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Inter-sector credit exposure: Contingent claims analysis in the Czech Republic
Brechler, Josef ; Hlaváček, Michal (advisor) ; Janda, Karel (referee)
Linkages between economic agents in form of financial assets might contribute to transmission of shocks between different parts of the economy. Aim of this thesis is to enrich the ongoing discussion about the spread of contagion through the economy. We provide an analysis of financial interlinkages in the Czech economy and using the contingent claims analysis (CCA) model we attempt to quantify risks in the system that that are implied by the existence of these linkages. We use different techniques within the framework of the model to obtain various indicators that can be used to assess stability of the system. Using simulations we find that size of losses due to riskiness of debt depends strongly on the origin of a shock and it is higher for shocks originating in the household sector than for shocks originating in the sector of the non-financial corporations. We also find that size of a decrease in capital of the banking sector needed to cause a distress in the system as relatively high and stable in time. JEL Classification E01, E44, G01, G12, G20 Keywords Balance sheet contagion, financial accounts, network models, contingent claims analysis, systemic risk Author's e-mail josef.brechler@gmail.com Supervisor's e-mail michal.hlavacek@cnb.cz
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The Commercial Real Estate Analysis for CEECs region
Pavlas, Michal ; Hlaváček, Michal (advisor) ; Kvaček, Jan (referee)
In this thesis we examine macroeconomic factors that influenced the office real estate market in CEE countries between years 2000 and 2012. First, we describe commercial real estate indicators. Next, we create several models for four cities - Prague, Budapest, Moscow and Istanbul. We make also panel data regression for all four cities. We conclude some key determinants that influence the prime yields of office buildings in each city and finally we compare and contrast the results across all cities. Our results suggest that prime yields are most influenced by vacancy rate, gross take-up, total office stock and unemployment rate.
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Unemployment in the Czech Republic
Klečka, Michal ; Hlaváček, Michal (advisor) ; Kvaček, Jan (referee)
This paper is aimed at analysis of unemployment in the Czech regions. The key thing is the effort to create a simple model which determinates unemployment in regions. To this, three basic factors are used - inflation, outcome and criminality as they represent fiscal, monetary and social policies. Firstly, the effects of these factors are tested separately by OLS to find their mutual correlation. The average effects of dependence between factors and unemployment in regions are also established by using panel regression. Original and static Phillip's curves are used to measure the impact of level of unemployment on the inflation. The expanded model of Phillip's curve and the dynamic model of natural level of unemployment are used to estimate natural levels of unemployment in regions. The difference version of Okun's law is used to estimate the impact of economy outcome on the level of unemployment. Subsequently, the extended model of Okun's law is used to distinguish the effect of economic cycle on this impact. Correlation of level of unemployment with criminality is measured by simple model, where the change of the first variable is determined by the change of the second variable. All this knowledge is used to create the complex model, which explains the change of the level of unemployment in...
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Spread Determinants and Model Uncertainty: A Bayesian Model Averaging Analysis
Seman, Vojtěch ; Rusnák, Marek (advisor) ; Hlaváček, Michal (referee)
The spread between interest rate and sovereign bond rate is commonly used in- dicator for country's probability to default. Existing literature proposes many different potential spread determinants but fails to agree on which of them are important. As a result, there is a considerable uncertainty about the cor- rect model explaining the spread. We address this uncertainty by employing Bayesian Model Averaging method (BMA). The BMA technique attempts to consider all the possible combinations of variables and averages them using a model fit measure as weights. For this empirical exercise, we consider 20 different explanatory variables for a panel of 47 countries for the 1980-2010 period. Most of the previously suggested determinants were attributed high inclusion probabilities. Only the "foreign exchange reserves growth" and the "exports growth" scored low by their inclusion probabilities. We also find a role of variables previously not included in the literature's spread determinants - "openness" and "unemployment" which rank high by the inclusion probability. These results are robust to a wide range of both parameter and model priors. JEL Classification C6, C8, C11, C51, E43 Keywords Sovereign Spread Determinants, Model Uncer- tainty, Bayesian Model Averaging Author's e-mail semanv()gmail()com...
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Housing Price Determinants in the Czech Republic
Markvartová, Lenka ; Hlaváček, Michal (advisor) ; Šolc, Jan (referee)
Housing market was considered stable until housing prices in many countries after global crises rapidly decreased. Still the development of housing prices and its determinants are unique for every country. The goal of this work is to find the factors that affect the housing prices in the Czech Republic using endogenous models. This type of econometric models enables to explore both short and long term relationships. The theoretical part of the work focuses on housing prices monitoring issues and the specific price development in the Czech Republic in comparison to other countries. Furthermore different level and development of housing prices in Prague are discussed. Due to this fact two types of tests are used - for the Czech Republic as a whole and for Prague separately. The variables housing loans included are based on previous results of Czech as well as foreign studies. Thanks to detected long term relationships an endogenous VECM model can be applied. It confirms bidirectional influence of housing prices and housing loan volume. This relationship could not have been analyzed sofar due to relatively short time series which limit the choice of particular models. My results suggest that growth in housing loan volume causes an increase in housing prices with more than one year delay. This effect...
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Spread Determinants and Model Uncertainty: A Bayesian Model Averaging Analysis
Seman, Vojtěch ; Rusnák, Marek (advisor) ; Hlaváček, Michal (referee)
The spread between interest rate and sovereign bond rate is commonly used in- dicator for country's probability to default. Existing literature proposes many different potential spread determinants but fails to agree on which of them are important. As a result, there is a considerable uncertainty about the cor- rect model explaining the spread. We address this uncertainty by employing Bayesian Model Averaging (BMA). The BMA technique attempts to consider all the possible combinations of variables and averages them using a model fit measure as weights. For this empirical exercise, we consider 44 different explanatory variables for a panel of 47 OECD countries for the 1980-2010 pe- riod. Most of the previously suggested determinants, including "public debt" or "budget balance", were attributed low inclusion probabilities. We find a role of variables previously not included in the literature's spread determinants - "unemployment" and "government consumption" which rank high by the in- clusion probability. These results are robust to a wide range of both parameter and model priors. JEL Classification C6, C8, C11, C51, E43 Keywords Sovereign Spread Determinants, Model Uncer- tainty, Bayesian Model Averaging Author's e-mail semanv()gmail()com Supervisor's e-mail marek.rusnak()cerge-ei()cz
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Economic crisis 2008-2010 in Baltics
Nedvěd, Petr ; Hlaváček, Michal (advisor) ; Kracík, Jiří (referee)
The main objective of the Bachelor's thesis is the description of causes, course and consequences of the economic crisis 2008-2010 in the Baltic countries. The biggest emphasis is placed on developments in the financial and real estate sector and the labour market. Attention is also focused on the vigorous solution of the crisis that is often given for exemplary action in the crisis period. The thesis also contains a brief description of the region's economic history and the development of the economic crisis 2008-2010 in the world. The main chapter focuses on the crisis development in the Baltics, including the basic causes of the economic downturn. The final chapters describe the current economic situation in the Baltics, bring a comparison with selected European countries and outline a short-term outlook for further development of Estonia, Latvia and Lithuania. The contribution of this thesis is mainly that it shows a possible effective solution of economic problems. Especially the PIIGS countries, which are still in crisis and urgently need to restore their competitiveness and confidence of the financial markets, should pay attention to the example of the Baltic countries that managed to start high growth of their economies relatively soon after the deep slump.
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Determinants of Commercial Real Property Prices in the CR during the Financial Crisis
März, Jan ; Hlaváček, Michal (advisor) ; Todica, Doina (referee)
This thesis examines macroeconomic factors which influenced the Czech commercial real estate market between the years 2007 to 2010, dividing it in three basic segments - loading, office and retail. First we focus on describing the character of the market, how it differs from other areas of economic activities and what are these differences caused by. Next we create several models for particular real estate market quantities and from the results we conclude some fundamental facts about the functioning of the market. We interpret the role of the real estate yield as an instrument of the financial market which moderates the real estate market's reactions to changes in the economic environment.
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Housing financing support
Marková, Diana ; Hlaváček, Michal (advisor) ; Stráský, Josef (referee)
This thesis presents the system of housing financing support generally in the context of European countries and concretly in the Czech Republic. First, the housing market and the specificity of housing as a good are presented. Next, the thesis describes taxation in relation to housing and the influence of taxation on affordability of housing. The main part of the thesis is devoted to general concept of housing policy and overview of the instruments of housing financing support, which is followed by concrete example of the Czech Republic. The overview of the instruments in the Czech Republic is followed by an attempt to estimate their impact to the state and public budgets. The situation in the Czech Republic was wery interesting because of the started application of the new concept from 2011, which changed the direction of the housing policy and the portfolio of instruments. Almost at the end of the thesis, there is briefly presented the model of real estate market by DiPasquale and Wheaton. According to this model it is possible to make a statistic comparative analysis of the impacts of some instuments of housing financing support on the real estate market. The knowledge, acquired during the work on the thesis, is used in the last chapter to prepare the SWOT analysis and evaluation of the current portfolio...
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Evaluating monetary policy : the case of Ghana
Jílek, Jiří ; Hlaváček, Michal (advisor) ; Švarcová, Natálie (referee)
This thesis provides an overview of monetary policy in Ghana during the past two decades. A special focus is placed on assessment of inflation-targeting regime that the Bank of Ghana adopted in 2002 and became the first developing country to do so. After detecting the sources of inflation and a thorough description of monetary policy pursuit before 2002, the inflation-targeting regime is scrutinized. Despite the initial inability of the Bank of Ghana to meet its inflation targets, I consider the disinflationary process as well set. Optimistic expectations about the future success of inflation targeting, that the author of this thesis has, stems from the legislative changes that were made in 2002. Finally the credibility of the Bank of Ghana is identified as the main area for improvement.
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