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Financial stability and the impact of instability on the real economy
Havránek, Štěpán ; Hlaváček, Michal (advisor) ; Mertlík, Pavel (referee)
This thesis focuses on the problematic of financial stability - its maintenance and the detection of possible sources of instability. In the first theoretical part, a summary of the role of financial stability for properly working financial system is followed by identification of threats to stability and historical examples of instability. The thesis continues with an analysis of the recent subprime crisis. In the second empirical part, vector autoregression is used to estimate interconnections between financial instability indicators. This is followed by impulse response analysis. Although some assumed relationships are affirmed, their scop does not answer the fundamental question: why do values of these indicators change so vigorously during the time of distress.
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Determinants of housing prices in Central and Eastern Europe
Jelínek, Jan ; Hlaváček, Michal (advisor) ; Jakubík, Petr (referee)
Determinants of Housing Prices in Central and Eastern Europe Abstract House price developments have a large impact on the macroeconomic stability, an example of which is the recent global crisis, partially triggered by a house price boom and bust. This work attempts to explain the behavior of house prices in ten Central- and Eastern- European countries over the last decade using three main methods: graphical comparison of the characteristics of the housing markets, panel data analysis, and time series anal- ysis. First, a cross-country comparison shows that owner occupation rate or migration indeed play a role while other factors apparently do not. Second, the results of using the Pooled Mean Group estimator on a panel of all countries confirm that real income and unemployment are in general significant determinants of house prices. In the third part of the empirical analysis, VAR or VEC models are used on several individual countries to evaluate the role of national capitals as price leaders for the rest of the country. These models are finally employed again to test for significance of other fundamentals in several countries. The diversity of results leads to the conclusion that house price determinants differ widely across the analyzed countries, although this may be partially attributable to the unavoidable...
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Efficiency of Regulation on Spanish Housing Market
Hejlová, Hana ; Hlaváček, Michal (advisor) ; Doležel, Pavel (referee)
Covering reciprocal and mutually reinforcing relations between business, housing and credit cycles, the thesis assesses the Spanish housing market in its wider circumstances. With use of several conceptual notes on demand for housing, dynamic path of the house prices in Spain may be explained based on the difference in how these structural components react on changes in financial and macroeconomic environment. As a result of controlling for match of demand and supply in both timely and spatial manner empirically, expectations were included to explain the subsequent volume of housing traded on the market and simple microeconomic decision making model taking into account taxes was derived to assess the role favourable incentives might have played on fuelling the house price cycle in Spain. Next, existence of the reciprocal relations suggested by the theory discussed was confirmed empirically only during the house price upturn and asymmetry in speed of downward adjustment was found in the opposite case, pointing out at the redistribution effect abrupt changes in house prices have in time. The results derived finally allowed to assess possibilities of better employment of anti cyclical regulatory tools towards eliminating mutually enforcing powers between the cycles and avoiding both financial and...
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Stock markets contagion in the Western and Central European region during subprime crisis
Pechová, Lenka ; Geršl, Adam (advisor) ; Hlaváček, Michal (referee)
The topic of financial contagion is growing in importance as the financial markets are integrating and becoming global. In my work I test contagion between stock markets in Central Europe (Czech Republic, Hungary and Poland), markets in Western Europe (Euro zone, France, Germany and UK) and U.S. I use two types of model to test the data from ongoing subprime crisis. The first one is parametrical model that uses the correlation coefficients obtained from VAR regression, based on paper by Forbes and Rigobon 2003. The second one is non parametrical model that uses the Kendall's tau approach to measure the comovements of the stock markets based on paper by Li (2009). In the work is also provided overview of theoretical and empirical literature that is focused on contagion and related topics.
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Housing prices in Prague- their developments and prediction
Petr, Adam ; Hlaváček, Michal (advisor) ; Rippel, Milan (referee)
The housing prices in Prague had risen by more than 63% between 2002 and 2008. However since August 2008, when they reached their peak, they have been almost constantly falling. Most of the publications regarding housing prices are taking into account Prague as one of the Czech regions. On the contrary, this work analyzes housing prices in Prague and its 22 districts. In first part of this work the indicators of rent-to-price ratio, price-to-income ratio and new building development factors are considered to explain possible future development of housing prices. This is seemed to continue falling during the year 2011. The second analytical part tries to explain the housing prices according to specific locality features and macroeconomic aspects. The panel regression is used and it reveals that the most significant attributes are the macroeconomic features.
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Financial crisis as a result of risk management failure
Minařík, Štěpán ; Hlaváček, Michal (referee) ; Rippel, Milan (advisor)
In this thesis, we examined time period from year 1993 to 2008 concerning real estate market in USA and coherent risk management decisions and tools used by US government and private mortgage institutions. After qualitative analysis of information resources (financial data, official documents and statements, economic researches and coments), we tested hypothesis of underestimation of real estate price bubble in years 2000 to 2007 by mortgage agencies and US stock market. The tool we used was linear regression (ordinary least squares method) to examine pricing of mortgage-backed securities by mortgage agencies and pricing of mortgage bank Fannie Mae stocks by investors.
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Chinese economy and foreign trade imbalances
Podhajecká, Eva ; Hlaváček, Michal (advisor) ; Benáček, Vladimír (referee)
Chinese economy and foreign trade imbalances The paper analyses current global imbalances in international trade that are characterized on one side by huge US current account deficit, on the other side by growing economies of South East Asia that are accumulating foreign exchange reserves and consequently investing them back to the US dollar denominated assets. This way they basically facilitate further growth of US indebtedness. The question is how much longer are these imbalances sustainable and how much longer will be foreign investors willing to lend the money to the US. The thesis consists of introduction; followed by explanation of circumstances that allowed these imbalances to reach such a large scale. Second chapter addresses to the brief description of US economy, impact of growing budget deficit on current account deficit and new trends in financing these deficits. In the third chapter, the economy in China is thoroughly analyzed, its monetary policy, development of foreign trade and its share on widening of current trade imbalances. Powered by TCPDF (www.tcpdf.org)
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Collective investment and real-estate market in the Czech republic
Posolda, Lukáš ; Richter, Tomáš (advisor) ; Hlaváček, Michal (referee)
The novelization of the Act on Collective Investment of May 2006 enabled the creation of real estate funds in the Czech Republic. These may take two forms: (1) special real estate fund which is designated for the general investment community and (2) qualified investor fund meant only for institutional and "experienced" investors. This study uses in-depth analysis of the legislation in order to examine the aspects of the functioning of the real estate fund sector while concentrating particularly on fundamental characteristics of indirect real estate investment. The study takes a global view on the property market evolution since 1990 while examining risks faced by the real estate funds and their growth potential. The questions that yet remain to be answered are if it is appropriate to introduce REIT in the Czech legislation as another real estate investment instrument and what possibilities are open to real estate funds in the context of the anticipated pension reform. Powered by TCPDF (www.tcpdf.org)
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Impact of Securitization on House Price Dynamics in Spain
Hejlová, Hana ; Hlaváček, Michal (advisor) ; Buzková, Petra (referee)
The rigorous thesis tries to explain different nature of the dynamics during the upward and downward part of the last house price cycle in Spain, characterized by important rigidities. Covered bonds are introduced as an instrument which may accelerate a house price boom, while it may also serve as a source of cor- rection to overvalued house prices in downturn. In a serious economic stress, lack of investment opportunities motivates investors to buy the covered bonds due to the strong guarantees provided, which may in turn help to revitalize the credit and housing markets. To address such regime shift, house price dynam- ics is modelled within a framework of mutually related house price, credit and business cycles using smooth transition vector autoregressive model. Linear behaviour of such system is rejected, indicating the need to model house prices in a nonlinear framework. Also, importance of modelling house prices in the context of credit and business cycles is confirmed. Possible causality from is- suance of covered bonds to house price dynamics was identified in this nonlinear structure. Finally, potential threat to financial stability resulting from rising asset encumbrance both in the upward and downward part of the house price cycle was identified, stressing the need to model impact of the...
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Comparison of oil price growth during 1st and 2nd oil shock in the 1970's with current situation : Is there a treat of third oil shock?
Murková, Viera ; Hlaváček, Michal (advisor) ; Cahlík, Tomáš (referee)
Bachelor thesis on Comparison of oil price growth during 1st and 2nd oil shock in the 1970's with current situation: Is there a threat of 3rd oil shock? consists of three main parts. The first part describes the state of economy in the 1970's, reasons causing the oil shocks, how they affected the developed countries and how these countries settled up with related problems.The second part focuses on the situation in the 21st century, high oil prices and its consumption and effects on economies that have tried to learn from the previous mistakes, which they made in the 1970's. The last part focuses on predictions to the future and possible alternatives to oil. Powered by TCPDF (www.tcpdf.org)
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