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The Determinants of Corporate Credit Lines Accessibility in the Czech Republic
Hanák, Pavel ; Gapko, Petr (advisor) ; Janda, Karel (referee)
This work focuses on the factors influencing the accessibility of credit lines for the companies in the Czech Republic. Its methodology follows the respected works written in the field of credit markets or in the field of econometrical methods suitable for the estimation of such markets. The main econometrical tool of this work is the Maximum Likelihood Estimation. Dependent variable is always the percentage change of the total volume of corporate loans and the independent variables are the percentage changes of different macroeconomic indicators. This work brings key findings important for the understanding the of the Czech corporate credit market. JEL Classification C32, C51, E40, E41, G10, G20, G21 Keywords Corporate Loans, Credit, Credit Lines, Credit Market, Credit Supply, Czech Banking Sector, Demand for Credit, Loans Author's e-mail pavelhanak@seznam.cz Supervisor's e-mail petr.gapko@seznam.cz
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An Empirical Analysis of Liquidity Situation and Interbank Rates in the Czech Republic during Global Crisis
Lešanovská, Jitka ; Geršl, Adam (advisor) ; von Terzi, Martina (referee)
This diploma thesis focuses on the development of the interbank market liquidity and interest rates in the Czech interbank market with special focus on the period of global crisis. We analyze determinants of the interbank interest rates and their development with respect to the key monetary policy rate. We explain the significant departure of the interbank interest rates from the key monetary policy rate (impairment of monetary policy transmission) during the global crisis by an increase in risk premia on interbank lending. The source of the risk premia is decomposed into the individual components such as liquidity risk, counterparty risk, foreign influence and other factors. Their contribution to the overall risk premia over time during the global crisis is analyzed. We find that the liquidity risk was the key determinant of tensions in the Czech interbank market in the beginning of the global crisis. However, its influence weakened over time while the role of counterparty risk increased. Keywords: interbank market, liquidity, interest rates, crisis, risk premia, credit risk, liquidity risk, counterparty risk JEL classification: G190, G210
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Interest rate spreads on government bonds
Antoniewiczová, Petronella ; Žák, Kamil (advisor) ; Hurt, Jan (referee)
This work deals with the breakdown of government bonds yields on the risk components. More specifically it deals with cost of liquidity capital, loss of illiquidity and expected default losses. In the beginning we explain the characteristics of bonds, particularly government bonds, further we deal with some of elements which may break up the government bonds yields. Finally, we implement the interest rates of bonds of three EU member states.
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Term structure of interest rates
Boháčková, Jana ; Hurt, Jan (advisor) ; Rusý, Tomáš (referee)
Bachelor thesis deals with interest rates and yield curves. Terms spot interest rate, forward interest rate and discount factor are established. Three models for describing yield curves are used, two parametric models: Nelson-Siegel model and Svensson model and one nonparametric model: kernel estimator. Function of a yield curve is decribed for all models and for parametric models and the parameters in parametric models are also described. Eventually, all models are used on real data. 1
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Interest Rate Models
Butkovičová, Ivana ; Popela, Pavel (referee) ; Chvátalová, Zuzana (advisor)
This bachelor’s thesis focuses on a description of the interest rate models that are applied in the sphere of financial mathematics. Furthermore, it specifically describes the Vašíček model, Cox-Ingersoll-Ross model, Ho-Lee model and Hull-White model. These models are given by the stochastic differential equations. The main terms of the Stochastic Calculus are described in the theoretical part of the thesis. All the above models are also calibrated. Moreover, the spot and forward interbank interest rate—LIBOR is described in the thesis. By applying specific data, that are available in the public database of the Czech National Bank, we have simulated the Vašíček and Cox-Ingersoll-Ross models. The obtained results are interpreted.
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Monetary Policy and House Prices in the US: Evidence from Time-Varying VAR Model
Brunová, Kristýna ; Horváth, Roman (advisor) ; Holub, Tomáš (referee)
This thesis examines the effects of monetary policy shocks on the housing market. To this end, TVP-VAR model with dynamic dimension selection and stochastic volatility is estimated using monthly data for the United States over the period 1999-2017. Moreover, the model features estimating the optimal value of the Bayesian shrinkage coefficient in a time-varying manner. Since the sample covers the Zero Lower Bound period, Wu-Xia shadow rate is employed to measure the stance of monetary policy. To assess the link between housing variables and monetary policy, impulse responses and forecast error variance decompositions are provided. However, due to the time-varying nature of the model, they are estimated only for selected time periods that correspond both to the events that most likely influenced the path of macroeconomic and financial variables and to periods of low economic uncertainty. The main results are threefold. First, the model suggests that monetary policy shocks can contribute to developments in house prices. Second, the stimulative monetary policy positively affects residential investment and negatively affects mortgage rates, however, the effects are not significant due to the large confidence bands of the impulse responses. Third, higher values of the shrinkage hyperparameter are crucial for...
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Zero Interest Rates from the Perspective of Economic Theory
Behúnová, Kateřina ; Hába, Stanislav (advisor) ; Šíma, Ondřej (referee)
The objective of this bachelor thesis is to unify knowledge of zero interest rates which have been being mentioned in economic theory rather marginally until recently, yet their implementation is nowadays spread in a worldwide scale. After describing the functioning of interest rates as an instrument of monetary policy, a problem of a liquidity trap, which highly relates to zero interest rates, is examined from both the original point of view of J. M. Keynes and the contemporary one. Possible causes and consequences of implementing zero interest rates are stated afterwards. The final chapter enumerates options for monetary and fiscal policy to escape this situation.
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Analýza hospodářské recese 2014 v Ruské federaci
Sergeev, Vladimir ; Soukup, Jindřich (advisor) ; Kulbakov, Nikolay (referee)
The aim of bachelor´s thesis is analyzing of the most important aspects connected with economic crisis in Russian Federation in 2014, defining the basic causes of recession, description of main manifestation in Russian economy, its impact on the economic system and following reaction of the government. The first part of thesis theoretically describes the topic from the perspective of negative economic cycle and trends and processes related with it. Also, thesis presents important characteristics of current Russian economy. Second part starts with main reasons which caused the recession, describes the course of the crisis in years 2014 and 2015, its impact from the perspective of several important macroeconomic indicators and government measures aimed at recovery of damaged economic sectors.
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Financial Stability Transparency and Interest Rates
Pařízek, Petr ; Horváth, Roman (advisor) ; Brechler, Josef (referee)
Financial Stability Transparency and Interest Rates Petr Pařízek Abstract This paper examines the relationship between financial stability transparency and nominal interest rates on a panel data with more than 50 countries in years 2000 to 2010, controlling for macroeconomic conditions. We investi- gate the same relationship using monetary policy transparency, we compare the results and based on the existing literature we check for non-linear ef- fects of transparency. Moreover, we examine how this relationship changes in financially good and bad times in terms of financial stress. We find nega- tive relationship between both financial stability and monetary policy trans- parency and short-term interest rates. Especially in the case of monetary policy transparency our results suggest non-linear relationship and the exis- tence of an intermediate optimal level of transparency. For financially good and bad times our findings are miscellaneous, some in accordance and some in contradiction with the literature. Generally, our results suggest that the effect of financial stability transparency on short-term interest rates is weaker than the effect of monetary policy transparency. For the long-term interest rates, we find no evidence of the effect of financial stability nor monetary policy transparency. Examining the data in...
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The Determinants of Corporate Credit Lines Accessibility in the Czech Republic
Hanák, Pavel ; Gapko, Petr (advisor) ; Janda, Karel (referee)
This work focuses on the factors influencing the accessibility of credit lines for the companies in the Czech Republic. Its methodology follows the respected works written in the field of credit markets or in the field of econometrical methods suitable for the estimation of such markets. The main econometrical tool of this work is the Maximum Likelihood Estimation. Dependent variable is always the percentage change of the total volume of corporate loans and the independent variables are the percentage changes of different macroeconomic indicators. This work brings key findings important for the understanding the of the Czech corporate credit market. JEL Classification C32, C51, E40, E41, G10, G20, G21 Keywords Corporate Loans, Credit, Credit Lines, Credit Market, Credit Supply, Czech Banking Sector, Demand for Credit, Loans Author's e-mail pavelhanak@seznam.cz Supervisor's e-mail petr.gapko@seznam.cz
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