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The impact of the financial crisis on the U.S. bond market
Ševčík, Marek ; Pavlík, Zdeněk (advisor) ; Čajka, Radek (referee)
The thesis analyses the impact of the financial crises on the U.S. bond market. Theoretical part deals with the factors affecting the value of bonds and deals with the processes in the american bond market. The main goal of the practical part is to analyse the U.S. bond market after the bankruptcy of Lehman Brothers, analyse changes in the monetary policy of the Federal Reserve and changes in yields of the government obligations, selected derivatives and assets. Primarily, there will be compared annual return on government bonds to annual return on stock in the period of the financial crisis.
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European imbalances and the debt crisis in Europe
Razumnova, Alexandra ; Hnát, Pavel (advisor) ; Bič, Josef (referee)
The imbalances within the Euro-zone were the main reasons of the crisis that had led to the growing budget deficits in the Southern Europe resulting in the accumulation of unsustainable debt. The imbalances were caused by the declining competitiveness of the South vis-s-vis the North. The main causes of the declining competitiveness are the differences in unit labor costs invoked by different regulations concerning the labor markets in the Euro-zone countries and the diverging levels of productivity, which is liked with the different levels of technological advancement. The contributing factor is the institutional imperfections of the EMU, that did not allow the countries in Southern Europe to restore their competitiveness by traditional means without providing them with alternatives.
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Česká swapová křivka, ekonomické fundamenty a finanční trhy
Pohl, Martin ; Málek, Jiří (advisor) ; Kodera, Jan (referee) ; Lukáš, Ladislav (referee)
We focus on Czech swap market in a broader context of economic and financial development and we provide extensive empirical evidence that swaps have many features of a "risk-free" asset. They are traded with sufficient liquidity and low transaction costs that make them attractive for investors. Swap curve dynamics may be decomposed into level, slope and curvature parameters known from bond markets.Level and slope parameter may be interpreted by Taylor rule like functions in terms of output gap and inflation. Level reflects mainly inflation expectations and its sensitivity to output gap is small. Slope parameter is highly sensitive to business cycle fluctuations and inflation deviation from CNB's target. Domestic monetary policy remains an important determinant of swap curve parameters with gradual market reaction. Czech swap rates are closely connected to Euro swap rates. We found level factors to be cointegrated and also slope and curvature exhibit strong sensitivity to Euro rates. Financial variables don't seem to have large impact on swap rates with the exemption of global equity markets, where we found positive correlation between level and SP500 returns. In contrast, Czech government bonds have many features historically connected to corporate bonds such as positive correlation with risky assets and business cycle fluctuations. Government bonds also showed large volatility and rising risk premia in the 2008/2009 financial crisis. Finally, we estimated forward premium and we found large and rising premium and limited support for expectation theory.
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Financing of state budget with focus on money market instruments
Nožka, Radek ; Radová, Jarmila (advisor) ; Veselý, Marek (referee)
The main theme of this work is the deficit of the state budget of the Czech Republic and money market instruments with which is financed by - treasury bills, government bonds, government savings bonds and Eurobonds. Ways in which they are placed on the market, characteristics and trends in volume and structure. The work deals also with the strategy of debt management and risk management.
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State budget deficit and its financing possibilities in the CR
Novák, Jiří ; Radová, Jarmila (advisor) ; Veselý, Marek (referee)
This bachelor work deals with state budget deficit and its financing resources in the Czech Republic. In the beginning we are dealing with the general characteristics of the state budget and the definition of the state budget deficit. In the next section we analyze the development from 1993 to 2010. State budget deficit is mainly financed by issuing government bonds, and therefore for the most part we deal with short, medium and long-term government bonds. The practical part describes how the sale of short-and long-term bonds under the current rules of the Czech National Bank. Government bonds are divided by the type of instrument and maturity. The last section is dedicated to new ways of financing the budget deficit and that is issuance of government bonds for citizens.
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Influence of government bonds on private investment in Czech republic
Hlaváček, Jiří ; Dočkal, Dalibor (advisor) ; Štěpánek, Pavel (referee)
This work is an analysis of the crowding out effect caused by issues of governmen bonds in small open economy - in this case in Czech republic. Issue of bonds is for government one of possible solutions to budget deficits. There is no integrated opinion on the effect, which issues of government bonds have on private investment, in the theory. If the economy is not fully open, it can be crowd out. On the one hand neokeynesian Mundell-Fleming model talks about decrease of level of net exports. On the other hand the neoclassical by R. Barro developed Ricardian equivalence says, that private consumption will decrease in the reaction to budget deficit. Mundell-Fleming model is presented as an traditional theory and the Baroo's theory is refused. Empirical study in this work can this opinion validate or disapprove by observation of trends of budget deficit, issues of government debt, interest rates and private investment in Czech republic.
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Actual Financial Problems of Greece
Sýkorovská, Lucie ; Taušer, Josef (advisor) ; Černá, Iveta (referee)
Thesis deals with the Greek debt crisis which is currently an actual problem, affecting whole European Union. Aim of the thesis is to find and analyze the connection between historical development of Greece and current debt crisis, to describe reaction of the financial markets to the present situation and to appraise the restrictive actions which are taken to solve the problem. The thesis is devided into 3 parts - economic and political development of Greece, analysis of the influence of the adjusted fiscal figures on the development of Greek government bonds and taken corrective measures both in the European Union and Greece.
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The Risk-free Rate of Return in The Income Valuation Approach
Plánička, Pavel ; Mařík, Miloš (advisor) ; Jurečka, Jan (referee)
The work deals with the theoretical basis and the practical approach for determining the risk-free rate of return. The aim of the work is to form recommendations which should analysts follow in determining the risk-free rate of return in the Czech Republic. The first part focuses on theoretical basis of risk-free rate of return and market interest rates. Further, the criteria of risk-free investments are defined in this chapter. The second and third part focuses on determination of the risk-free rate of return using yield to maturity of government bond and yield curve which was derived with using the Nelson-Siegel model. The table of forward rates at the end of each month from January 1999 to April 2010 is attached.
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Issue and trade with government bonds
Dostálová, Veronika ; Radová, Jarmila (advisor) ; Málek, Jiří (referee)
This bachelor thesis focuses on the czech government bonds market. It describes the issue by auction organized by the Czech National Bank and the legal enactments which deal with this procedure. Important differences between treasury bills and medium term and long term bonds are mentioned. The analytical part of the thesis is concerned with the relationship between the government bonds and the public debt of the Czech Republic, describes the public debt development in light of it's term of maturity and it's holders. The closing part focuses on the pofitability of czech government bonds and it's yield curve.
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The Attraction of Czech Government Bonds for Foreign Investors
Machač, Erik ; Musílek, Petr (advisor) ; Málek, Jiří (referee)
Thesis deals with the attraction of Czech government bonds from the perspective of foreign investors in relation with the current economic development in CEE region, and further in the rest of the world. Analysis is targeted to issue of the Czech government bonds in turn of 2009 and 2010. After the analysis and description of foreign investors representing huge part of the entire demand for the Czech government bonds on the domestic and foreign markets the paper further covers individual pros and cons of the instrument. The empirical analysis is conducted as the comparison of the yields and risk of Czech goventment bonds with the similar instruments issued by Hungarian and Slovakian governments. Separate part of the thesis covers the characteristics of used instruments (Czech T-Notes and T-Bills) and legal adjustments of the auctions through which these instruments are placed on the domestic market. Thesis also contains a separate chapters covering the results of former issues of the Czech government bonds abroad and the analysis of tax consequences resulting from holding and selling the Czech government bonds by foreign investors.
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