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Austrian Business Cycle Theory and the Recession of 2007-2009 in the US Economy
Stračina, Jakub ; Ryska, Pavel (advisor) ; Mejstřík, Michal (referee)
This paper aims to evaluate merits of the Austrian business cycle theory in explaining the 2001-2009 business cycle in the US economy. The theory postulates that a monetary shock upsets equilibrium in the market for loanable funds and adversely influences coordination mechanisms of the economy. The structure of relative prices is distorted and resources are misallocated as a result. The economy follows an unsustainable investment trajectory inconsistent with the amount of available resources and with the consumer preferences. When the inconsistencies are revealed, some of the investments are liquidated and costly correction follows. After providing exposition of the theory and description of the US economy in 2001-2009, the theory is confronted with the data. Although some deviations are conceded, mainly in development of the labor market, analysis presented in the paper supports the Austrian business cycle theory as a solid theoretical tool for explanation of the economic development throughout the examined period. The theory exhibits its main strengths in accounting for development of relative prices and linking them to conditions in the market for loanable funds.
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The impact of IMF financial aid on economic growth and inflation
Covalenco, Valeri ; Horváth, Roman (advisor) ; Mejstřík, Michal (referee)
The International Monetary Fund was created to promote financial stability, global monetary cooperation, high employment, international trade and sustainable economic growth. Together with the World Bank, IMF has a "monopoly" on offering loan programs for countries in deep crises or for development projects. In this thesis, we examine the effect of IMF, i.e. loan size and quotas, on the economic growth and inflation rate, by applying a dynamic panel regression on our dataset. In addition, we look at how the IMF Quotas influence the size of the loans. Our empirical results display significant evidence that IMF loans influence the GDP growth in a positive manner, in the medium term. Both Control of Corruption and Voice & Accountability have a negative influence on the economic growth. In other words, less corruption and stronger civil rights will halt the growth level of the economy. We also determined that IMF Quotas is not a robust indicator of the loan size. It is only driven by the past loan levels. Regarding Inflation determinants, IMF loans are not affecting the Inflation in a significant manner, while FDI and Control of Corruption - do. FDI exercises a positive influence on the CPI, while perception of less corruption has a negative effect on Inflation rate. JEL Classification D73, E31, F12,...
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Export Decision Support Model for the Czech Republic
Couceiro Vlasak, Carlos ; Mejstřík, Michal (advisor) ; Benáček, Vladimír (referee)
In this paper, an Export Decision Support Model applied to the Czech Republic is developed, with the aim of finding export opportunities. The model functions using a filtering process in which a stream of data composed of numerous socio-economic indicators representing the world trade is analysed. For their construction, an extensive literature review was developed relying strongly on a previous EDSM targeted as well for the Czech Republic, as at the moment no explicit rule exist describing its appropriate composition. Then, if a given market, determined by its associated matrix of indicators, fulfils the conditions of the model, then it is retrieved as an export opportunity. After the model construction, it is supplied with two streams of data, for 2010 and for 2014 and, the hypothesis that for both years the output is equal is evaluated. With the intention to infer if the constructed model needs periodical recalibrations for its appropriate use. Finally, a local sensitivity analysis is deployed uncovering the behaviour of the different parameters of the model, a novel approach not yet implemented in an EDSM tailor made for the Czech Republic. JEL Classification F10, F13, F23, M31 Keywords export opportunity, entrepreneurship, international marketing, sensitivity analysis, trade Author's e-mail...
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The Role of Financial Market in Macro Economic Modeling: Case of Mongolia
Damdinsuren, Batnyam ; Horváth, Roman (advisor) ; Mejstřík, Michal (referee)
- 4 - Abstract In this research we explored role of financial variables in macro modeling and their performance in case of Mongolia. We employed two different models for assessing performance of financial variables in macro modeling, structural VAR model and small scale macro model (SSMM). In doing so, we performed different analysis such as impulse response for seeing how financial variables fit into system and forecasting performance for how accurate model performs after introducing financial variables. So our result suggested that financial variables have substantial role on macro modeling and inclusion of financial variable is performing very good result in terms of forecasting in both models. JEL Classification C01, C51, C53, E12, E52, G17 Keywords Financial markets, Small scale macro model, Structural VAR, Impulse response, Mean absolute errors. Author's e-mail batnyamd@gmail.com Supervisor's e-mail roman.horvath@gmail.com
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European Social Models: what are the Efficiency Consequences?
Karamanová, Eva ; Mejstřík, Michal (advisor) ; Flek, Vladislav (referee)
Personal costs and labor market flexibility are the basic determinants of production and location of foreign investments. Therefore the question of industrial relations and social systems wins the attention of this master thesis. Differences in welfare situation of Europeans are growing. The growth of labor productivity exceeds the growth of real wages. Consequently unit labor costs are falling. The share of wages in the total income is decreasing, but the unemployment is rising. The question of real functioning of tradeoff between wages and unemployment emerges. However there are countries, for exampleDenmark, where social situation has improved and efficiency has risen. This master thesis analyses four European social models, their functioning and outcomes. The thesis highlights models' merits and points out on the shortcomings. The biggest attention is paid to the Danish social model, which successfully represents both the efficiency and equality. The thesis searches whether the Danish flexicurity is the most optimal solution and whether the model is directly applicable in other European countries. At the same time the thesis gives recommendations how to improve the models and tries to find out the possible development.
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Calculation of capital requirements for secured loans according to the rules of the new basel capital accord
Kališová, Lucia ; Pečená, Magda (advisor) ; Mejstřík, Michal (referee)
This diploma thesis deals with the calculation of capital requirements for secured loans according to the rules of the New Basel Capital Accord. Within this context we ask a question in the introduction whether more sophisticated approach leads to lower capital requirements. In the next chapter we describe credit risk and different types of collateral used for credit risk mitigation. Then we provide detailed explanation of different approaches of the Basel Accord, concretely simple and comprehensive approach of Standardized Approach and foundation and advanced approaches of Internal Rating Based Approach. The main part of the thesis is application of these approaches on a simulatedportfolio. By comparison of results we get a positive answer to our question.
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Development of Private Equity Funds in the Czech Republic
Sedláková, Petra ; Mejstřík, Michal (advisor) ; Bubák, Vít (referee)
Private equity has played an important role in financing of non-publicly traded companies since its appearance in the 1950's. Private equity funds were first focused on providing capital for start-up especially technological projects and have later reoriented towards buyouts with high level of leverage thanks to favorable economic situation. Private equity is no longer aimed to support and promote the latest technological innovations, but it rather serves as a tool to improve company's efficiency in the more competitive environment. Thanks to the oversupply of liquidity on the world markets, low interest rates and the potential of the region, the number of financial investors willing to invest in Central and Eastern Europe kept growing in the recent years together with the number of the local private equity funds and private equity focused financial groups. In this thesis, we analyze the development of private equity funds and the overall private equity market in the Czech Republic since 1990 until now within the European context. We will outline the main determinants of private equity activity, trends and obstacles that inhibit further private equity market development in the Czech Republic. In the last part of the thesis, we will focus on the liquidity crisis and its impact on the European versus...
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Regulatory Risk on the Financial Markets and expected Impact of new Basel Accord on their Effectiveness
Hájková, Dagmar ; Teplý, Petr (advisor) ; Mejstřík, Michal (referee)
In my thesis I focus on regulatory risk affecting financial markets effectiveness. I describe specifics of financial markets regulation in Czech Republic and in the World, particularly the development of bank capital adequacy regulation. Further I discuss practical problems connected with implementation of New Basel Accord (Basel II), but also its advantages arising for banks. Last part of my paper is devoted to the evaluation of expected impact of the new rules on the effectiveness of financial markets and to the consideration of future perspectives of financial system regulation.
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Credit Risk Models and Their Relationship with Economic Cycle
Jakubík, Petr ; Teplý, Petr (advisor) ; Mejstřík, Michal (referee)
The significance of credit risk models has increased with the introduction of new Basel accord known as Basel II. The aim of this study is default rate modeling. This thesis follows the two possible approaches of a macro credit risk modeling. First, empirical models are investigated. Second, a latent factor model based on Merton's idea is introduced. Both of these models are derived from individual default probability models. We employed data over the time period from 1988 to 2003 of the Finnish economy in the first part of this thesis. Time series of bankruptcy and firm's numbers were used. Aggregate data for whole economy as well as industry specific data were available. First, linear vector autoregressive models was used in case of dynamic empirical model. We examined how significant macroeconomic indicators determined the default rate in the whole economy and in the industry specific sector. However these models cannot provide microeconomic foundation as latent factor models. We employed a one- factor model in our estimation although, multi-factor models were also considered. A one-factor model was estimated using disaggregated industrial data. This estimation can help understand relation between credit risk and macroeconomic indicators. Obtained results were used in the second part of this...
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