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Deposit Insurance in the European Union
Holá, Veronika ; Jakubík, Petr (advisor) ; Teplý, Petr (referee)
This thesis examines the question whether uncoordinated steps of some EU states changing their deposit insurance schemes in the middle of 2008 could have led to shifts of deposits among EU countries. 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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Cross-Border Contagion: An Empirical Analysis of the Current Financial Crisis in Central and Eastern Europe
Žáková, Kristýna ; Geršl, Adam (advisor) ; Mertlík, Pavel (referee)
The objective of this thesis is to examine cross-border contagion effects during the 2007-09 crisis in Central and Eastern Europe (CEE) and from all the possible propagation channels, it chooses to focus on cross-border bank loans. It tries to discover which global and local factors had significant influence on the changes in bank loans from banks in source (lending) countries to banks, as well as households, corporations and government in host (borrowing) countries. The main research method is a panel data regression model. The empirical results suggest that both local and global factors had influence on the changes in cross-border loans, i.e. helped to spread the 2007-09 crisis to CEE. The significant local factors were macroeconomic and financial characteristics of both source and host countries, such as their GDP growth differential, interest rate differential, FDI, or profitability and health of the banking sector. The significant global factors were the expected market volatility and investors' risk appetite/aversion which was an indicator of "pure" contagion. The main contribution of this thesis lies in its focus on CEE and the analysis of investors' behavior based on their changing risk appetite.
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Baltic Stock Market Integration
Stulga, Šarūnas ; Kočenda, Evžen (advisor) ; Novák, Jiří (referee)
1 Abstract In this thesis, we present an empirical analysis of integration between the Baltic and global stock markets during the period between 2000 and 2018. This research is spurred by the fact that all three Baltic countries displaying similar positive economic developments over the studied horizon. Using the theoretical and empirical findings from similar research papers, we ground our work for the analysis. Our methodology is based on three different models: DCC-GARCH, total and frequency connectedness, and the Engle-Granger cointegration test. Using these methods, we are able to determine both short- or long-term relationship dynamics. Based on the results from our empirical analysis we were not able to reject the null hypotheses, that the Baltic states have become more integrated between themselves and the global market. At best, our results would suggest a weak form of integration given that there were indeed some notable dynamic changes. Following these results, we provide insight on interdependencies between the Baltic states and their relationships with the global stock markets. Most notable dynamics are captured by the total connectedness measure, which indicates that the Baltic stock markets show a significantly increased connectedness with the global indices, during turbulent times in the...
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The Influence of the Economic Crisis on Corporate Social Responsibility Activities
Potůčková, Petra ; Rynda, Ivan (advisor) ; Novák, Josef (referee)
The aim of this thesis is to introduce the concept of Corporate Social Responsibility (CSR) and describe the relevance of corporate social responsibility activities. Due to the fact that, one of the basic characteristics of Corporate Social Responsibility, is long-term in character, which requires a dedication to CSR activities, even in times of financial difficulties when company does not have the optimal results, this thesis shows how selected companies fulfill the concept of CSR. The theoretical part is divided into two parts - the first is the concept of Corporate Social Responsibility, which focuses on the development, pillars, benefits and concepts associated with this concept. I deal with crisis and describe financial crisis, economic crisis, its development, causes and consequences in the next part. The empirical part of this thesis is based on the methodological triangulation - expert interviews, documented examination and comparison. This thesis sampled five selected companies and shows how these companies perceive CSR, what activities they have implemented, how to cope with the crisis that affected them and how it affected the implementation of CSR activities. Another benefit of this thesis is to expand knowledge about values of companies around the city of Kolín. The results of this...
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Icesave dispute and Icelandic EU application
Tůmová, Kateřina ; Váška, Jan (advisor) ; Hořejšová, Tereza (referee)
The bachelor thesis analyzes the influence of the Icesave dispute on the EU application and answers a research question, if the dispute poses an essential threat to Icelandic membership in the EU. The conflict over the Icesave debt began after the collapse of Icelandic banking system during the global economic crisis in 2008. Icesave was an online brand by the bank Landsbanki, which provided savings account in the United Kingdom and the Netherlands. The biggest problem in the dispute was reimbursement of the Icesave debt, which should Iceland paid for to both of the countries due to the Icelandic membership in the European Economic Area and on the base of the EU directive on deposit-guarantee schemes. The first chapter of this bachelor thesis is dealing with a development of the Icelandic financial crisis and with an excursion to the Icelandic banking system. The cause of the Icelandic financial crisis wasn't the global economic crises itself but also the unsustainable size of the Icelandic banking sector. The following chapter contains origins and development of the Icesave dispute and its international dimension. The third chapter is dealing with Icelandic EU application (July 2009). And the last chapter is the analysis of possibilities, how the Icesave dispute can thwart the EU membership, and...
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Resolving banking crises
Juhász, Michal ; Seknička, Pavel (advisor) ; Bažantová, Ilona (referee)
The Diploma Thesis deals with the banking crisis and aims to account for different approaches to the understanding of the nature of banking crisis. The Thesis further aims to provide answers why the banking crisis are caused and why so far there are no measures that would effectivelly prevent such crisis. At first, the Thesis states the definition of banking with the emphasis on banks as the institutional backbone of the current functioning of the financial system. The Thesis pays specific attention to the characteristics of two basic legal banking instruments, particulary loans and deposits. While acknowledging the loan expansion, the thesis argues the role of regulatory authorities and the limits of their competences in regards to the prevention of crisis. Followingly, the Thesis offers a view on a banking crisis phenomenon with appropriate historical overview outlining the banking crisis in Czechoslovakia in years 1918 to 1939 and after 1989, the loan expension influence on the business cycles and approaches to banking crisis solving in respect to stabilization of the banking system and restructuring of banks. At last but not least, the Thesis sums up the global financial crisis that started as a banking crisis, respectively as a crisis of one segment of the banking market in the United States...
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International Stock Market Co movements and the Global Financial Crisis
Poldauf, Petr ; Horváth, Roman (advisor) ; Baruník, Jozef (referee)
International Stock Market Co-movements and The Global Financial Crisis Petr Poldauf May 16, 2011 Abstract This thesis investigates development of co-movements among international equity returns at the market and industry level over the period 2000 - 2010. Emphasis is put on the influence of the Global Financial Crisis of 2008/2009. We analyze daily data from major markets in Australia, Brazil, Canada, China, Germany, Japan, Russia, South Africa, the UK, and the USA using GARCH family of models. We find that there are still weakly correlated markets and the influence of the Crisis differs from country to country. The sectoral indices, including the financial sector, were significantly less correlated than the market indices over the whole period. 1
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Development of Structured Financial Products during the Crisis
Bratršovský, Martin ; Rippel, Milan (advisor) ; Lupusor, Adrian (referee)
Structured finance has already attracted trillions of dollars and despite significant losses continues to attract more investment in increasingly complex structures. In this thesis, I use new data available to analyze the development of structured products in three main categories: ABS, CDO and MBS. The thesis is focused on the rapid development of structured finance in the years leading up to the credit crunch, the extent of its role in the crisis, and how credit-rating agencies and regulatory bodies are involved in the feasibility and future potential of the main products. As data clearly showed, the recent crisis heavily hit the US non-agency MBS securitization (especially the RMBS and the CMBS market) and the global CDO market as well, mainly due to the subprime collateral.
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Value-at-risk forecasting with the ARMA-GARCH family of models during the recent financial crisis
Jánský, Ivo ; Rippel, Milan (advisor) ; Seidler, Jakub (referee)
The thesis evaluates several hundred one-day-ahead VaR forecasting models in the time period between the years 2004 and 2009 on data from six world stock indices - DJI, GSPC, IXIC, FTSE, GDAXI and N225. The models model mean using the AR and MA processes with up to two lags and variance with one of GARCH, EGARCH or TARCH processes with up to two lags. The models are estimated on the data from the in-sample period and their forecasting ac- curacy is evaluated on the out-of-sample data, which are more volatile. The main aim of the thesis is to test whether a model estimated on data with lower volatility can be used in periods with higher volatility. The evaluation is based on the conditional coverage test and is performed on each stock index sepa- rately. Unlike other works in this eld of study, the thesis does not assume the log-returns to be normally distributed and does not explicitly select a partic- ular conditional volatility process. Moreover, the thesis takes advantage of a less known conditional coverage framework for the measurement of forecasting accuracy.
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Advertising within weekly publications in times of the economic crisis 2007-2011
Tůmová, Michala ; Vlasák, Zbyněk (advisor) ; Zápotocký, Jan (referee)
This bachelor thesis Advertising within weekly publications in times of the economic crisis 2007-2011 uses quantitative content method to figure out frequency of advertisement placed by economic subjects in weekly magazines Respekt, Reflex and Týden. Time range was set from June 2007 to June 2011. The goal of this thesis is to ascertain behavior of these economic subjects before the crisis, in it's early period until the half of it. Theoretical part brings the explanation of the cause of the financial crisis, explains relations between advertisement and media, describes the evolution of chosen periodicals and introduces readers to used research method. Empirical part presents and illustrates obtained data which leads to conclusions. The appraisal of the study helped to make clear conclusions that proves the impact of financial crisis on economical subjects.
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