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Stability of the Banking Sector: Dependence Beyond Correlation
Fiala, Tomáš ; Šopov, Boril (advisor) ; Zelený, Tomáš (referee)
We analyze systemic risk of banks in countries of the so-called Visegrad Group (V4). Particularly, we focus on the relationship between a foreign mother and its local subsidiary which we compare to the relationship between subsidiaries in a given V4 country. We find that the systemic risk between two subsidiaries is higher than that between a mother and the respective subsidiary. In our analysis, we employ a technique stemming from a nonparametric multivariate Extreme Value Theory which is distribution free. Thus, our results are robust to heavy tails. Keywords Extreme value theory, systemic risk, financial stability, Visegrad Group, mother-subsidiary re- altionship Author's e-mail tomas.fiala@gjn.cz Supervisor's e-mail boril.sopov@gmail.com
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Ethics and economics
Tůmová, Jana ; Mlčoch, Lubomír (advisor) ; Zelený, Tomáš (referee)
Bachelor thesis called Ethics and Economics deals with two masterpieces of the founder of economic science, Adam Smith, The Wealth of Nations and The Theory of Moral Sentiments. Research in fields of economy and ethics seems to be very distinctive nowadays, however it has not been the same case during the past. Nevertheless, Adam Smith was able to present both fields as interdependent. Sympathy as innate human emotion is the foundation for moral judgment by which we approve or disapprove actions of others. We also try to gain as favorable judgment of others as possible. In order to do so we follow some general rules. Only if people respect such rules and the justice can trigger any economic activity. Otherwise, for example in case of the lackness of trust between individuals, the human society might collapse.
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Stickiness of gasoline prices in the Czech Republic: Evaluation of different models of price adjustment
Svačina, David ; Krištoufek, Ladislav (advisor) ; Zelený, Tomáš (referee)
There are numerous price stickiness hypotheses, explanations of why prices do not instantly adjust to costs and demand shocks, with distinct impli- cations on the form of stickiness (e.g., speed of adjustment, different path based on sign and magnitude of shocks). This paper identifies those most widespread in the economic literature and tests their consistency with the pattern of adjustment present in retail gasoline market, in a setting where their thorough analysis has not yet been done. In particular, data set consists of daily observations on three variables over the 2007-2013 period: average retail price of gasoline in Jesenik county, Czech Republic; Brent crude oil price in USD; and CZK/USD exchange rate. Using a transformation of the error-correction model, with both first-differenced variables and their levels at the last lag, only partial adjustments theory, characterized by a gradual adjustment to costs shocks over an extended period of time due to consumers' aversion to abrupt price changes, is found consistent with our data. This the- ory explains observed lags in response of retail price to Brent and exchange rate movements, but is neutral towards significant asymmetries in sign and among variables. Therefore, the form of price stickiness present in our data cannot be comprehensively...
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Modeling of government spending and endogenous tax rates in New Keynesian models : the case of Czech Republic
Zelený, Tomáš ; Stráský, Josef (advisor) ; Mertlík, Pavel (referee)
The topic of fiscal policy has been long neglected in terms of fiscal policy's interdependence with other main macroeconomic variables. Presented thesis therefore analyses the validity of different fiscal policy models for the case of Czech Republic. Dynamic stochastic general equilibrium (DSGE) framework is used throughout the thesis. Different fiscal policy rules are put into otherwise identical - benchmark - model and the models are compared to each other and to the benchmark model. The analysed fiscal policy models are an acyclical, counter- cyclical, two pro-cyclical and dichotomous spending models. We find that the most plausible fiscal policy rule is of pro-cyclical type and closely follows the model of Alesina et al. (2008). The model assumes that interest groups can steal part of government income through corruption and voters cannot observe it, so they demand maximum fiscal spending in the good times. The logic of this model is in accordance with the current state of fiscal and economic behaviour in Czech Republic.
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