National Repository of Grey Literature 19 records found  1 - 10next  jump to record: Search took 0.00 seconds. 
Sovereign debt markets: Where does the Czech Republic stand?
Bludská, Věra ; Hausenblas, Václav (advisor) ; Serdarevič, Goran (referee)
This thesis deals with the relationship between yield spreads on the sovereign bonds and their determinants with a primary focus on the Czech Republic. First, a homogeneous panel of Visegrad group countries (V4) was investigated by the pooled mean group (PMG) method of Pesaran et al. (1998). It was found that debt-to-gdp ratio along with VIX, the "fear gauge", are the main factors driving the spread dynamics in the V4 group. Based on the results from PMG estimation, we estimate a three-dimensional vector autoregression (VAR) model and structural VAR (SVAR) model in order to observe spread reactions on external shocks. Among the V4 group countries, Hungary exhibits the largest spread response to a VIX shock. Overall, the (S)VAR results confirmed that countries with higher levels of yields before crisis had also a stronger reaction to the market disturbances during 2007-2009. Furthermore, it was found that for the period 2010-2013, the standard model (macroeconomic fundamentals plus global risk aversion factors) provided less reliable results. As a remedy, financial soundness indicators were incorporated into the VAR model. We conclude that it is important to take into account country's financial sector vulnerabilities when describing the spread dynamics since 2010.
Innovation in small and medium enterprises
Ehrenberger, Marek ; Strielkowski, Wadim (advisor) ; Hausenblas, Václav (referee)
This thesis provides insight into factors that influence the innovation activity of small and medium enterprises (SMEs) in the Czech Republic. Its key part analyzes a survey conducted among over eleven hundred Czech SMEs. A model of determinants of innovations is constructed and estimated. Own R&D is identified as a key driver of innovations for the firms. Other important factors include investment into technology, improvement of quality of a product or service or presence on foreign markets. Barriers to innovations and external factors with negative impact as perceived by the firms do not prove to constitute a real inhibitor of innovative activities. Keywords: SME, innovation, entrepreneurship, small and medium enterprise Author's e-mail: marek.ehrenberger@gmail.com Supervisor's e-mail: strielkowski@fsv.cuni.cz
Accuracy of Leading Economic Indicators
Sabol, Michal ; Pištora, Vojtěch (advisor) ; Hausenblas, Václav (referee)
The bachelor thesis deals with the evaluation of the predictive ability and measurement of the forecasting performance that economic indicators display with respect to the upcoming development of the business cycle. It provides overview of the business cycle and of the most commonly used leading indicators. Additionally, measurement methods of the forecasting performance are reviewed. The core of the thesis is the assessment of the forecasting performance of the Czech and German economic indicators intra- and inter-countries. In the first stage of the analysis, the predictive ability of indicators is evaluated according to the Pearson correlation coefficient and the Granger causality. Subsequently, small set of indicators is selected, and through ARIMA and ARIMAX models is their forecasting performance further analysed. The results of the analysis show that the quantitative indicators from the categories such as production, turnover, trade and finance, and qualitative indicators aimed at business climate, economic expectations and different economic sectors display considerable rate of predictive ability for both countries. Moreover, the OECD's CLI and Stock Market Indexes exhibit greater relative importance in the case of the Czech Republic than in that of Germany, whereas, for the Overall...
Efficiency of Prague Stock Exchange Market using Markov Chains
Kratochvíl, Jonáš ; Červinka, Michal (advisor) ; Hausenblas, Václav (referee)
The main intention of this thesis is to analyze the weak form efficiency of Prague Stock Exchange. We conduct our empirical analysis on daily, weekly and monthly return data of the PX index collected in time period 1994-2017. The theory of Markov chains is employed to decide whether the index returns follow a random walk, the evidence of weak form efficiency. Bayesian Informa- tion Criterion is used to establish the optimal order of the Markov chain, which is in turn tested against the order 0 by Likelihood ratio criterion. The model assumptions of time homogeneity, irreducibility and aperiodicity of transition probability matrix are validated. We reject the weak form efficiency for daily index returns and establish its optimal Markov chain order to be 1. The weak form efficiency is not rejected for weekly and monthly index returns so is the as- sumption of time homogeneity for the whole time period 1994-2017. We propose further analysis of daily returns for time period 2006-2017, which exploits the fact of the weak form inefficiency. Discussion of results and related literature is provided as well as the presentation of all contemplated methods. 1
Outsourcing: Benefits and Costs for Businesses
Stříteský, Vladimír ; Balcar, Petr (advisor) ; Hausenblas, Václav (referee)
The focus of this work is to summarize outsourcing literature and bring it up-to-date with current business trends. Whole conception of outsourcing is embedded into strategic framework to benefit managers. Knowledge about and approach to outsourcing is analyzed in sample of Czech managers. For the purpose of analysis, managers filled the questionnaire. Theoretical knowledge in full scale is present in the sample despite low number of observation. Yet the knowledge is significantly fragmented and no manager holds complex knowledge. Based on findings, the guideline is presented for Czech managers to make professional sourcing decisions and achieve peak efficiency outsourcing.
Regulatory Approaches to Credit Risk Quantification
Stará, Pavla ; Pečená, Magda (advisor) ; Hausenblas, Václav (referee)
Credit risk represents one of the most significant risks which a bank must face, and therefore, its intention is effectively manage and measure this risk. However, management and measurement methods are supervised and influenced by national regulators. Banking regulatory supervision plays a significant role among others in determining minimum capital requirements that serve as buffer against losses stemming from credit risk. This thesis provides theoretical foundation of regulatory approaches - standardized and internal rating based (IRB) approach - used for quantification of regulatory capital to credit risk as well as empirical application of such approaches on created portfolio of corporate loans. As a part of IRB method I suggested a model composed of financial ratios estimating probability of default using logistic regression. I founded out that rather the use of combination of financial ratios from different groups of ratios with slight dominance of profitability ratios forms final model. Therefore, superiority of solvency ratios in modelling cannot be proved on my portfolio. After estimating and determining necessary parameters I quantified the minimum regulatory capital requirements to credit risk under standardized and IRB approaches prescribed by Basel III. In the end, the results are...
The Impact of a Prolonged Period of Low Interest Rates Environment on Solvency And Profitability of Insurance Companies
Dorofti, Cristina ; Jakubík, Petr (advisor) ; Hausenblas, Václav (referee)
The insurance industry is a major component of the economy by virtue of the amount of premiums it collects and the scale of its investments. Interest rate risk constitutes the greatest individual source of risk for insurance companies, especially following the most recent global financial turmoil, when ECB and other Central Banks across Europe have steadily been cutting the base rate in order to cope with the deteriorated economic environment. In this paper, we examine the effect of the macroeconomic environment, notably that of the interest rates, on life and non-life European insurance companies profitability ratios by employing a dynamic panel regression with GMM to a cross-country aggregated data. Our empirical results reveal that decreasing market rates, intensifying inflationary pressure and poor equity market performance are robust indicators of a diminishing insurance rentability, especially when we model using ROE. The estimates of ROA models are inconclusive as we believe that the complexity of this ratio requiers a more in-depth analysis. Additionaly we analyse a smaller group of life insurance companies' on their Embedded Value's sensitivity to several potential negative shocks. To the author's best knowledge, those are the first implied macroeconomic estimates on insurance companies'...
Accuracy of Leading Economic Indicators
Sabol, Michal ; Pištora, Vojtěch (advisor) ; Hausenblas, Václav (referee)
The bachelor thesis deals with the evaluation of the predictive ability and measurement of the forecasting performance that economic indicators display with respect to the upcoming development of the business cycle. It provides overview of the business cycle and of the most commonly used leading indicators. Additionally, measurement methods of the forecasting performance are reviewed. The core of the thesis is the assessment of the forecasting performance of the Czech and German economic indicators intra- and inter-countries. In the first stage of the analysis, the predictive ability of indicators is evaluated according to the Pearson correlation coefficient and the Granger causality. Subsequently, small set of indicators is selected, and through ARIMA and ARIMAX models is their forecasting performance further analysed. The results of the analysis show that the quantitative indicators from the categories such as production, turnover, trade and finance, and qualitative indicators aimed at business climate, economic expectations and different economic sectors display considerable rate of predictive ability for both countries. Moreover, the OECD's CLI and Stock Market Indexes exhibit greater relative importance in the case of the Czech Republic than in that of Germany, whereas, for the Overall...

National Repository of Grey Literature : 19 records found   1 - 10next  jump to record:
Interested in being notified about new results for this query?
Subscribe to the RSS feed.