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Essays on Finance and Risk
Kowalczyk, Dorota ; Zemčík, Petr (advisor) ; Poghosyan, Tigran (referee) ; Vecer, Jan (referee)
Dorota Kowalczyk: Essays on Finance and Risk Abstract This dissertation consists of three chapters that empirically investigate questions of increasing relevance in the banking risk and financial economics literature. The first chapter studies bank risk in the context of its joint determination with bank liquidity and capital in the Eurozone. The second chapter examines the banks' appetite for risk using the comprehensive credit register of the Czech National Bank. Finally, the last chapter refers to model risk and analyzes the ability of the selected term structure models to value the interest rate swaps in the Polish market. The first chapter analyzes the coordination of bank risk, liquidity and capital in the presence of securitization. Its outcome contributes to the debate on the effectiveness of the banking regulations. My findings with regard to the simultaneity of capital and risk decisions are consistent with previous empirical studies. Incorporation of bank liquidity permits me to establish the presence of the coordination of risk and liquidity decisions. At the same time, I find no evidence of the direct joint determination of capital and liquidity. Finally, the first chapter partially confirms the theoretical implications of Repullo (2005). The second chapter, coauthored with Adam Geršl, Petr...
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Currency Substitution and Foreign Exchange Intervention in Emerging Market
Loiseau-Aslanidi, Olga ; Zemčík, Petr (advisor) ; Kutan, Ali M. (referee) ; Brada, Josef (referee)
This dissertation consists of three essays that focus on the determinants and implications of exchange rate behavior in emerging markets. The first essay studies foreign exchange intervention conducted by the National Bank of Georgia. Various econometric methodologies are applied to study both the determinants and effectiveness of intervention. A unique daily data set is employed in the analysis. The major intervention motives of leaning-against-the-wind and of decreasing volatility are revealed. Intervention influences the exchange rate as intended after some lag. However, this effectiveness is achieved at the price of increased volatility of the exchange rate. In the second and third essays, the issue of currency substitution is studied. Two-currency monetary models are specified to analyze and explain currency substitution from different perspectives. These models focus on economic observables that influence a households decision to switch to a foreign currency, namely the exchange rate, interest rates of savings in foreign and domestic currencies, and domestic and foreign inflation. The second essay studies the significance and rationalizes currency substitution in Georgia. The paper finds that this issue is of first-order importance in the country. The actual dynamics of currency substitution...
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Recent Trends in the Housing Market
Tsharakyan, Ashot ; Zemčík, Petr (advisor) ; Laurin, Frédéric (referee) ; Gilbert, Scott (referee)
In my dissertation I focus on exploring the major aspects of real estate markets' development over the last fifteen years. The dissertation includes theoreticalas well as empirical analysis of US and Czech real estate marketand consists of 4 chapters. In the first chapter the aggregate welfare effects of housing price appreciation in the presence of binding constraints are analyzed. The additional beneficial effect of housing price appreciation in the form of relaxation of credit constraints and opportunity for better consumption smoothing is taken into account when calculating the welfare effects of housing price appreciation. The effects of housing price appreciation are analyzed using both a model with exogenous housing prices based on previous literature as well as a newly developed model with endogenous housing prices. The second chapter explores theaggregate welfare effects of housing price changes in a stochastic general equilibrium framework with heterogeneous agents. The household sector in this model consists of two types of households, namely credit constrained and unconstrained ones, which differ both with respect to their time preferences as well as the structure of assets they own. The model also includes multi-sector production side and several sources of exogenous stochastic shocks....
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Essays in Finance and Monetary Policy: Evidence from Visegrad Countries
Borys, Magdalena ; Zemčík, Petr (advisor) ; Gilbert, Scott (referee) ; Filer, Randall (referee)
This dissertation consists of three empirical papers on the issues of monetary policy as well as finance in the group of four Visegrad countries, namely the Czech Republic, Hungary, Poland, and Slovakia. The first paper, entitled "Testing Multi-Factor Asset Pricing Models in the Visegrad Countries", attempts to point to a suitable asset-pricing model that could be used to estimate the cost of equity capital in the Visegrad countries. The Capital Asset Pricing Model (CAPM) that is most often used for this purpose in developed markets has a poor empirical record and is likely not to hold in less developed and less liquid emerging markets. Various factor models have been proposed to overcome the shortcomings of the CAPM. This paper examines both the CAPM and the macroeconomic factor models in terms of their ability to explain the average stock returns using the data from the Visegrad countries. We find, as expected, that the CAPM is not able to do this task. However, factor models, including factors such as: excess market return, industrial production, inflation, money, exchange rate, exports, commodity index, and term structure, can in fact explain part of the variance in the Visegrad countries' stock returns. A second paper, "Size and Value Effects in Visegrad Countries", is an extension of the previous...
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Výhodnocení úspěšnosti obnovy lesa na požářišti Bzenec
Zemčík, Petr
The aim of this thesis was to evaluate successfulness of forestation at a seat of fire near Bzenec. Several types of planting stock varying in the type of species, plant cover, the way of growing and coverage by surrounding growths after planting were used. Two independent measurings were taken, during which shoot height, root crown thickness, growt length, losses, vitality, diversion from vertical, trunk straightness, damage by biotic agents (mainly by forest cockchafer), the weight of dry matter and root deformations were investigated. The paper strip method executed by a rotary cultivator proved to be little effective, because cockchafer grubs were not affected in any way when the soil was prepared this way. Big losses were found out already during spring evaluation. These losses doubled, even tripled, during a vegetation period. The losses were caused mainly by cockchafer grubs. It is possible to recommend suitable forestation of weeded areas by containerized planting stock of pine and bare-rooted broad-leaved trees as a possible solution.
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Modeling Rwanda
Auda, O. ; Bečičková, H. ; Cincibuch, M. ; Čižmár, P. ; Hřebíček, H. ; Janjgava, Batlome ; Kameník, O. ; Katreniaková, D. ; Kejak, Michal ; Lamazoshvili, Beka ; Lukáč, J. ; Machala, J. ; Menkyna, Robert ; Musil, K. ; Rasulova, Khanifakhon ; Remo, A. ; Vávra, D. ; Vlček, J. ; Zemčík, Petr
The report consists of four chapters. Chapter 1 assesses the historical performance of forecasts for Rwanda. Historical forecasts since January 2010 are compared with the actual data as well as with projections of other institutions. Chapter 2 presents the structural macroeconomic model, its changes compared to the December 2009 version, and its properties captured by impulse-response functions and by variance decompositions of model’s variables in terms of the model shocks. Important is the part on the model-consistent interpretation of the recent economic Rwanda history. The section describing Bayesian vector autoregressions used for the near-term forecasting concludes. Chapter 3 evaluates how the models perform empirically. On the contrary to Chapter 1, the forecasting power is assessed both in the sample as well as by using an out-of-thesample comparison with the standard random-walk benchmark. We conclude that the FPAS performs satisfactorily in this comparison. The last chapter gives an overview of the considerable country database that has been compiled.
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Modeling Ethiopia
Auda, O. ; Bečičková, H. ; Cincibuch, M. ; Čižmár, P. ; Hřebíček, H. ; Janjgava, Batlome ; Kameník, O. ; Katreniaková, D. ; Kejak, Michal ; Lamazoshvili, Beka ; Lukáč, J. ; Machala, J. ; Menkyna, Robert ; Musil, K. ; Rasulova, Khanifakhon ; Remo, A. ; Vávra, D. ; Vlček, J. ; Zemčík, Petr
The report has three chapters. Chapter 1 summarizes the main features of the Ethiopian economy relevant for building the forecasting and policy analysis system (FPAS). Chapter 2 presents the structural model, and near-term forecast models. Chapter 3 evaluates how the models perform empirically.
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Modeling Haiti
Auda, O. ; Bečičková, H. ; Cincibuch, M. ; Čižmár, P. ; Hřebíček, H. ; Janjgava, Batlome ; Kameník, O. ; Katreniaková, D. ; Kejak, Michal ; Lamazoshvili, Beka ; Lukáč, J. ; Machala, J. ; Menkyna, Robert ; Musil, K. ; Rasulova, Khanifakhon ; Remo, A. ; Vávra, D. ; Vlček, J. ; Zemčík, Petr
The report has four chapters. Chapter 2 summarizes the main features of the Haitian economy relevant for building the forecasting and policy analysis system (FPAS). Chapter 3 presents the structural macroeconomic model and its properties captured by the decompositions of variances of the model’s variables in terms of the model shocks and by its impulse-response functions. This chapter also describes Bayesian vector autoregressions used for the near-term forecasting. Chapter 4 evaluates how the models perform empirically. The forecasting power is assessed both in the sample and by using an out-of-the-sample comparison with the standard random-walk benchmark. We conclude that the FPAS performs satisfactorily in this comparison.
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Modeling Tanzania
Auda, O. ; Bečičková, H. ; Cincibuch, M. ; Čižmár, P. ; Hřebíček, H. ; Janjgava, Batlome ; Kameník, O. ; Katreniaková, D. ; Kejak, Michal ; Lamazoshvili, Beka ; Lukáč, J. ; Machala, J. ; Menkyna, Robert ; Musil, K. ; Rasulova, Khanifakhon ; Remo, A. ; Vávra, D. ; Vlček, J. ; Zemčík, Petr
The report has three chapters. Chapter 1 summarizes the main features of the Tanzanian economy relevant for building the FPAS. Chapter 2 presents the structural macroeconomic model and its properties captured by the decompositions of variances of the model’s variables in terms of the model shocks and by its impulse-response functions. This chapter also describes Bayesian vector autoregressions used for the near-term forecasting. Chapter 3 evaluates how the models perform empirically. The forecasting power is assessed both in the sample and by using an out-of-the-sample comparison with the standard random-walk benchmark. We conclude that the FPAS performs satisfactorily in this comparison.
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Modeling Nigeria
Auda, O. ; Bečičková, H. ; Cincibuch, M. ; Čižmár, P. ; Hřebíček, H. ; Janjgava, Batlome ; Kameník, O. ; Katreniaková, D. ; Kejak, Michal ; Lamazoshvili, Beka ; Lukáč, J. ; Machala, J. ; Menkyna, Robert ; Musil, K. ; Rasulova, Khanifakhon ; Remo, A. ; Vávra, D. ; Vlček, J. ; Zemčík, Petr
The report has three chapters. Chapter 1 summarizes the main features of the Nigerian economy relevant for building the FPAS. Chapter 2 presents the structural macroeconomic model and its properties captured by the decompositions of variances of the model’s variables in terms of the model shocks and by its impulse-response functions. This chapter also describes Bayesian vector autoregressions used for the near-term forecasting. Chapter 3 evaluates how the models perform empirically. The forecasting power is assessed both in the sample and by using an out-of-the-sample comparison with the standard random-walk benchmark. We conclude that the FPAS performs satisfactorily in this comparison.
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