothesis with an empirical model and the last section contains final assessments, conclusions and remarks.
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