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Informative value of the cost efficiency concept in banking
Marková, Katarína ; Mejstřík, Michal (advisor) ; Pečená, Magda (referee)
The concept of cost efficiency has repeatedly been proven to have some signaling effect for the risk of a bank failure. In this paper we examine the informative value of the efficiency scores of institutions that have been experiencing distress within the current 'subprime' crisis. For this purpose we employ the parametric stochastic cost frontier method and estimate the cost frontier of five European banking sectors using the pre-crisis data of the period 2004- 2007. On a sample of 18 bailed-out institutions we then investigate whether abnormal development in terms of relative cost efficiency preceded the distress. We find that in all examined sectors, except of the British one, distressed institutions performed prior to the crisis on average worse than their peers in terms of relative cost efficiency. Besides, we observe that while the high-profile rescue cases of continental Europe (Dexia, Fortis, HRE) were preceded by years of excessively poor performance, the bailed-out British banks were in all concerns best performers within their relevant industries. The paper is concluded by a discussion of the fundamental risks that result from the current reshaping of the European banking industry.
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Effects of LTV, DTI and DSTI ratios on retail mortgage market. Evidence from the Czech Republic
Mičková, Anna ; Pečená, Magda (advisor) ; Hanus, Luboš (referee)
The thesis analyses the effects of credit-related borrower-based macroprudential measures - loan-to-value (LTV), debt-to-income (DTI) and debt service-to-income (DSTI) ratios - on retail mortgage market in the Czech Republic. These lending instruments, which target mainly borrowers and restrict the amount of money borrowed relative to the value of underlying collateral (LTV) or client's disposable income (DTI, DSTI), represent a non-negligible part of macroprudential policy. This entry barrier should act in a preventive manner to protect borrowers from taking high-amount and high-risk mortgages and eventually curb excessive private sector leverage. After the introduction and implementation of limits in the Czech Republic, the supply of loans with risky parameters declined, the share of non-performing mortgage loans decreased, and the rise in house price index decelerated. In 2019, the volume of new mortgage loans declined by 13.6 % year-over-year compared to the previous year and the spiral between increasing credit financing of property purchases and rising property prices slightly weakened.
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Evolution of housing prices and its determinants in CEE
Šedivý, Jakub ; Polák, Petr (advisor) ; Pečená, Magda (referee)
As housing is one of the important parts of gross domestic product and one of the most significant components of people's wealth it is vital to investigate the determinants of its prices. Therefore, we analyze housing prices in Central and Eastern European coun- tries using pooled mean group estimator and vector autoregressive models. The objective of this thesis is to find out whether the fundamentals of housing prices are comparable across different countries and how the shocks in the economy affect housing pricese. For our analysis we used housing prices per square metre, GDP per capita, unemployment rates, 5-year interest rates, harmonised indices of consumer prices and construction cost indices. The conclusions of using pooled mean group estimator suggest that GDP, un- employment, interest rate and HICP indeed significantly affect the housing prices. The results of empirical analysis of individual countries using vector autoregressive model con- clude that shocks in the determinants affect housing prices with lags of 2 to 3 quarters and that the individual countries are driven by slightly different fundamentals.
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Non-Performing Loans - Determinants, the Development over Time and the Impact on Banks and the Real Economy
Kafková, Kateřina ; Pečená, Magda (advisor) ; Fanta, Nicolas (referee)
Non-Performing Loans - Determinants, Development over Time and the Impact on Banks and the Real Economy Author: Kateřina Kafková Abstract This thesis explains the concept of non-performing loans (NPL) and analyses factors determining the share of NPLs in total gross loans provided in the Czech Republic. A panel of 24 banks operating in the Czech Republic with annual data from 2010-2019 is analysed. The main estimation method that is used is the difference Generalized Method of Moments. The possible determinants that are examined come from both macroeconomic and banking environment. The results of the estimation provide evidence of the existence of a connection between the NPL ratio and the macroeconomic factors, of which the effect of inflation and unemployment was the most significant. Also, the estimation confirms that the NPL ratio is significantly influenced by the bank-specific determinants, specifically by the effect of the previous values of the NPL ratio and the effect of credit growth. Finally, the thesis discusses the reversed effect - the effect of NPLs on the real economy.
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The Resolution Fund: Is behaviour of the contributing institutions affected by the applied methodology?
Hykl, Daniel ; Pečená, Magda (advisor) ; Džmuráňová, Hana (referee)
Daniel Hykl Bachelor Thesis The Resolution Fund: Is behaviour of the contributing institutions affected by the applied methodology? Abstract The thesis provides theoretical analysis of the Resolution Fund contributions determination policy - the contributions are calculated based on end of year data - and its effects on banks and the financial sector. Several theoretical examples are used to demonstrate the problem of the top-down approach to distribution of the sectoral contributions on the particular institutions. A hypothesis is drawn - do the banks lower their reported liabilities as of end of the year to achieve decreased contributions? Total liabilities of the 7 largest banks in the Czech Republic are analysed and theoretical end of year developments of total liabilities of the banks under no optimisation condition are calculated. Basic annual contributions of the banks are estimated and compared to implied contributions calculated from the theoretical liabilities.
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Impact of Regional Differences on P2P Lending, Evidence from China
Liang, Na ; Pečená, Magda (advisor) ; Semerák, Vilém (referee)
Taking the representative P2P lending platform Renrendai as an example, this paper focuses on the impact of borrower's region on the behavior of lenders and borrowers in the market. According to the Chinese six geographical regions the borrowers are from, this paper empirically analyzes the difference of success rate of borrowing and default rate in the six regions using the binary logistic regression model and further studies the reasons behind the regional difference. The result shows that the impact of regional difference is significant and the borrower from northern China are more likely to fund successfully, but the impact of regional difference on the default rate is insignificant, and the economic, financial and education development level in regions have a significant impact on the success rate of borrowing. This paper studies the regulatory differences of P2P platforms in various regions of China, the result shows that eastern China, central and southern China, and Beijing (in northern China) have paid more attention and importance to the regulation of P2P platforms. Keywords ： China; P2P lending; the success rate of borrowing; regional difference; regulation policy
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Bank credit risk management in the low-interest rate environment
Maivald, Matěj ; Teplý, Petr (advisor) ; Pečená, Magda (referee)
The thesis examines the relation of the low-interest rate environment to the banks' selected credit risk measures with a panel dataset on banks in Eurozone, Denmark, Japan, Sweden, and Switzerland covering the period 2011-2017. It employs a system GMM framework and a combination of bank-related and macroeconomic variables. This study builds on recent literature on effects of low-interest rates on banks' profitability and estimates the following three hypotheses: The potential effects of the low-interest rate on non-performing loans (NPL) ratio, risk-weighted assets (RWA) to total assets ratio, and changes in Tier 1 capital ratio. There are three main results: Firstly, the results suggest that a prolonged period of negative monetary interest rate can affect the NPL ratio and reveal a possible relationship between the 3M-interbank interest rate and NPL ratio. Thus, the thesis does not reject the first hypotheses. However, it rejects these hypotheses in case of the other two ratios. Secondly, the study finds a bank heterogeneity to be a significant determinant of the credit risk. Finally, using recent data, this thesis contributes to the literature focusing on the drivers of the NPL ratio, RWA to total assets ratio and Tier 1 capital ratio, where in case of the latter two the existing research is...
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