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Determinants of Financial Inclusion in Africa and OECD Countries
Kočenda, Evžen ; Eshun, S. F.
Sub-Saharan Africa (SSA) has been identified as one of the least financially inclusive regions in the world with a huge disparity in comparison to highly financially inclusive regions. Using a dynamic panel data analysis, we explore the factors influencing financial inclusion in Sub-Saharan Africa (SSA) using countries belonging to the Organisation for Economic Co-operation and Development (OECD) as a benchmark. We employ the System Generalized Method of Moments (GMM) estimator and assess 31 SSA and 38 OECD countries from 2000-2021. We show that the differences in trade openness, banks' efficiency, income, and remittances are some macro-level factors that explain the variation in financial inclusion levels. We highlight the importance of quality literacy policies, trade improvement with restrictions on cross-border capital flows, and a more efficient financial system to promote financial inclusion.
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The impact of oil-related events on volatility spillovers across oil-based commodities
Bartušek, Daniel ; Kočenda, Evžen (advisor) ; Krištoufek, Ladislav (referee)
Although oil-based commodities play a crucial role in the world from an indus- trial perspective, their prices are often heavily influenced by the occurrence of various events covered in the news. These events often trigger a sudden increase in volatility, that spills across all oil-based commodities. As a result, it becomes riskier to invest in this group of commodities. Furthermore, the increase in oil price volatility introduces friction in oil trade due to pricing uncertainty. In this thesis, we processed over 900 events related to oil from 1978 to 2022 and grouped them based on a set of repeating characteristics. Utilizing a novel bootstrap- after-bootstrap econometric framework developed by Greenwood-Nimmo et al. (2021), we identified over 20 historical events that triggered a sudden and per- sistent rise in volatility connectedness. We discover that geopolitical events are twice as likely to cause an increase in volatility spillovers than economic events. We did not find evidence for natural events influencing oil volatility spillover levels. Furthermore, a majority of the events after which the spillover levels increased share three common characteristics: they are negative, unexpected, and introduce fear of oil supply shortage. Investors and policymakers can use our findings to assess the...
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Link between inflation and stock prices in selected countries
Gregor, Jiří ; Kočenda, Evžen (advisor) ; Hlaváček, Michal (referee)
In macroeconomics, inflation is a significant factor that refers to the overall increase in the prices of goods and services in an economy. The relationship between inflation and stock prices has been the subject of several studies, but there is still no clear consensus on whether the link is positive or negative. This thesis aims to conduct a comprehensive analysis of the relationship between inflation and stock returns in three specific countries - Japan, Turkey, and Argentina. These countries have experienced abnormal inflationary situations throughout history, making them interesting case studies for understanding the underlying relationship between stock prices and inflation. JEL Classification E31, E37, G12, G17 Keywords inflation, returns, linear regression, link between in- flation and stock prices Title Link between inflation and stock prices in selected countries
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Financial Impact of Trust and Institutional Quality around the World
Kapounek, S. ; Kočenda, Evžen ; Kouba, L.
We investigate the financial impact of social trust, institutional quality, and regulations. As a testing ground we employ a unique, large, and hand-crafted dataset of more than 850 000 lending-based crowdfunding projects from 155 platforms across 55 countries during 2005–2018. We show that the impact of social trust is positive but economically less pronounced than that of institutional trust proxied by legal and property rights protection and regulation. Moreover, the financial impact of social trust is greater at the national level, while impact of institutional quality dominates at the international level. Nevertheless, the financial impact of trust and institutional quality around the world is positive, which is an encouraging implication under increasing anonymity and internationalization of financial environment.
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ECB monetary policy and commodity prices
Aliyev, S. ; Kočenda, Evžen
We assess the impact of ECB monetary policy on global aggregate and sectoral commodity prices over 2001–2019. We employ a SVAR model and separately assess periods before and after the global financial crisis. Our key results indicate that contractionary monetary policy shocks have positive effects on commodity prices during both conventional and unconventional monetary policy periods, indicating the effectiveness of unconventional monetary policy tools. The largest impact is documented on fuel and food commodities. Our results also suggest that the effect of ECB monetary policy on commodity prices transmits through the exchange rate channel, which influences European market demand.
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Bank Survival Around the World: A Meta-Analytic Review
Kočenda, Evžen ; Iwasaki, I.
Bank survival is essential to economic growth and development because banks mediate the financing of the economy. A bank’s overall condition is often assessed by a supervisory rating system called CAMELS, an acronym for the components Capital adequacy, Asset quality, Management quality, Earnings, Liquidity, and Sensitivity to market risk. Estimates of the impact of CAMELS components on bank survival vary widely. We perform a meta-synthesis and meta-regression analysis (MRA) using 2120 estimates collected from 50 studies. In the MRA, we account for uncertainty in moderator selection by employing Bayesian model averaging. The results of the synthesis indicate an economically negligible impact of CAMELS variables on bank survival; in addition, the effect of bank-specific, (macro)economic, and market factors is virtually absent. The results of the heterogeneity analysis and publication bias analysis are consistent in terms that they do not find an economically significant impact of the CAMELS variables. Moreover, best practice estimates show a small economic impact of CAMELS components and no impact of other factors. The study concludes that caution should be exercised when using CAMELS rating to predict bank survival or failure.
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Macroeconomic Responses of Emerging Market Economies to Oil Price Shocks: Analysis by Region and Resource Profile
Togonidze, S. ; Kočenda, Evžen
This study employs a vector autoregressive (VAR) model to analyse how oil price shocks affect macroeconomic fundamentals in emerging economies. Findings from existing literature remain inconclusive how macroeconomic variables fare towards shocks, especially in emerging economies. The objective of our study is to uncover if analysis by region (Latin America and the Caribbean, East Asia and the Pacific, Europe, and Central Asia) and resource intensity of economies (oil exporters, oil importers, minerals exporters, and less resource intensive). Our unique approach forms part of our contribution to the literature. We find that Latin America and the Caribbean are least affected by oil price shocks, while in East Asia and the Pacific the response of inflation and interest rate to oil price shocks is positive, and output growth is negative. Our analysis by resource endowment fails to show oil price shocks’ ability to explain huge variations in macroeconomic variables in oil importing economies. Further sensitivity analysis using US interest rates as an alternative source of external shocks to emerging economies establishes a significant response of interest rate responses to US interest rate in Europe and Central Asia, and in inflation in Latin America and the Caribbean. We also find that regardless of resource endowment, the response of output growth and capital to a positive US interest rate shock is negative and significant in EMs. Our results are persuasive that resource intensity and regional factors impact the responsiveness of emerging economies to oil price shocks, thus laying a basis for policy debate.\n
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Macroeconomic Responses of Emerging Market Economies to Oil Price Shocks: Analysis by Region and Resource Profile
Togonidze, S. ; Kočenda, Evžen
This study employs a vector autoregressive (VAR) model to analyse how oil price shocks affect macroeconomic fundamentals in emerging economies. Findings from existing literature remain inconclusive how macroeconomic variables fare towards shocks, especially in emerging economies. The objective of our study is to uncover if analysis by region (Latin America and the Caribbean, East Asia and the Pacific, Europe, and Central Asia) and resource intensity of economies (oil exporters, oil importers, minerals exporters, and less resource intensive). Our unique approach forms part of our contribution to the literature. We find that Latin America and the Caribbean are least affected by oil price shocks, while in East Asia and the Pacific the response of inflation and interest rate to oil price shocks is positive, and output growth is negative. Our analysis by resource endowment fails to show oil price shocks’ ability to explain huge variations in macroeconomic variables in oil importing economies. Further sensitivity analysis using US interest rates as an alternative source of external shocks to emerging economies establishes a significant response of interest rate responses to US interest rate in Europe and Central Asia, and in inflation in Latin America and the Caribbean. We also find that regardless of resource endowment, the response of output growth and capital to a positive US interest rate shock is negative and significant in EMs. Our results are persuasive that resource intensity and regional factors impact the responsiveness of emerging economies to oil price shocks, thus laying a basis for policy debate.\n
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Gamified Stock Markets, Sentiment and Volatility: Evidence from the GameStop frenzy
Tran Nguyen, Thai Nhat Phi ; Krištoufek, Ladislav (advisor) ; Kočenda, Evžen (referee)
In this thesis, we study the impact of individual retail investors on the financial markets. We follow the GameStop retail trading frenzy from the beginning of 2021 and the retail investors aggregated on Reddit's r/wallstreetbets. The tools employed include natural language processing, wavelet analysis and vector error correction models. The results propose that the retail investor sentiment is highly susceptible to high volatility, extreme returns and frequent news coverage. Social media is shown to exacerbate these behavioural tendencies. We find evidence that retail investor sentiment is able to predict short-term returns for stocks specifically targeted by retail investors. The findings are, however, dependent on the investment horizon. Over long horizons, we find evidence for the reversal of the relationship. Lastly, while the effect of news and social media is similar in the long run, we show that Reddit sentiment, as opposed to news sentiment, is a significant predictor of retail targeted stocks in the near term. JEL Classification C55 C58, G12, G14, G41 Keywords Sentiment, Social media, GameStop, Reddit, Natural language processing, Wavelet analysis Title Gamified Stock Markets, Sentiment and Volatility: Evid- ence from the GameStop frenzy 1
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Correlation between stock and bond returns and it's determinants: Case of Fragile Five
Daldal, Cagatay ; Kočenda, Evžen (advisor) ; Čech, František (referee)
The correlation between stock market returns and government bond yields is helping investors to diversify their investments and hence, reducing their investment risk if the correlation between these asset classes is low or negative. However, the correlation measure is not solely sufficient for investors to diversify their risk considering that correlation between stock market returns and government bond yields and impacted by the same economic conditions. Therefore, it is important understand how correlation between stock market returns and government bond yields is developing over-time and which economic indicators impacting the correlation. The author contributes to the existing literature by modelling the time-varying correlation between stock marketreturnsand governmentbond yields.The currentresearch focused on Turkey,Brazil,South Africa, India and Indonesia. These countries were defined as Fragile Five in 2013 by Morgan Stanley because the currencies of these countries were under high pressure against United States Dollar and shared common vulnerability in their current account levels, inflation, unemployment rate and gross domestic product. These economic indicatorsof Fragile Five are used to determine if the correlation between stock market returns and government bond yields is impacted by...
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