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Long-term Unemployment . The Burden of the Czech Labour Market
Hněvkovský, Jan ; Mertlík, Pavel (advisor) ; Lešanovská, Jitka (referee)
This thesis focuses on the long-term unemployment in the Czech Republic. The first part is devoted to methodology of measuring the unemployment. In particular, it focuses on differences between rate of unemployment published by ČSÚ (Eurostat) and rate of registered unemployment which is published by MPSV. The content of the second part is demography of the Czech Republic, especially features which are relevant to structural restrictions on labor market. Hence, the educational and age structures of the Czech Republic are analysed. The third part is divided into two sections. The first section deals with the long-term unemployment at the aggregate level. At first, evolution on the labor market in the last two decades is outlined. Then the structural and cyclical unemployment are separated from the overall unemployment. At last, flexibility of the labor market is examined. The logic of the microeconomic section lies in analysing strategies of long-term unemployed. The thesis ends with the conclusion offering the summary of the gained results. 1
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An Empirical Analysis of Liquidity Situation and Interbank Rates in the Czech Republic during Global Crisis
Lešanovská, Jitka ; Geršl, Adam (advisor) ; von Terzi, Martina (referee)
This diploma thesis focuses on the development of the interbank market liquidity and interest rates in the Czech interbank market with special focus on the period of global crisis. We analyze determinants of the interbank interest rates and their development with respect to the key monetary policy rate. We explain the significant departure of the interbank interest rates from the key monetary policy rate (impairment of monetary policy transmission) during the global crisis by an increase in risk premia on interbank lending. The source of the risk premia is decomposed into the individual components such as liquidity risk, counterparty risk, foreign influence and other factors. Their contribution to the overall risk premia over time during the global crisis is analyzed. We find that the liquidity risk was the key determinant of tensions in the Czech interbank market in the beginning of the global crisis. However, its influence weakened over time while the role of counterparty risk increased. Keywords: interbank market, liquidity, interest rates, crisis, risk premia, credit risk, liquidity risk, counterparty risk JEL classification: G190, G210
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Interbank contagion under the Basel III regulatory framework
Chleboun, Jakub ; Jakubík, Petr (advisor) ; Lešanovská, Jitka (referee)
This study assesses the impact of the Basel III regulatory framework on interbank contagion. It focuses on the direct interbank contagion that spreads via interbank foreign claims among national banking sectors. A balance sheet-based network model employs the quarterly consolidated banking statistics, collected by the Bank for International Settlements, to simulate the consequences of credit and funding shock under stressed market conditions. Compared to the Basel II, the Basel III regulatory framework reduces the probability of interbank contagion (following a simulated default of one banking sector) from 31% to 14% and lowers the impact of contagion by 63% in terms of average loss for a banking sector. The simulations under both regulatory frameworks show that relatively smaller banking sectors can trigger severe interbank contagion comparable to large banking sectors. Throughout the 2005-2009 period, the Basel III regulatory framework stabilizes the fluctuations of the scope of interbank contagion.
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Comparative characteristics of the Czech welfare state
Keprta, Jan ; Schwarz, Jiří (advisor) ; Lešanovská, Jitka (referee)
The thesis discusses the overall characteristics of Czech welfare state. First it describes the emergence and evolution of the welfare state in general and divides particular types of welfare state according to Esping-Andersen's typology. Then it deals with the Czech welfare state. It characterizes the development since Austro- Hungarian Empire until 2010. It points to the specific nature of Czech welfare state, which consists of all different types of welfare state. In empirical part, the social transfer abuse is examined, using a regression model. The examination is restricted to sick-leave. The model shows relation between the sickness benefit, wage and sickness absence, which illustrates the high- probable benefit abuse. Finally the thesis discusses the main reason to defraud - low identification of citizens with the state, which stems from the history.
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The Impact of Basel III on European Banks
Šútorová, Barbora ; Teplý, Petr (advisor) ; Lešanovská, Jitka (referee)
The aim of this thesis is to take a closer look on how the stricter capital requirements defined in Basel III framework will influence European banks from a complex point of view - lending rates and volumes of provided loans, profitability, risk taking and market value of banks. Our analysis employing simultaneous equations and panel data models on exp post data on almost 600 banks operating in the EU in period 2005-2011 reports following results: (1) Those banks that will be forced to effectively increase their common equity ratio (CE/RWA) will reflect a one percentage point increase in this ratio into higher lending rates by 18.8 basis points. (2) This should, in turn, lead to a modest impact on the volume of provided loans, i.e. as a result of an increase of CE/RWA to 9.5 % (the case of the strictest scenario), the loan volumes are expected to be lowered by 2% from the current volume. (3) Our study further reports that higher capital requirements will cause a decrease in banks' profitability accompanied by a drop in risk taking. Banks increasing their CE/RWA by one percentage point are expected to experience a decrease in their profitability (measured by ROAA) by 0.122 percentage points. (4) The above mentioned effects were identified as rather negative signals for equity owners, which should be...
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An empirical analysis of liquidity situation and interbank market rates in the Czech Republic during global crisis
Lešanovská, Jitka ; Geršl, Adam (advisor) ; Horníková, Martina (referee)
This diploma thesis focuses on the development of the interbank market liquidity and interest rates in the Czech interbank market with special focus on the period of global crisis. We analyze determinants of the interbank interest rates and their development with respect to the key monetary policy rate. We explain the significant departure of the interbank interest rates from the key monetary policy rate (impairment of monetary policy transmission) during the global crisis by an increase in risk premia on interbank lending. The source of the risk premia is decomposed into the individual components such as liquidity risk, counterparty risk, foreign influence and other factors. Their contribution to the overall risk premia over time during the global crisis is analyzed. We find that the liquidity risk was the key determinant of tensions in the Czech interbank market in the beginning of the global crisis. However, its influence weakened over time while the role of counterparty risk increased. Keywords: interbank market, liquidity, interest rates, crisis, risk premia, credit risk, liquidity risk, counterparty risk JEL classification: G190, G210
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Does Greater Capital Hamper the Cost Efficiency of Banks?
Lešanovská, Jitka ; Weill, Laurent
The aim of our research is to analyze the relation between capital and bank efficiency by considering both directions of the Granger causality for the Czech banking industry. We use an exhaustive dataset of Czech banks from 2002 to 2013. We measure the cost efficiency of banks using stochastic frontier analysis. We perform Granger-causality tests to check the sign and significance of the causal relation between capital and efficiency. We embed Granger-causality estimations in the GMM dynamic panel estimator. We find no relation between capital and efficiency, as neither the effect of capital on efficiency, nor the effect of efficiency on capital is significant. The financial crisis does not influence the relation between capital and efficiency. Our findings suggest that tighter capital requirements like those under Basel III do not affect financial stability through the efficiency channel. Policies favoring capital levels and efficiency of the banking industry can therefore be designed separately.
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Bank Efficiency and Interest Rate Pass-Through: Evidence from Czech Loan Products
Havránek, Tomáš ; Iršová, Zuzana ; Lešanovská, Jitka
An important component of monetary policy transmission is the pass-through from financial market interest rates, directly influenced or targeted by central banks, to the rates that banks charge firms and households. Yet the available evidence on the strength and speed of the pass-through is mixed and varies across countries, time periods, and even individual banks. We examine the pass-through mechanism using a unique data set of Czech loan and deposit products and focus on bank-level determinants of pricing policies, especially cost efficiency, which we estimate employing both stochastic frontier and data envelopment analysis. Our main results are threefold: First, the long-term pass-through was close to complete for most products before the financial crisis, but has weakened considerably afterward. Second, banks that provide high rates for deposits usually charge high loan markups. Third, cost-efficient banks tend to delay responses to changes in the market rate, smoothing loan rates for their clients.
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Explaining the Czech Interbank Market Risk Premium
Geršl, Adam ; Lešanovská, Jitka
This paper focuses on the development of the in terbank market risk premium in the Czech Republic during the global financial crisis. We e xplain the significant departure of interbank interest rates from the key monetary policy rate by a combination of different factors, including liquidity risk, counterparty risk, forei gn influence, interbank relations, and strategic behavior. The results suggest a relevant role of market factors, and some importance of counterparty risk.
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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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