National Repository of Grey Literature 451 records found  1 - 10nextend  jump to record: Search took 0.00 seconds. 
Bank credit risk management in the low-interest rate environment
Maivald, Matěj ; Teplý, Petr (advisor) ; Pečená, Magda (referee)
The thesis examines the relation of the low-interest rate environment to the banks' selected credit risk measures with a panel dataset on banks in Eurozone, Denmark, Japan, Sweden, and Switzerland covering the period 2011-2017. It employs a system GMM framework and a combination of bank-related and macroeconomic variables. This study builds on recent literature on effects of low-interest rates on banks' profitability and estimates the following three hypotheses: The potential effects of the low-interest rate on non-performing loans (NPL) ratio, risk-weighted assets (RWA) to total assets ratio, and changes in Tier 1 capital ratio. There are three main results: Firstly, the results suggest that a prolonged period of negative monetary interest rate can affect the NPL ratio and reveal a possible relationship between the 3M-interbank interest rate and NPL ratio. Thus, the thesis does not reject the first hypotheses. However, it rejects these hypotheses in case of the other two ratios. Secondly, the study finds a bank heterogeneity to be a significant determinant of the credit risk. Finally, using recent data, this thesis contributes to the literature focusing on the drivers of the NPL ratio, RWA to total assets ratio and Tier 1 capital ratio, where in case of the latter two the existing research is...
Unconventional Monetary Policy Tools - Description and Evaluation of their Efficiency
Bandžak, Denis ; Hlaváček, Michal (advisor) ; Buliskeria, Nino (referee)
This thesis examines the role of unconventional monetary policy tools during and after the global financial crisis with a particular focus on three main parts - their description, implementation and efficiency. By introducing a thorough discussion based on both past and most recent papers on this topic, we provide an updated view on the classification of individual unconventional monetary policy tools which is often used inaccurately by the current literature. We further enrich the discussion by describing different strategies which central banks used before and after the global financial crisis along with the future plans and tendency of central banks in monetary policy. We conclude the thesis by our own analysis of the effects of quantitative easing on GDP and CPI using a Bayesian vector autoregression model with sign restrictions applied on Japan, the Eurozone, the UK and the US. We find a more pronounced and significant effect of quantitative easing on GDP and CPI for the UK and the US than for the Eurozone and Japan. Nevertheless, our findings have to be considered with utmost care as the model is very simplified and sensitive to the parameters chosen. Keywords: Monetary Policy, Unconventional Monetary Policy Tools, Quantitative Easing, Bayesian Vector Autoregression
Monetary Policy, Macroprudential Policy and Financial Stabiliy in the Post-Crisis Framework
Malovaná, Simona ; Holub, Tomáš (advisor) ; Teplý, Petr (referee) ; Juselius, John Mikael (referee) ; Šaroch, Stanislav (referee)
This dissertation consists of four empirical papers analysing and discussing central bank policies in the post-crisis period. After the global financial crisis central bankers and other regulators have faced many new challenges, including a prolonged period of acommodative monetary policy, side effects of monetary policy easing on financial stability and interaction of macroprudential, microprudential and monetary policy. On top of that, policy makers must deal with uncertainty surrounding the transmission and the effectiveness of newly introduced macroprudential measures. The empirical analyses focus primarily on the Czech Republic and its banking sector, with an exception of the first essay. Using data for the Czech Republic and five euro area countries, the first essay shows that monetary tightening has a negative impact on the credit-to-GDP ratio and banks' capital-to-asset ratio, while these effects have strengthened considerably since mid-2011. This supports the view that accommodative monetary policy contributes to a build- up of financial vulnerabilities, i.e. it boosts the credit cycle. The second essay assesses the transmission of higher additional capital requirements stemming from capital buffers and Pillar 2 add-ons on banks' capital ratio, capital surplus and implicit risk weights. The results...
The impact of CNB's exchange rate commitment on Czech exports
Teichman, Jiří ; Paulus, Michal (advisor) ; Baxa, Jaromír (referee)
The thesis evaluates the effect of Czech National Bank's exchange rate commit- ment on Czech sectoral exports. Thus, we show how unconventional monetary policies could affect the exports. To assess the impact of interventions, we use Synthetic Control Method. The method constructs synthetic Czech exports from data of comparable countries that were not under the policy of inter- est and compares them to observed Czech exports following the interventions. We expect a positive effect of Czech National Bank's commitment on Czech exports, because the interventions resulted in the undervaluation of koruna causing a higher demand for Czech goods abroad. Additionally, the exporters should benefit from reduced uncertainty caused by no exchange rate volatility with the euro area. The results showed a positive impact of interventions only in half of the export sectors. The positive effect of a stable exchange rate is not confirmed, because the effect on the euro area countries in some categories was smaller than for the other countries. The results for total sectoral exports were stable across model specifications and confirmed by analysis of Czech bi- lateral sectoral exports to the largest destinations. The significant contribution of this thesis is application of Synthetic Control Method on total sectoral...
The Effects of Monetary Policy on Housing Prices: Evidence from the Czech Republic
Michalec, Jan ; Havránek, Tomáš (advisor) ; Holub, Tomáš (referee)
This thesis explores the relationship between interest rates, house prices and main macroeconomic variables. In particular, I examine how monetary policy affects house prices in the Czech Republic. The hypotheses assume that an increase in the interest rate that tends to decrease house prices also reduces output and inflation simultaneously. Therefore, the latter would imply that the monetary authority faces a trade-off between macroeconomic and financial stability. The empirical analysis is based on a vector autoregression model and the monetary policy shock is retrieved by the Cholesky decomposition. As for the results, the findings of the thesis conclude that there is a costly trade-off between macroeconomic and financial stability within the Czech economy.
Assessing Economic Linkages between the EU and the Eastern Europe Neighbours
Moisei, Daniela ; Horváth, Roman (advisor) ; Komárek, Luboš (referee)
Charles University Faculty of Social Sciences Institute of Economic Studies MASTER'S THESIS Assessing Economic Linkages between the EU and the Eastern Europe Neighbours Author: Bc. DanielaMoisei Supervisor: Prof. Roman Horváth, Ph.D. Academic Year: 2017/2018 Abstract The proposed study analyses the economic linkages between five Central and Eastern European countries (Czech Republic, Romania, Moldova, Georgia and Ukraine) and the euro area, in the period 2006-2017, applying the block-restriction vector autoregression model. It allows evaluating the amplitude and persistence of the domestic vs. euro area shocks on four macroeconomic indicators: real GDP, short-term interest rate, CPI, and FX rate. The main findings emphasize that EU members are more economically synchronized with the euro area, responding to external factors in less than 10 months. Nevertheless, the Central Banks of the East European countries react extensively to the ECB monetary policy shocks, following broadly its short-term interest rate. Eastern Neighbourhood countries and Central EU members demonstrated tight connections with the euro area, in terms of international transmission of price shocks and economic activity synchronization. Thus, Czech Republic and Romania could be relevant models for the Eastern European countries, reaching...
The Performance of inflation targeting in emerging market economies
Reshketa, Sidita ; Holub, Tomáš (advisor) ; Turnovec, František (referee)
The aim of the thesis is to study the performance of emerging economies under the inflation targeting as a framework. This framework is characterized by the direct target that it has on inflation which should be achieved within a period. Inflation targeting was initially adopted by industrialized economies, and the outcomes throughout the years have been substantially good for other economies to join this framework. The dataset used is updated with data from after the financial crises allowing space for us to test another hypothesis about the importance of inflation targeting during the financial crises. We used difference to difference model to test our hypothesis and we concluded that inflation targeting does not have any significant statistical effect on the output growth, but it does have a statistical significant effect in the inflation rate. We also pointed out that the economies that were targeting inflation during the financial crises performed much better compared to the ones which did not. JEL Classification E31, E44, G01 Keywords Inflation targeting, emerging and developed economies, financial crises Author's e-mail Supervisor's e-mail
Non-standard Monetary Policy Instruments of Central Banks
Šikulová, Markéta ; Bažantová, Ilona (advisor) ; Dupáková, Lenka (referee)
Non-standard Monetary Policy Instruments of Central Banks Abstract The aim of this study is to analyze non-standard monetary instruments of central banks and their impact on the example of concrete use of these instruments by the Czech National Bank and the European Central Bank. The first part of this study defines the essence, the implementors, the tasks, and the objectives of the monetary policy. Its tools are also disassembled, both standard and nonstandard. From non-standard instruments, closer attention is paid to the theoretical definition of quantitative easing, negative interest rates and long-term maintenance of the exchange rate commitment. I also deal with the legal anchor, organization, purpose, history, and concept of the monetary policy of two selected central banks, namely the CNB and the ECB. The next part of the study presents the concrete form of non-standard measures used by the CNB and the ECB, it deals with the specific reasons that the central banks led to their implementation, the objectives with which they were adopted and the impact these measures had on the Czech economy and the euro area. Based on the analysis, it is possible to confirm the tested hypothesis that the Czech National Bank and the European Central Bank have succeeded in meeting the objectives set before their...
The Czech National Bank, its legal position and scope of activities
Krajíčková, Lucie ; Bakeš, Milan (advisor) ; Sejkora, Tomáš (referee)
The Czech National Bank, its legal position and scope of activities Abstract As the theme of my thesis, I have chosen the Czech National Bank, its legal position and scope of activities. The aim is to analyze the legal position and activities of the CNB. This is a very large topic, due to the wide activities of the CNB at national, European and international level. The CNB is and independent, highly credible and very powerful institution. The CNB is the central bank of the Czech Republic, the financial market supervision authority and the authority to solve crisis. Its main objective is to maintain price stability. Due to the wide range of tasks, I focused on the assessment its monetary policy as its most important business. The implementation of monetary policy is based on the ability to choose the level of interest rates that will keep inflation at a low but stable level and there will be no unnecessary slowdown or acceleration of the growth rate of the economy. The aim of the CNB's transmission mechanism is to keep the overall inflation in the narrow corridor at 1-3 %. By comparing the real development of the average quarterly inflation rate and the forecast of monetary policy-relevant inflation for the period from 3.Q 2008 to 2.Q 2019, it can be concluded that the caused fluctuations could be hardly...
How Much of the Macroeconomic Variation in Ukraine Originates From External Shocks?
Fedorova, Alona ; Baxa, Jaromír (advisor) ; Cahlík, Tomáš (referee)
iv Abstract In this thesis, we investigate the relative importance of foreign shocks in the Ukrainian economy by estimating a small-scale SVAR model with block exogeneity restriction over the period 2003:2 - 2016:12. We find that external shocks from the EU and Russia account for a significant share of the macroeconomic variation in Ukraine. In particular, external shocks account for up to 97 % of variance in Ukraine's output and 85 % in inflation. Remarkably, foreign monetary policy shocks (both from the EU and Russia) account only for a tiny share of variance in all Ukrainian macro variables. Finally, we show that the inclusion of Russia in the 'foreign' block is important to achieve correct model specification. Without accounting for the effects of the Russian economy, Ukrainian variables over-react to shocks originating from the EU. We conclude that the National Bank of Ukraine should closely track external developments to achieve inflation targets. JEL Classification E52, F41, F42 Keywords vector autoregression, foreign shocks, monetary policy, Ukraine Author's e-mail Supervisor's e-mail

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