National Repository of Grey Literature 19 records found  previous11 - 19  jump to record: Search took 0.00 seconds. 
Modeling and Forecasting Volatility: Evidence from Bosnia and Herzegovina
Hečimović, Emir ; Polák, Petr (advisor) ; Hausenblas, Václav (referee)
iv Abstract The purpose of this thesis is to research stock market volatility in Bosnia and Herzegovina and provide comparison with regional and European stock markets. We employ symmetric and asymmetric generalized autoregressive conditional heteroskedasticity (GARCH) models in order to estimate the conditional volatility of benchmark stock market indices in Bosnia and Herzegovina (SASX-10, BIRS), former Yugoslavia region (CROBEX, BELEX15, SBI TOP) and Europe (EURO STOXX50). Additionally, we analyze the evolution of conditional standard deviations for selected markets and develop dynamic GARCH volatility forecasts for SASX-10 and BIRS. Our results suggest that Bosnia and Herzegovina markets are characterized with relatively high persistence and long memory in volatility. However, compared with regional and European markets, SASX-10 and BIRS exhibit lower persistence. Although significant leverage effect was found both for regional and European markets, asymmetric modeling produced insignificant and negative leverage effect for SASX-10 and BIRS time series. Bosnia and Herzegovina stock markets display moderate to low levels of synchronization with regional and European stock markets. In general, SASX-10 was found to be more volatile than BIRS. The latter is, surprisingly, the least volatile among all...
Global systemically important banks: Assessment methodology and the additional loss absorbency requirement
Tanasković, Dušan ; Seidler, Jakub (advisor) ; Hausenblas, Václav (referee)
1. Abstract This bachelor thesis deals with Global systematically important banks (G-SIBs) and how to identify them through various assessment. The crises in 2007 and failure of global financial institutions spread fast and sent shocks trough financial system which harmed the real economy worldwide. So it means that this is not a uniquely national authority's problem, therefore requiring a global minimum agreement. The aim of these additional policy measures is to deal with cross-border and "too big to fail" negative externalities together with moral hazard costs. Thesis explains the indicator-based measurement approach and bucketing approach introduced by BCBS. It illustrates how G-SIBs are allocated into different categories with different additional loss absorbency requirements and elaborates on how important is each particular indicator in calculating the final score.
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.
Macroeconomic News and Their Impact on Sovereign Credit Risk Premia
Pištora, Vojtěch ; Hausenblas, Václav (advisor) ; Bobková, Božena (referee)
This thesis provides evidence of how macroeconomic surprises, constructed as deviations from market expectations, impact daily spread changes of Czech, Polish and Hungarian (CEEC-3) government bonds and sovereign credit default swaps. Firstly, we carried out series of event studies that inspect the spreads' reactions to the announcements. Subsequently, we employed the general-to-specific modeling approach and arrived at thirty GARCH-type models that consider surprises' impact on both conditional mean and variance. We have found significant impacts on the mean, yet in terms of magnitude, the impact of macroeconomic surprises has not been superior to that of broad financial factors. The impact on spreads' volatility appears more consequential though it lacks a clear pattern: Both good and bad news have been found to affect the volatility in either direction. Our findings suggest that with respect to macroeconomic news, daily changes of the bond spreads are driven rather by inflation expectations than by credit risk considerations. Foreign news proxied by the German surprises seems to affect the CEEC-3 bond spreads mainly through the risk-free proxy - the German Bund yield. Contrary to studies using low-frequency macroeconomic data, we have found no evidence for the "wake-up call" hypothesis.
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
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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