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Coexceedance in Exchange Rates - Analysis of Contagion in Central and Eastern European Countries
Bláhová, Pavla ; Horváth, Roman (advisor) ; Kočenda, Evžen (referee)
The objective of this thesis is to examine the contagion in Central and Easter European countries, namely in Czech Republic, Hungary, and Poland. From all possible propagation channels, it chooses to focus on exchange rates. The method of coexceedance with consequent quantile regression is employed. We find that coexceedance does occur but not as frequently as assumed. The coexceedance occurs more frequently during the depreciation of the currencies. The persistence effect is very significant and the coexceedances are ``continual'' rather than ``correcting'' for previous extremes. We found evidence for both asset class effect and volatility effect. These effects have different impact during the 2008 Financial Crisis most of the times. An evidence for both Hungarian and Polish government bond yields having influence on the coexceedance with Czech Republic. Surprisingly, we did not find evidence for oil market influence on coexceedance.
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The Determinants of Inflation Differentials across Central and Eastern European Countries
Gurbulea, Mihaela ; Horváth, Roman (advisor) ; Geršl, Adam (referee)
The thesis aims at identifying the reasons behind the heterogeneous inflation performance of countries across Central and Eastern Europe. The impact of a large number of variables is being assessed in a dynamic panel data model covering 20 countries over the period 2003-2013. The empirical results suggest that cross-country differences in inflation are attributed to the structure of the economy, to the capital deepening effects and openness. Along with the structural factors, cyclical positions also prove to be of particular importance in explaining inflation across the region, since during the last decade most of the Central and Eastern European countries have experienced fast GDP growth, a credit boom and increased domestic demand that in turn fueled inflation.
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Financial Stress in the Czech and Slovak Republic: Measurement and Effects on the Real Economy
Malega, Ján ; Horváth, Roman (advisor) ; Cingl, Lubomír (referee)
In the scope of this thesis, we estimate a financial stress index particularly for the Czech Republic with application for Slovakia, and examine its development during the period 2002-2014. The advantage of the index is primarily its ability to measure the current level of stress in the financial system incorporating information from various sectors of the economy and expressing it in a single-value statistic. We find a marked increase in financial stress at the beginning of the global financial crisis and European sovereign debt crisis with a decrease to nearly pre-crisis levels by the end of our study period. Next, we estimate vector autoregression models and find out that financial stress has systematic effects on unemployment, prices and interest rates, with the maximum response occurring approximately one to two years after the shock in the Czech Republic, and with a half-year delay in Slovakia. Specifically, an increase in financial stress is associated with higher unemployment, lower prices and lower interest rates, indicating its detrimental effects on the real economy. JEL Classification G17, G32 Keywords financial stress index, vector autoregression, impulse responses
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CEE stock market comovements: An asymmetric DCC analysis
Gjika, Dritan ; Horváth, Roman (advisor) ; Svoboda, Svatopluk (referee)
We investigate the interdependence among three CEE stock markets and be- tween CEEs vis-à-vis euro area, using daily data from 2001-2011. Initially, we estimate bivariate ADCC models. Then, OLS regressions are employed to understand the evolution of correlations in time and during the recent financial crises. Finally, we examine the relationship between correlations and volatilities using the simple OLS model and the rolling stepwise regression methodology. Our results indicate that 3 out of 4 series exhibit asymmetries in conditional variances, while only 1 pair out of 6 exhibit asymmetries in correlations. We found that correlations are increased over time and during the recent financial crises for both pairs (CEEs-CEEs and CEEs-eurozone). However, the highest increase is observed for CEEs-eurozone. Mainly, we found a positive rela- tionship between correlations and volatilities, even though this relationship is niether constant in time nor strictly positive or negative during all the sample period, but rather time-varying with periods of being higher or lower than zero.
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Interest rate pass-through in the euro area: The effect of financial crisis
Rybák, Jakub ; Horváth, Roman (advisor) ; Hayat, Arshad (referee)
In this study we analyze the impact of the financial crisis on interest rate pass-through in the euro area. By applying a wide range of econometric techniques, including both univariate and multivariate models to estimate cointegration relationships between retail and policy rates and related short-term adjustment processes we find out that the financial crisis has led to the increased spread between market and policy rates, which has not been corrected by central bank policies so far. We also find evidence of cross-country heterogeneity in both pre-crisis pass-through and crisis effects. In addition to this, for many retail rates we find an evidence of two-way Granger causality with respect to policy rates, indicating the accommodative policy of ECB following the market disruptions. We also estimate the timing of shocks to transmission mechanism and our results suggest that they are not distributed tightly around September 2008, but rather vary widely across the sample.
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Modelling of Financial Stress Index in the Czech Republic using Vector Autoregression Analysis
Malega, Ján ; Horváth, Roman (advisor) ; Cingl, Lubomír (referee)
This study constructs a financial stress index with a specific focus on the case of the Czech Republic. The advantage of the index is primarily its ability to measure the current level of stress in the financial system incorporating information from various sectors of the economy and expressing it in a single-value statistic. Our index successfully recorded and evaluated critical periods of elevated financial stress especially during the recent financial crisis. Furthermore, we examine a systematic interaction between financial stress and the macroeconomics using vector autoregression analysis along with method of impulse responses. Based on our results we observe a significant and positive response of unemployment due to the shock in financial stress. Conversely, a negative effect was examined on inflation and interest rates. JEL Classification G17, G32 Keywords financial stress index, vector autoregression, impulse responses
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Influence of the knowledge capital of a bank on its performance
Moraru, Pavel ; Horváth, Roman (advisor) ; Havránková, Zuzana (referee)
This research studies the knowledge implications on the efficiency estimates pf a bank, using an unbalanced representative panel of 17 banks from Czech Republic, categorized, based on the amount of their earning assets, in three groups: big, medium and small. The period of study is between 2002 and 2011 thus comprising the world financial crisis happened between 2007 and 2009. The main finding is that the management value adding has significant and positive influence on the efficiency of the bank, thus highlighting the importance of knowledgeable allocation of resources and decision making. The structural capital is another important knowledge based capital which impacts efficiency. The study, also, confirms, for Czech banking sector, the importance of economies of scale for the efficiency of banks and suggests that fixed assets might become an obsolete in future developments of banking services. The period of world crisis does not appear to have been crucial for the banks of the country analyzed. Keywords: Technical efficiency, Cost efficiency, Knowledge valuation, Knowledge management, Knowledge capital, Economies of scale, Stochastic Frontier Analysis, Czech Republic Author's e-mail: morarupavel@gmail.com
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The Impact of Oil Prices on Macroeconomic Indicators in Azerbaijan and Georgia
Karimov, Farhad ; Horváth, Roman (advisor) ; Kraicová, Lucie (referee)
Using a multivariate vector autoregression (VAR) approach, this paper investigates the relationships between oil price and macroeconomic indicators of closely interrelated developing economies of oil exporting Azerbaijan and oil importing Georgia based on monthly time series from January 2001 to November 2012. The model is estimated for each country separately and the results are object for comparison. The empirical evidence suggests that oil price has significant effects on macroeconomy in both countries. In particular, these effects are positive for all 3 macroeconomic variables on the example of Azerbaijan. On the example of Georgia, these effects are positive for GDP and inflation rate, and, negative for exchange rate. On the other hand, macroeconomic indicators of Azerbaijan fail to affect oil price level.
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Finance and Growth: A Bayesian Model Averaging Evidence
Mareš, Jan ; Horváth, Roman (advisor) ; Seman, Vojtěch (referee)
The question whether financial development is conducive to economic growth has entered the debate with new intensity following the financial crisis of 2007-2008. We use standardized dataset on economic growth established by the literature and Financial Development Database by World Bank to inspect the relationship. Unlike other studies, we employ Bayesian Model Averaging (BMA) to address model uncertainty inherent to modelling of economic growth. Apart from dealing with omitted variable bias it also allows us to compare relative importance of banking sector and financial markets along with their varying characteristics. Examining real economic growth rates 1960-2011 in 68 countries, we find little evidence in favour of traditional financial development proxy - financial depth - to affect economic growth. Our initial results point to the importance of banking sector efficiency, approximated by net interest margin, as essential growth determinant. Moreover, we use financial indicators to construct overall measure of financial development and find it highly relevant to economic growth. The results are robust to different parameter and model priors in BMA, but not to specifications dealing with potentially endogenous nature of the finance-growth correlation.
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Determinants of Financial Development
Bzhalava, Eri ; Horváth, Roman (advisor) ; Lelovská, Adriána (referee)
Determinants of financial development Abstract The paper studies effects of country level determinants on the rate of financial development and, in particular, assesses the empirical question whether democracy and political freedom can enhance financial development, as measured by Bank Private Credit to GDP and Liquid Liabilities to GDP. Using Fixed Effects estimation techniques and a panel data for a list of 39 countries over the period 1990 to 2011, we provide evidence that suggests positive link between political openness and financial development. The empirical evidence also confirms financial openness and real per capita income to be positively correlated to financial deepening and in contrast, we find that size of financial sector does not spur the rate of financial development.
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