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Macroeconomic factors and stock returns: Evidence from three Central and East European countries
Tung, Christopher ; Novák, Jiří (advisor) ; Dědek, Oldřich (referee)
This dissertation deals with the links between stock market returns and foreign exchange rates, industrial production and exports to Germany in three Central and East European countries (the Czech Republic, Hungary and Poland). The main questions addressed are: "Do macroeconomic factors related to foreign exchange rates and industrial production affect stock market returns in the Visegrad-3? And what is the impact of exports to Germany on those stock returns?" This analysis makes use of panel-data and the Arbitrage Pricing Theory (APT) to produce results. Firstly, foreign exchange rates are found to have a negative effect on stock returns. However the divergence in currency returns between the three countries means that the overall effect may be due to some factors that are not accounted for in this analysis. Secondly, there is a positive, but lagged, association between industrial production and stock returns. Thirdly, exports to Germany from the region are also found to have a positive impact on the stock returns of the Visegrad-3. Finally, there is divergence among the three countries with respect to the relationship between the macroeconomic factors and stock returns. Poland and Hungary are seen to exert a significant amount of influence over the region's stock markets.
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The impact of the Euro on German economy
Krották, Viliam ; Dědek, Oldřich (advisor) ; Debatz, Laure (referee)
This master thesis analyses the impact of the euro on the German economy. The research is conducted through the examination of German export, GDP level, and labor market. It is also supplemented with the evaluation of the past, current and future stages of the Eurozone. The thesis provides a detailed theoretical background, which explains the motivation for the creation of a common currency. As a tool to prove the validity of my hypotheses I use the synthetic control method, where I model a hypothetical case, in which Germany did not adopt the euro. The validity of my results will be tested by using the confidence intervals and comparing the RMSPE ratio. By using this unique approach, I aim to contribute to the series of academic papers about the validity of the euro. In my research I have come to the conclusion, that the euro has positively influenced Germany's economy.
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Capital Regulation, Bank Ownership and Bank Risks: Evidence from Central and Eastern Europe, and Asia
Gwee, Tian Jie ; Gregor, Martin (advisor) ; Dědek, Oldřich (referee) ; Bruno, Randolph Luca (referee)
The aim of this thesis is to investigate the association of ownership structure and bank risk-taking as well as the effects of capital regulation. This study employs simultaneous equations, panel data and instrumental variables (IV) models on a sample of 192 banks from Eastern Central Europe and Asia Regions from 2005-2014. An assessment was made on how banks adjust their capital level as well as portfolio risks when there is a minimum capital regulatory ratio. The results indicate that firstly, banks react to the capital regulatory pressure by increasing capital and changes in capital and bank risk changes are positively related. Secondly, it is found that Foreign-owned banks have higher default risks than Domestic-owned banks; however, Government-owned banks are more stable in terms of asset risks measure during the year when there is election. When taking the market forces into account, in listed banks, insider owners and institutional owners have positive impacts on asset risks while positive asset risks on listed Government-owned banks only during the election. Finally, the findings also show that when capital regulation is taken as a moderating variable, it has influenced the impacts of ownership structure and bank risk, however, the increasing effects can only be proven for insider owners...
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Collateralized Debt Obligation: Valuation and Sensitivity Analysis
Benešová, Petra ; Teplý, Petr (advisor) ; Dědek, Oldřich (referee)
A collateralized debt obligation (CDO) is a highly leverage structured credit product linked to credit events of a pool of underlying debt securities. CDO can be understood as an insurance against a credit risk of the pool where its issuer is a protection buyer and its investor is a protection seller. Whereas a CDO issuance has boomed in recent years, by the end of 2008 two thirds of CDOs were in a formal state of default. The aim of this thesis is to clear up the course of events which lead to the suspension of the CDO market and to deduce recommendations for its future development. To do so we develop a valuation program in MS Excel VBA based on a One Factor Gaussian Copula model. Using the program we first apply a sensitivity analysis, than we model value of a CDO tranche before the financial crisis stroke and after it to value a loss of investors based on a change in expected cash- flows. We detect four main deficiencies. First, the market was not properly diversified. Second, the valuation model was often not deeply understood which led to a mispricing of CDO tranches. Third, this resulted in a mispriced base correlation. We also numerically demonstrate the fourth deficiency, i.e. the mark-to-market valuation obligation which can have destructive effects. Recommendations to remove these...
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Effects of the Integration of Balkan Countries with the EU
Öztürk, Sait ; Dědek, Oldřich (advisor) ; Kučerová, Irah (referee)
1. Abstract: The EU and Balkans are approaching each other every coming year. The borders of the EU would like to welcome the rest of Balkans as it welcomed Romania and Bulgaria in 2007 and Croatia in 2013. Their accession to the EU was an interesting research topic for many academicians. In nowadays Bulgaria and Romania have certain problems with the EU. The aim of this paper is to indicate the economic effect of the EU membership for Western Balkan countries. In order to demonstrate this effect, EU member states of Western Balkans and other potential candidate countries of Western Balkans are observed in two different chapters. The advantage of the EU membership and EU integration period for Western Balkan countries were shown with various statistics, cross country analyzes and country reports. On the other side the negative side of the current Western Balkan`s economies is pointed out using similar sources. As last it was shown that the sign of being protected under the EU umbrella makes member states idle after one two years of their accession and that has a huge long term cost for the Union.
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Comparison of Czech and Slovak approaches to euro adoption
Kühnel, Michal ; Dlouhý, Vladimír (advisor) ; Dědek, Oldřich (referee)
The issue of monetary integration in Europe is currently hotly debated with very wide-ranging opinions. A clear demonstration of this is the difference in attitudes of Czech Republic and Slovak Republic in the matter of euro adoption. This thesis attempts to identify the reasons behind this difference. For that purpose we chose the following structure. First chapter summarizes pros and cons of a monetary union membership from a theoretical perspective. Second chapter describes the environment of the European Monetary Union and discusses its key features. Third chapter then provides a comprehensive analysis of Czech and Slovak economies in the spirit of the framework established by the previous two chapters. The results are not aligned with the expectations, as the economic performance of Slovakia with respect to monetary integration was not better than that of Czech Republic. We therefore identify alternative driving forces behind differing approaches of Czech Republic and Slovak Republic toward the introduction of euro.
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Implied market loss given default
Seidler, Jakub ; Jakubík, Petr (advisor) ; Dědek, Oldřich (referee)
This thesis focuses on the key credit risk parameter - Loss Given Default (LGD). We describe its general properties and determinants with respect to seniority of debt, characteristics of debtors or macroeconomic conditions, and discuss its role in Basel II framework. Further, we illustrate how the LGD can be extracted from market observable information with help of both the structural and reduced-form models. Finally, by using the adjusted Mertonian approach, we estimate the 5-year expected LGDs for companies listed on Prague Stock Exchange and find out, that the average LGD for this analyzed sample is around 20%. Keywords: loss given default, credit risk, structural models, reduced-form models JEL class: C02, G13, G33
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Asset price bubbles and monetary policy reactions
Kazaziová, Gledis ; Dědek, Oldřich (advisor) ; Vošvrda, Miloslav (referee)
This thesis' intent is to analyze stock market bubbles - to bring forward their causes, characteristics and possible aftermath. Hereinafter is this work aimed at presentation of possible monetary policy reactions, its influence on bubble development and impact. I will also present arguments in relation to central bank interventions. The principal point of this thesis is an application of theoretical framework onto actual examples. Therefore have I selected 17th century Tulipmania, Black Monday (October 1987) and Japanese Bubble in the '80s? Closing part is focusing on Black Monday and Japanese Bubble comparison, which are considered to be typical benign and malign crash examples, and on evaluation of relevant monetary policy reactions. Powered by TCPDF (www.tcpdf.org)
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Bitcoin: Pyramid-scheme Wildfire, New Online Payment Medium, or Future Alternative Currency?
Vozak, Hugo ; Dědek, Oldřich (advisor) ; Polák, Petr (referee)
This thesis explores the price determinants of Bitcoin using a macroeconomic model based on the economic equation of exchange presented by Joseph Wang (2014). The thesis provides a concise and structured introduction to Bitcoin and a comprehensive literature review on Bitcoin. The analysis begins with the application of the functions of money to Bitcoin, arguing that while Bitcoin does fulfill the three classical functions of money to a certain extent, its use remains mainly as a speculative instrument. Wang's model is criticized and amended to reflect the realities of empirically analyzing the Bitcoin market. Using the daily number of transactions and Bitcoin days destroyed as proxies for economic activity and inactivity - to measure Bitcoin's velocity on the block chain - vector autoregression modelling is used to determine if there is Granger causality between the price of bitcoin and the two proxies. The results demonstrate that there is a bidirectional Granger-causal relationship between Bitcoin days destroyed and the price of bitcoin and that there is none between the daily number of transactions and the price of bitcoin; proving Wang's two main assumptions. Impulse- response functions are provided to illustrate and discuss this bidirectional relationship. The results are in line with the...
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The Impact of Euro Adoption on Competitiveness: The Comparison of Czech Republic and Slovakia
Polyák, Oliver ; Dědek, Oldřich (advisor) ; Martišková, Monika (referee)
Bibliographic citation POLYÁK, Oliver (2012). The impact of Euro Adoption on Competitiveness: The comparison of Czech Republic and Slovakia. Prague, 2012. 71 p. Master thesis (Mgr.) Charles University in Prague, Faculty of Social Sciences, Institute of Economic Studies. Master thesis supervisor prof. Ing. Oldřich Dědek, CSc. Abstract The present master's thesis is focused on the impact of introducing the common European currency on competitiveness of a country. There has been a lot written about the possible effects of euro adoption on economies of the first eurozone participants. The contribution of this thesis is that we explore the impact of euro introduction on competitiveness of Slovakia, in comparison to the Czech Republic which still uses its own national currency. Our findings suggest that most of the analyzed competitiveness indicators evolved largely in parallel in both countries. Positive trade effects brought about by the introduction of the euro are rather moderate - up to 5%. Slovak credit development was more favorable during the crisis, reflecting lower interest rates in eurozone. On the other hand, high contributions to European stabilization funds may hamper Slovak economic growth and negatively influence country's competitiveness in future. JEL Classification F14, F15 Keywords...
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