National Repository of Grey Literature 14 records found  previous11 - 14  jump to record: Search took 0.01 seconds. 
Credit Euroization in the New EU Member States: Causes, Consequences and Some Lessons from Hungary
Harnych, Pavel ; Holub, Tomáš (advisor) ; Hausenblas, Václav (referee)
This thesis examines issues related to the sharp surge in credit denominated in foreign currency (FX) in the New EU Member States before the advent of the recent crisis. We commence with the introduction of some stylized facts as well as decisive determinants of credit euroization, including the exchange rate regime. Subsequently, the economic performance and soaring volume of non-performing loans during the crisis are found to be adversely related to previous FX credit growth. Furthermore, we discuss some challenges, which are faced by the monetary authority of a credit euroized economy. Next, we construct a distinctive index on currency mismatch adjusted for unhedged borrowers, which appears to be significantly associated with country risk premia. The final chapter is devoted to the recent materialization of vulnerabilities connected to FX lending in Hungary. The sensitivity of this economy to exchange rate movements is illustrated by strong correlation between CDS spread and relevant exchange rates. Additionally, we scrutinize the latest version of controversial government schemes designed to mitigate the negative balance sheet effect on households indebted in FX. A unique estimation of the long-term costs of a CHF mortgage in comparison to a forint mortgage loan is provided. The impact of...
Poor health and early exit from labour force: an analysis using data from Survey of Health, Aging and Retirement in Europe
Hausenblas, Václav ; Pertold, Filip (advisor) ; Maďarová, Henrieta (referee)
Poor health and early exit from labour force: an analysis using data from Survey of Health, Ageing and Retirement in Europe Václav Hausenblas May 12, 2011 Abstract Health is considered to be one the main determinants of retirement decision. A majority of empirical studies implements health using self- perceived health status measures. According to the justification hypoth- esis such a method may introduce a bias into estimation, and moreover, this bias may vary from country to country. The aim of this thesis is to make use of a dataset rich in objective measures of health from the second wave of Survey of Health, Aging and Retirement in Europe and to put side by side the estimates based on subjective measures as well as IV estimates using more objective variables and thereby to assess the mag- nitude of possible endogeneity and measurement error. It applies these identification methods on the model of early exit from labour force and discusses gender differences and specifics of given EU countries. 1
Similarity and Clustering of Banks: Application to the Credit Exposures of the Czech Banking Sector
Brechler, Josef ; Hausenblas, Václav ; Komárková, Zlatuše ; Plašil, Miroslav
After the recent events in the global financial system there has been significant progress in the literature focusing on the sources of systemic importance of financial institutions. However, the concept of systemic importance is in practice often simplified to the problem of size and contagion due to interbank market interconnectedness. Against this backdrop, we explore additional features of systemic importance stemming from similarities between bank asset portfolios and investigate whether they can contribute to the build-up of systemic risks. We propose a set of descriptive methods to address this aspect empirically in the context of the Czech banking system. Our main findings suggest that the overall measure of the portfolio similarity of individual banks is relatively stable over time and is driven mainly by large and well-established banks. However, we identified several clusters of very similar banks whose market share is small individually but which could become systemically important when considered as a group. After taking into account the credit risk characteristics of portfolios we conclude that the importance of these clusters is even higher.
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Contagion Risk in the Czech Financial System: A Network Analysis and Simulation Approach
Hausenblas, Václav ; Kubicová, Ivana ; Lešanovská, Jitka
This paper examines the potential for contagion within the Czech banking system via the channel of interbank exposures of domestic banks enriched by a liquidity channel and an asset price channel over the period March 2007 to June 2012. A computational model is used to assess the resilience of the Czech banking system to interbank contagion, taking into account the size and structure of interbank exposures as well as balance sheet and regulatory characteristics of individual banks in the network. The simulation results suggest that the potential for contagion due to credit losses on interbank exposures was rather limited. Even after the introduction of a liquidity condition into the simulations, the average contagion was below 3.8% of the remaining banking sector assets, with the exception of the period from December 2007 to September 2008. Activation of the asset price channel further increases the losses due to interbank contagion, showing that liquidity of government bonds would be essential for the stability of Czech banks in stress situations. Finally, the simulation results for both idiosyncratic and multiple bank failure shocks suggest that the potential for contagion in the Czech banking system has decreased since the onset of the global financial crisis.
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3 Hausenblas, Václav
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