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Using of Macroprudential Policy and Risk Indicarors for Financial Markets Regulation
Šimáček, Milan ; Daňhel, Jaroslav (advisor) ; Musílek, Petr (referee) ; Řežábek, Pavel (referee)
This dissertation provides a complex study of systemic financial risk and its quantification. In the first part, the paper summarizes the main assumptions and tools of macroprudential policy, which became an important regulatory policy after the financial crisis of 2007-2009. The main parts of the paper deal with the construction of indicators of financial systemic risk and stress, where the paper distinguishes the quantitative expression of the contemporaneous financial stress from the continually developing systemic risk. The paper analyzes several methods of financial stress index construction, whose main task is to identify the contemporaneous rate of risk in different sectors of financial system using market prices of assets. The outcome of the paper is the identification and historical description of periods of heightened financial stress and the recognition of a regional character of the periods of stress. Apart from the index of the contemporaneous stress of financial system, the paper brings a systemic risk indicator, which captures the development of systemic risk in time, and which is a suitable leading indicator for the identification of periods of financial stress. The systemic risk indicator has identified, with a lead of two to three years, the increasing risk of the banking sectors of the countries in the region before the onset of the financial crisis of 2007-2009. In the conclusion, the paper points out the suitability of both indicators for the calculation of the amount of countercyclical capital buffer used in the new Basel III measures.
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Měnová politika a její synchronizace s fiskální politikou: vliv na hospodářský růst a inflaci
Řežábek, Pavel ; Schwarz, Jiří (advisor) ; Holman, Robert (referee) ; Komárek, Luboš (referee) ; Šimáček, Milan (referee)
The dissertation deals with the interplay of fiscal and monetary policy in face of uncertainty about the estimation of the true output gap. Theoretical framework of the dissertation set this interplay of monetary and fiscal policy into the realm of game theory, in particularly non-cooperative games of the Nash and Stackelberg equilibrium, respectively. The theoretical framework continued with a description of various methods used for estimation of potential output and output gap, with a special emphasis on methods used in both the Czech National Bank and Czech Ministry of Finance. In the applied part of the dissertation, I studied the interplay of monetary and fiscal policy in the case of Czech economy facing an uncertainty about the estimation of the true output gap. I studied the impact of this interplay on major macroeconomic variables and I tried to determine, which of these two policies plays the role of a leader and which plays the role of a follower in the case of Czech economic environment.
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American mortgage crisis
Pšurná, Pavla ; Šimáček, Milan (advisor)
This bachelor thesis focuses on mortgege crisis in the USA. The thesis consits of 3 section. The first part deals with the financial crises in general. The second section deals with the mortgage crisis in the USA. This section is devided into 3 chapter, chapet 1 describes the situation in the USA at the beginning of the crisis, the next chapter 2 focuses on mortgage and real estate market and shows the causes and behavior of the crisis. The last chapter summarizes the situation at the financial market, including the impact of the crisis and remedial measure that might help in recovering economy. The last section discuss about Europe, mainly the crisis impact on european union countries and their economies. The thesis analyses the condition of czech economy in context of the mortagage crisis. The thesis provides comprehensive view of the mortgage crisis and shows the situation of american economy since the year 2000.
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