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Macroprudential regulation of the housing market
Petrouš, Michal ; Hlaváček, Michal (advisor) ; Moravcová, Michala (referee)
Housing market has a considerable impact on the macroeconomic stability. There is an attempt to regulate housing market using a set of macroprudential tools. The first aim of this thesis is to describe and compare macroprudential regulation aiming at the contract between lenders and borrowers in the European Union and Norway. The second aim is to assess the influence of central banks in macroprudential policy-making on the probability that these instruments are implemented. The probability is estimated using a probit model. The comparison shows that there are considerable differences in implemented regulation between individual countries and that countries with high proportion of foreign currency denominated loans use macroprudential measures to mitigate borrowing in foreign currencies. Using the data from the European union and Norway, statistically significant influence of central bank involvement was not identified. The effect of central bank became significant when using larger dataset including non-European countries. In this dataset, the leading role of central bank is associated with lower probability that instruments targeting borrowers are implemented.
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Housing Stock Analysis in the Regions of the Czech Republic
Bendžíková, Iva ; Hlaváček, Michal (advisor) ; Klinger, Tomáš (referee)
Housing capacity forms an important part of life of every society, and therefore it is important and interesting to examine this phenomenon more closely. The most comprehensive amount of data on this phenomenon provides Population and Housing Census conducted regularly by the Czech Statistical Office. The main objective of this work, using these and many other available sources, that are not only from the Czech Statistical Office, is a detailed analysis of the housing and residential capacity of the Czech Republic, that enable a global view on the issue. First, I focused on financing of the housing needs as a key factor for further development of the housing capacity. Then I looked at individual parameters, which characterized apartments and houses and circumstances that affect their appearance. Subsequently I examined the factors that influence the number of dwellings completed using real quarterly data from the Czech environment from the period 2000-2015. Regression analysis demonstrated the expected effect of variables such as average gross monthly wages and gross domestic product. But surprisingly, net migration and natural increase of population became a significant variable, which confirmed the influence of socioeconomic factors in the development and expansion of the housing capacity.
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The Effects of Monetary Policy on Real Estate Market: a SVAR Analysis
Stirba, Pavel ; Čech, František (advisor) ; Hlaváček, Michal (referee)
This thesis empirically investigates the effects of monetary policy instruments on the real estate market for the following countries: Germany, France, the Netherlands, Spain and the United Kingdom, using a Structural Vector Autoregression model (SVAR) with Choleski recursive identification. This was done from the three different aspects: interest rate, scale of credit, and output. The covered period lasts from the first quarter of 2005 and then varies, depending on the country. The Wu-Xia shadow rate was used as a proxy for the interest rate, households' debt was used as a proxy for scale of credit, and real GDP was used as a proxy for the output. As the output of the analysis, we used the impulse response functions (IRF) and forecast errors variance decomposition (FEVD). The results suggest that the Residential Property Prices (RPPI) in every country react positively to an output shock and negatively to interest rates (except Spain). The effect of household debt on RPPI and statistical significance of intervals depend on the country observed.
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Impact of the CNB's interventions on the economz and comparison with other countries
Pjontek, Matej ; Hlaváček, Michal (advisor) ; Břízová, Pavla (referee)
This bachelor thesis analyzes influence of foreign exchange intervention of CNB on economy and compare it with influences of foreign exchange intervention of SNB and BOI on their economies. At first, we compare foreign exchange interventions and development of economies (banking sector, foreign trade,...) of Czech Republic, Switzerland and Israel. A hypothesis of efficiency of foreign exchange interventions of CNB, SNB and BOI is tested on specific empirical data. The bachelor thesis describes VAR model for given countries with basic macroeconomic variables (GDP growth, money supply, inflation, interest rate, nominal effective exchange rate and balance of current account of balance of payments). The results of model show on relative efficiency of foreign exchange interventions i.e. SNB mitigated influence of appreciation of CHF, CNB supported GDP growth and BOI increased foreign exchange reserves and supported GDP growth.
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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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Topics in Real Estate Analysis and Macroprudential Policy
Hejlová, Hana ; Hlaváček, Michal (advisor) ; Geršl, Adam (referee) ; Olszewski, Krzysztof (referee) ; Rychtárik, Štefan (referee)
This dissertation thesis consists of three chapters devoted to analyzing residential and commercial real estate prices, assessing risks related to residential real estate exposures for financial stability, and calibrating borrower-based macroprudential measures to address those risks. Each chapter presents a general approach(es), which can be used - after certain adjustments - for similar analyses across countries and application to the Czech Republic or the CEE countries. In Chapter 1, we first show the application of a standard inverted demand model of the equilibrium house prices, which we extend to take into account the population ageing in the Czech Republic with potential impact on the effective demand for owner- occupied housing. Then, we present an alternative model that considers possible amplification between house prices, mortgage credit, and the real economy and investigates whether non-linearities in the short-term house price dynamic are present in the Czech Republic. By this, we extend the scarce empirical literature on non-linearities in house prices. Next, we abstract from economic determinants of house prices, which may lead to biased results if procyclical, and analyze the interaction between asking and transaction prices as a kind of revealed expectations of buyers and sellers...
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Housing Prices in the Czech Republic and Slovakia: Regional Comparison
Cempírek, Petr ; Hlaváček, Michal (advisor) ; Žigraiová, Diana (referee)
The objective of the present Bachelor's thesis is to compare the behavior of housing prices in the Czech Republic and Slovakia using econometric analysis. First, the author presents the historical context and basic housing indicators. After verifying that variables in dataset are cointegrated, a panel DOLS es- timator for modelling housing prices is employed. The author uses quarterly regional data in order to analyze the response of basic housing price fundamen- tals in the two countries that formed one federation until 1992. By forming a short run equation with an error-correction term the author checks for the existence of long run housing price equilibrium and for the speed of price rever- sion to equilibrium in case it is misaligned. The author then focuses on housing price misalignments as well as their dynamics in the individual regions.
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Unemployment in the Czech Republic
Klečka, Michal ; Hlaváček, Michal (advisor) ; Kvaček, Jan (referee)
This paper is aimed at analysis of unemployment in the Czech regions. The key thing is the effort to create a simple model which determinates unemployment in regions. To this, three basic factors are used - inflation, outcome and criminality as they represent fiscal, monetary and social policies. Firstly, the effects of these factors are tested separately by OLS to find their mutual correlation. The average effects of dependence between factors and unemployment in regions are also established by using panel regression. Original and static Phillip's curves are used to measure the impact of level of unemployment on the inflation. The expanded model of Phillip's curve and the dynamic model of natural level of unemployment are used to estimate natural levels of unemployment in regions. The difference version of Okun's law is used to estimate the impact of economy outcome on the level of unemployment. Subsequently, the extended model of Okun's law is used to distinguish the effect of economic cycle on this impact. Correlation of level of unemployment with criminality is measured by simple model, where the change of the first variable is determined by the change of the second variable. All this knowledge is used to create the complex model, which explains the change of the level of unemployment in...
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The 2007 credit crisis: causes, evolution, and its consequences
Vrzal, Jan ; Geršl, Adam (advisor) ; Hlaváček, Michal (referee)
In August 2007, a financial crisis started and spread all over the developed world, as a result of the collapse of structured financial products that were connected to the defaulting sub-prime segment of American mortgage market. This diploma thesis is divided into six chapters. After a brief overview of recent financial crises and basic models of such crises in chapter 1, chapter 2, characterizing the global macroeconomic situation in 2000s, follows. The next part - chapter 3 - analyzes the American housing market, its main features and the recent development - the housing bubble. The mortgage market is discussed, as well. Further in chapter 4, the phenomenon of securitization and structured products is described. Chapter 5 focuses on the development on financial markets in 2007 and at the beginning of 2008, too - that means it describes the situation before the crises and the crises itself. Finally, Chapter 8 offers an overview of the main causes of the market breakdown. Moreover, signals foreseeing the turmoil are discussed, as well as its possible consequences.
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The Predictive Power of The Yield Curve: Some Empirical Evidence
Jamriška, Jozef ; Hlaváček, Michal (advisor) ; Derviz, Alexis (referee)
Economists often use complex mathematical models to forecast the future path of the economy and the likelihood of recession. But more simple indicators such as interest rates, stock price indices, and monetary aggregates also contain some relevant information about future economic activity. In this thesis we revisit the usefulness of one such indicator, the yield curve or, more specifically, the spread between the interest rates on the ten-year Treasury note and the three-month Treasury bill. By using four different models we examine whether the yield spread has still some predicitve power for future real GDP growth in selected european countries. What is more, we are comparing the predictive power of the yield spread with different variables, both in- sample and out-of-sample. We decompose the yield spread into expectations effect and term premium effect in order to investigate which factor contributes more to predicting real GDP growth. Using modified definition of recession we conclude that that yield spread still contains some useful information for predicting future economic activity, although its predictive power deteriorates.
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