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Bank Liquidity Creation and Real Economy: VAR Analysis
Hálová, Klára ; Horváth, Roman (advisor) ; Kruchynenko, Ihor (referee)
In this thesis we examine the interactions of bank liquidity creation and real economy using vector autoregression model. We selected inflation, unemployment rate and interest rate as basic economic variables which theoretically could influence bank liquidity creation. We decided to examine the reverse relationship whether bank liquidity creation has a significant impact on real economy. We study these interactions using data from Czech Republic within ten-year period from 2000 to 2010. Our results suggest that macroeconomic fluctuations have a significant impact on bank liquidity creation. The results also support our reverse hypothesis that higher liquidity creation can improve macroeconomic conditions.
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The determinants of access to finance: evidence for transition economies
Cazachevici, Alina ; Horváth, Roman (advisor) ; Benáček, Vladimír (referee)
Charles University in Prague Faculty of Social Sciences Institute of Economic Studies MASTER THESIS The determinants of access to finance. Evidence for transition economies Author: Alina Cazachevici Supervisor: Roman Horvath, Ph.D. Academic Year: 2012/2013 Abstract The thesis provides an empirical analysis of impact of country-level and firm-level determinants on access to finance in transition economies. Generalized Ordered Logit model is applied on survey data for transition countries, combined with financial market indicators. The results show that higher concentration in banking sector, as well as higher financial deepening have a positive impact on access to finance, while volatile macroeconomic environment, higher implication of foreign-owned and state- owned banks seems to be perceived as increasing obstacles in accessing external financing. Combining indexes for liberalization in banking sector and liberalization of securities markets proved that before liberalization process firms had better access to finance. One of the possible explanations is that before liberalization state banks were forced by politicians to issue more loans, while after reforms the political pressure was removed, imposing stricter conditions for loan granting. Inclusion of corruption variable yields expectable results that...
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Foreign and Domestic Currency Loans in Central Europe: An Empirical Analysis
Burešová, Nikola ; Horváth, Roman (advisor) ; Kruchynenko, Ihor (referee)
This thesis describes the history and present situation of dollarization process and analyzes the situation in three new EU member states. It describes the development of the official and unofficial dollarization of credits and deposits, and concludes the results of previous studies. Furthermore, it provides a detailed analysis of situation concerning borrowing denominated in foreign currencies in the Czech, Hungarian and Polish household sector, for the period of last eleven years. The empirical analysis investigates the determinants of foreign currency loans in a household sector. Using three different panel data regressions, we found that share of foreign currency denominated loans in examined countries are positively influenced by dollarization of deposits, banks' net foreign assets and loan to deposit ratio. Other tested variables, such as EU membership, interest rate differential or exchange rate volatility, changes their significance and impact according to the model or the method used. Their impact on a dependent variable is insignificant and not stable. JEL Classification E44, G21 Keywords Foreign currency borrowing, dollarization, household sector, Central Europe Author's e-mail Nikola.Buresova@seznam.cz Supervisor's e-mail Roman.Horvath@gmail.com Bibliographic Record Burešová, N (2013):...
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Asian Financial Linkages: The Case of Japan
Fialová, Anežka ; Horváth, Roman (advisor) ; Turnovec, František (referee)
This work reviews the topic of international financial linkages, including theoretical definitions and the main methodological approaches of the empirical measurement based on vector autoregressive models. One of the approaches, the Spillover Index methodology based on Diebold & Yilmaz (2009), is then used to analyze the developments of financial linkages of the Japanese stock market in the period from 1995 to 2012. The attention is paid both to the relations with western developed economies and within the region of East Asia. The main contribution of this paper is the fact that it comprises a complete review of international relations of Japanese stock market during the era of unprecedented financial liberalization. The results of the empirical study confirm the opening of Japanese stock markets towards foreign influence. Even though USA have been the major driving force behind the movements in East Asian stock markets, Japan has become a significant regional player, whose influence on East Asian countries has been growing. The developments in the Japanese stock market are on the other hand driven solely by the western developed countries, which further supports the view of Japan as the regional financial leader.
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Asian Financial Linkages: The Case of Japan
Fialová, Anežka ; Horváth, Roman (advisor) ; Turnovec, František (referee)
This work reviews the topic of international financial linkages, including theoretical definitions and the main methodological approaches of the empirical measurement based on vector autoregressive models. One of the approaches, the Spillover Index methodology based on Diebold & Yilmaz (2009), is then used to analyze the developments of financial linkages of the Japanese stock market in the period from 1995 to 2012. The attention is paid both to the relations with western developed economies and within the region of East Asia. The main contribution of this paper is the fact that it comprises a complete review of international relations of Japanese stock market during the era of unprecedented financial liberalization. The results of the empirical study confirm the opening of Japanese stock markets towards foreign influence. Even though USA have been the major driving force behind the movements in East Asian stock markets, Japan has become a significant regional player, whose influence on East Asian countries has been growing. The developments in the Japanese stock market are on the other hand driven solely by the western developed countries, which further supports the view of Japan as the regional financial leader.
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Volatility Spillovers in New Member States: A Bayesian Model
Janhuba, Radek ; Horváth, Roman (advisor) ; Červinka, Michal (referee)
Volatility spillovers in stock markets have become an important phenomenon, especially in times of crises. Mechanisms of shock transmission from one market to another are important for the international portfolio diversification. Our thesis examines impulse responses and variance decomposition of main stock indices in emerging Central European markets (Czech Republic, Poland, Slovakia and Hungary) in the period of January 2007 to August 2009. Two models are used: A vector autoregression (VAR) model with constant variance of residuals and a time varying parameter vector autoregression (TVP-VAR) model with a stochastic volatility. Opposingly of other comparable studies, Bayesian methods are used in both models. Our results confirm the presence of volatility spillovers among all markets. Interestingly, we find significant opposite transmission of shocks from Czech Republic to Poland and Hungary, suggesting that investors see the Central European exchanges as separate markets. Powered by TCPDF (www.tcpdf.org)
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Forecasting and nowcasting power of confidence indikators:Evidence for Central Europe
Herrmannová, Lenka ; Horváth, Roman (advisor) ; Mikolášek, Jakub (referee)
This thesis assesses the usefulness of confidence indicators for nowcasting and short term forecasting of the economic activity in the Czech Republic and three other Central European countries. The predictive power of both the Czech business confidence indicator and the customer confidence indicator is examined using two empirical approaches. First we predict the likelihood of economic downturn using logit models, later we estimate GDP growth out of sample forecasts in the framework of vector autoregression models. The results obtained from the downturn probability models confirm the ability of confidence indicators (especially the business confidence indicator) to estimate the current economic situation, so called nowcast. Results from the out-of-sample GDP growth value forecasting are ambiguous. Nevertheless the customer confidence indicator significantly improved original forecasts based on the model with standard macroeconomic variables and therefore we conclude in favour of its predictive power. Cross- country comparison confirms economic downturn nowcasting power of confidence indices in Hungary and Poland and fails to confirm such an ability of Slovak confidence indicators. One-quarter-ahead forecasts brought mixed results and therefore we conclude that nowcasting and forecasting properties of...
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Inflation targeting and inflation perceptions: an empirical analysis
Klubíčková, Kateřina ; Horváth, Roman (advisor) ; Janský, Petr (referee)
In this thesis we examine the effect of introduction of inflation targeting as a monetary policy regime on the difference between actual inflation and perceived inflation. Perceived inflation is used in the analysis in contrast with previous research, because inflation perceptions are extracted from consumer surveys conducted in individual European Union countries on the whole population sample and thereby enable us to examine the effect that the introduction of inflation targeting has across the whole population. A panel data set of 19 European Union members and 1 candidate, including 7 inflation targeters, is used in the analysis, with monthly information from the period beginning in January 1990 and ending in December 2012. Based on the analysis using fixed-effects model with specific dummy variables to capture the difference-in-differences element, we find that inflation targeters experience lower differences between actual and perceived inflation and that the difference between actual and perceived inflation decreases after the introduction of inflation targeting. Furthermore, various groups divided according to socio-economic characteristics of the consumer survey respondents tend to be affected in a different way by the introduction of inflation targeting, although to a limited extent. JEL...
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Central Bank Transparency and Price Stability
Katuščáková, Dominika ; Horváth, Roman (advisor) ; Luňáčková, Petra (referee)
The thesis investigates the central bank transparency employing the Monetary Policy Transparency Index. The main objective is to investigate recent trends in the central bank transparency. First, the level of monetary policy transparency is investigated from various aspects, as, for instance, time or geographical aspect. In the next part, all the data are averaged and linear regression analysis is carried out to detect the determinants of the monetary policy which explain the variation among the individual central banks. Finally, panel regressions are conducted to explore the time variation in the monetary policy transparency in the countries. Throughout the text, all the results are compared with the results presented in the paper by Dincer & Eichengreen (2009). The data show that the overall time trend in the level of monetary transparency is increasing. It can be concluded that inflation targeters are generally more transparent than countries with other frameworks. The same applies to advanced countries and emerging and developing countries. The de facto exchange rate regime and all political variables used significantly determine the variation in the monetary policy transparency comparing individual countries. GDP per capita and financial depth significantly influence the time variation in the...
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Inflation targeting and inflation perceptions: an empirical analysis
Klubíčková, Kateřina ; Horváth, Roman (advisor) ; Janský, Petr (referee)
In this thesis I examine the effect of introduction of inflation targeting as a monetary policy regime on the difference between actual inflation and perceived inflation. Perceived inflation is used in the analysis in contrast with previous research, because inflation perceptions are extracted from consumer surveys conducted in individual European Union countries on the whole population sample and thereby enable me to examine the effect that the introduction of inflation targeting has across the whole population. A panel data set of 19 European Union members and 1 candidate, including 7 inflation targeters, is used in the analysis, with monthly information from the period beginning in January 1990 and ending in December 2012. Based on the analysis using fixed-effects model with specific dummy variables to capture the difference-in-differences element, I find that inflation targeters experience lower differences between actual and perceived inflation and that the difference between actual and perceived inflation decreases after the introduction of inflation targeting. Furthermore, various groups divided according to socio-economic characteristics of the consumer survey respondents tend to be affected in a different way by the introduction of inflation targeting, although to a limited extent. JEL...
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