National Repository of Grey Literature 97 records found  1 - 10nextend  jump to record: Search took 0.01 seconds. 
Does Monetary Policy Uncertainty Impact Corporate Innovation? The Case of China
Wang, Jiahui ; Geršl, Adam (advisor) ; Jakubík, Petr (referee)
This paper constructs a panel data model based on the China Monetary Policy Uncertainty Index and combines financial data of Chinese listed companies to investigate the impact of monetary policy uncertainty on companies' R&D investment. The empirical findings show that an increase in monetary policy uncertainty leads to a significant decline in corporate R&D investment. It is further found that monetary policy uncertainty inhibits R&D investment by strengthening the financing constraints of firms; the more abundant the cash flow of firms, the weaker the negative effect of monetary policy uncertainty on R&D investment; and monetary policy uncertainty has a stronger inhibitory effect on innovation in non-state-owned companies than in state-owned companies. JEL Classification F12 Keywords Monetary policy; R&D investment; financing constraints Title Does Monetary Policy Uncertainty Impact Corporate Innovation? The Case of China
Natural Catastrophes and Financial Development
Mikulíková, Pavla ; Horváth, Roman (advisor) ; Jakubík, Petr (referee)
Master's thesis - Natural Catastrophes and Financial Development Pavla Mikul'ıkov'a Academic year 2022/2023 Natural disasters affect lives of many people every year. Using a panel dataset of 214 countries from 1970 to 2021, this thesis analyses the impact of disasters on financial development, namely on depth, efficiency, access, and sta- bility, using fixed effects and system GMM estimators. The main findings imply that depth and stability are negatively affected by disasters, and the impact is more pronounced for lower-income countries. On the other hand, efficiency and access provide no consistent results. There is no type of disasters, e.g., biologi- cal or geophysical, that would have a significant impact on all types of financial development. The effect probably varies due to the different characteristics of disaster types. 1
Leasing Financing and Debt Financing - Determinants and the Linkages with the Economy
Migová, Patrícia ; Pečená, Magda (advisor) ; Jakubík, Petr (referee)
This study examines the macroeconomic and legal determinants of leasing fi- nancing. The dataset used in this thesis is an unbalanced panel. It includes 30 countries and covers the period between 2012 and 2020. The leasing to GDP ratio represents the dependent variable. The key determinants are examined by the dynamic System Generalized method of moments. The results indicate that statistically significant macroeconomic variables are in line with the economic theory. The borrowing interest rate and value-added tax show the most robust results. Moreover, the value-added tax is the most important tax variable that negatively impacts leasing, and it was the only statistically significant regulatory variable. Furthermore, the analysis for the leasing to credit ratio is provided. The results support the existing literature that the corporate tax rate is an important determinant for leasing to credit ratio from the macroeconomic point of view and not only from the firms' perspective. Keywords Leasing financing, Debt financing, panel data models, System GMM estimator
Impact of COVID-19 fiscal measures on Non-Performing Loans
Bajcár, Tomáš ; Jakubík, Petr (advisor) ; Fanta, Nicolas (referee)
We study to which extent fiscal measures related to COVID-19 have mitigated credit risk proxied by non-performing loans (NPLs) in selected European countries. In this respect, we control for the macroeconomic and bank-specific determinants of non-performing loans. We limit our empirical analysis to NPLs and fiscal measures that aimed at non-financial corporations. We utilize a quarterly panel dataset covering the period from 2019 to 2021. We further employ split according to sectors of economic activity and cover 423 sectors in 23 European countries. The difference GMM estimation for dynamic panel data is utilized. Our empirical analysis suggests that the following variables significantly affect NPL ratios: economic growth, employment, nominal effective exchange rate and return on equity. In the case of the fiscal measures, public guarantees and tax reliefs were found to have a statistically significant and negative effect on NPLs. This finding supports the notion that during the COVID-19 pandemic, loan guarantees and lower tax burdens helped businesses maintain liquidity and solvency, which resulted in reduction of NPL ratios. Contrary, loan moratoria were found to positively affect NPL ratios. There is mixed evidence regarding direct grants and no empirical evidence was found in the case of...
Interbank contagion under the Basel III regulatory framework
Chleboun, Jakub ; Jakubík, Petr (advisor) ; Lešanovská, Jitka (referee)
This study assesses the impact of the Basel III regulatory framework on interbank contagion. It focuses on the direct interbank contagion that spreads via interbank foreign claims among national banking sectors. A balance sheet-based network model employs the quarterly consolidated banking statistics, collected by the Bank for International Settlements, to simulate the consequences of credit and funding shock under stressed market conditions. Compared to the Basel II, the Basel III regulatory framework reduces the probability of interbank contagion (following a simulated default of one banking sector) from 31% to 14% and lowers the impact of contagion by 63% in terms of average loss for a banking sector. The simulations under both regulatory frameworks show that relatively smaller banking sectors can trigger severe interbank contagion comparable to large banking sectors. Throughout the 2005-2009 period, the Basel III regulatory framework stabilizes the fluctuations of the scope of interbank contagion.
New Collective Investment Possibilities in the Czech Republic (Perspective Future of Property Funds?)
Vostrovská, Diana ; Pečená, Magda (advisor) ; Jakubík, Petr (referee)
Collective investment in the Czech Republic has gone through significant development during past decades and currently plays an important role on financial markets. The amendment of the Act on Collective Investment enabled the creation of property funds, which can be set up as special funds of qualified investor funds. The study starts with the general overview of the Czech collective investment market its structure, history and present. Furthermore, legal norms which determine the conception of property funds are specified. The study draws from the experience of foreign states and mostly focuses on Germany and USA. Property funds already have their own history there. Last but not least, the main aspects of property funds business are analyzed in context of international competitive advantages by analyzing the characteristics of indirect real-estate investments, tax system, development of the local realestate market and European legislation
Prediction of Stock Returns using Financial Statement
Hájková, Petra ; Jakubík, Petr (advisor) ; Hollmannová, Monika (referee)
This thesis should contribute to research in the area of fundamental analysis. Its aim is to study whether financial statement data of Czech non-financial companies capture information that is not reflected in prices. Therefore, the question is whether investment strategy based on financial statement analysis could earn excess returns. In order to test this hypothesis, a three-step estimation procedure based on a logit model is used to identify financial ratios relevant for prediction of future earnings. The final estimated model includes four financial ratios and is then used to set a one-year investment strategy. Although the performance of the estimated model is not too sound, this investment strategy brings positive abnormal returns during the monitored period of time. Despite the fact that results were influenced by several factors, they could indicate that financial statement analysis of companies listed on the Prague Stock Exchange is able to predict stock returns.
Counterparty credit risk modelling
Volek, Mikoláš ; Teplý, Petr (advisor) ; Jakubík, Petr (referee)
Counterparty credit risk is an important type of financial risk. The importance of proper counterparty risk management became most apparent in the wake of the 2008 series of failures of several large banks. Correlation of market factors is an important issue in the calculation of CVA. A notable case of correlation is wrong-way risk which occurs whenever the probability of default of the counterparty is positively correlated with exposure. The basic formulas for CVA and basic counterparty credit risk models do not account for wrong-way risk because its modeling is nontrivial. This thesis aims to answer how well can the impact of wrong-way risk on CVA be approximated with an add-on which only depends on correlation between the price of the underlying asset and the credit spread of the counterparty. The thesis is supplemented by a fully documented implementation of the model in the Mathematica software.
Czech household indebtedness and credit risk
Varhoľová, Eva ; Jakubík, Petr (advisor) ; Marková, Katarína (referee)
This thesis deals with an analysis of indebtedness of the Czech households and, as a consequence with the credit risk for banks and financial institutions. It points out the important role of the household sector in consumption and formation of savings. Main indicators of Czech households are discussed - the development of financial assets, liabilities and wealth. The thesis also provides comparison of the household sector in the Czech Republic with the other countries of the EU. Main objective of this thesis is construction of a model, which on the aggregated data for the Czech Republic captures the mutual dependency of non-performing loans provided to the households to the development of macroeconomic indicators. Selected model of vector autoregression enables the analysis of mutual relations between the loans provided for the households, share of the non-performing loans, development of GDP, interest rates, unemployment, consumption expenditures and the house prices. The thesis concludes with the prediction of indebtedness of the Czech households and together with the results of stress tests provided by the Czech National Bank estimates the resistance of the financial system to the household credit risk.
Deposit insurance in the European Union
Holá, Veronika ; Jakubík, Petr (advisor) ; Hájek, Filip (referee)
This thesis examines deposit guarantee schemes in the member states of the European Union. Our aim is to describe the present situation and analyze deposit insurance schemes in the context of financial safety nets. We focus mainly on cross-boarder issues and differences in deposit insurance coverage (scope, coverage limits). The paper deals mainly with changes of the rules which were introduced at the end of year 2008, and concerns with the amended Directive on Deposit Guarantee Schemes. Empirical analysis concentrates on the impact of state guarantees on the deposit grow rate in individual states. In the final part, we discuss the consequences of recent development and possible future progress.

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