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Consumer Credit Risk Analysis: Evidence from the Czech Republic
Mittigová, Patricie ; Kočenda, Evžen (advisor) ; Hlaváček, Michal (referee)
An increase in the number of granted loans in last decades resulted in more attention paid to proper assessment of borrower's creditworthiness. For this purpose, credit scoring aims to classify good and bad applicants prior loan granting. In this thesis, I analyze a large real-world dataset of borrowers who were granted an unsecured consumer loan in the Czech Republic. The objec- tive is to determine core default predictors while employing seven classification methods. Additionally, a performance measure is computed for each method in order to compare their suitability for examined loan types. Using logistic regression as the core model, the results suggest that borrower's age, monthly income, region of residence, and the number of children substantially influence the probability of default. Conversely, borrower's gender and education level did not prove to be significant for assessing client's creditworthiness. Compar- ing the performance of employed classification methods, it can be concluded that all models produced almost identical results and can be used for the purpose of credit scoring. This thesis complements rather a limited number of credit scoring studies in the Czech Republic and provides new findings about default determinants for unsecured consumer loans. 1
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Interbank markets, monetary transmission and bank efficiency
Lešanovská, Jitka ; Geršl, Adam (advisor) ; Hlaváček, Michal (referee) ; Fungáčová, Zuzana (referee) ; Brei, Michael (referee)
The dissertation thesis comprises three essays which interlink monetary policy transmission and bank characteristics, particularly bank cost efficiency, in the light of recent financial crisis. The first essay focuses on the development of the interbank market risk premium in the Czech Republic during the global financial crisis. We explain the significant departure of interbank interest rates from the key monetary policy rate by a combination of different factors, including liquidity risk, counterparty risk, foreign influence, interbank relations, and strategic behavior. The results suggest a relevant role of market factors, and some importance of counterparty risk. The second essay examines the pass-through from financial market interest rates, directly influenced or targeted by central banks, to the rates that banks charge firms and households. It examines the pass-through mechanism using a unique data set of Czech loan and deposit products and focus on bank-level determinants of pricing policies, especially cost efficiency, which we estimate employing both stochastic frontier and data envelopment analysis. The main results are threefold: First, the long-term pass- through was close to complete for most products before the financial crisis, but has weakened considerably afterward. Second, banks...
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Bank lending surveys and financial cycles
Mayr, Samuel ; Geršl, Adam (advisor) ; Hlaváček, Michal (referee)
In 2003 European Central Bank issued a qualitative survey of financing condi- tions. Called bank lending survey (BLS) and including 22 questions on credit standards, credit terms and conditions, and loan demand, the BLS was supposed to act as an additional information stream for the European Central Bank to be able to differentiate between supply and demand effects. This thesis gathers available BLS answers and evaluates their potential use in an early warning system. According to AUROC analysis of various logit models, based partially on traditional early warning indicators (EWIs) and partially on the BLS data, the study picks 27 BLS variables that significantly improve performance of the current EWIs over the period of 2003-2017. JEL Classification C23, C40, F47, G01, G21, G28 Keywords EWIs, bank lending survey, ROC, financial cycle Author's e-mail mayr.samuel@gmail.com Supervisor's e-mail adam.gersl@gmail.com
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Foreign Banks and Financial Development - Foreign Bank Lending in CEE Countries
Köthe, Anja ; Hlaváček, Michal (advisor) ; Svoboda, Karel (referee) ; Korosteleva, Julia (referee)
Foreign Banks and Financial Development - Foreign Bank Lending in CEE Countries Master thesis Anja Köthe Abstract The objective of this paper is to investigate the relation between foreign banks and financial development and to focus on foreign bank lending, in particular. The research focuses on four countries with a high share of foreign banks: Czech Republic, Hungary, Poland and Slovakia. Using a dataset of 122 banks over a 10 year period from 2005 to 2015 a fixed effects panel regression models is used for an empirical analysis. Loan growth as a proxy for lending behaviour and credit stability is used as the dependent variable. The empirical models investigate the determinants of loan growth in foreign and domestic banks as well as the dependence of foreign bank subsidiaries on their parent banks. The regression results indicate that domestic banks are more dependent on local economic conditions and bank performance. Their credit supply depends more on their profitability, loan quality and domestic market share. Foreign bank subsidiaries, in contrast, exhibit greater independence from local economic conditions and also from subsidiary performance indicators such as profitability ratios. Instead their lending behaviour is significantly influenced by the financial characteristics of their parent banks.
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Interaction between Macroprudential and Monetary Policies, and Bank Runs
Kolomazníková, Barbora ; Hlaváček, Michal (advisor) ; Geršl, Adam (referee)
The thesis focuses on the interaction between macroprudential and monetary policies in the presence of bank runs. In particular, it is examined whether the two policies should be conducted separately or jointly, and whether the occurence of a bank run affects the result. Furthermore, it is studied how a bank run impacts the efficiency of the two policies. \\ The baseline results suggest that cooperation between the two policies is less efficient than when they are determined separately. The reason might be a coordination issue that arises because the same objective is being assigned to both policies in the cooperative case. On the other hand, when facing a bank run the cooperative regime achieves a higher degree of financial stability by reducing the probability of a next run. This is caused by the fact that cooperating authorities choose more aggresive macroprudential policy when a bank run occurs. A bank run itself does not change the ranking of the two policy regimes. However, an occurence of a bank run induces higher efficiency of both policies, irrespective of the regime in place. In addition, the policies are more effective when they face financial shocks, as opposed to a productivity shock.
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Natural Interest Rate: Is 2% CPI Inflation Still the Right Target?
Scheerová, Lucie ; Holub, Tomáš (advisor) ; Hlaváček, Michal (referee)
This paper uses the semi-structural Laubach and Williams model to estimate the time- varying natural rate of interest by Kalman filter and Maximum Likelihood method, applying it for the first time to Czech data. The results show a significant decrease of the natural interest rate during the past decade, which constitutes further evidence for the wide-spread notion that structural factors in many countries have shifted after the global financial crisis. The paper's contribution is mainly represented by preparing ground for further research. It concludes that the basic version of the Laubach and Williams model is not optimal for the Czech environment and suggests appropriate adjustments to it. It discusses and analyzes sources of potential problems with the estimation, notably the issues of singularity and model specification. Eventually the paper concludes that due to the low significance of results and the uncertainty of gains and losses related to a policy switch, the best reaction of the central bank would be to keep the current regime and inflation target. JEL Classification C32, E43, E52, O40 Keywords natural real interest rate, inflation target, inflation measurement, monetary policy, Kalman filter, trend growth Author's e-mail lucie.scheer@gmail.com Supervisor's e-mail tomas.holub@fsv.cuni.cz v
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Monetary policy approaches at the ZLB to solve post-crisis situation and their effectiveness
Hummelová, Magdalena ; Hlaváček, Michal (advisor) ; Ryska, Pavel (referee)
Monetary policy approaches at the ZLB to solve post-crisis situation and their effectiveness Magdalena Hummelová May 10, 2016 Abstract This thesis describes monetary policy tools implemented by central banks whose main monetary policy rates at some point after 2008 global economic crisis hit the zero lower bound. Central banks considered in this study are the Fed, the ECB, the SNB and the CNB. A smaller ef- fectiveness analysis of the macroeconomic effects using a simple vector autoregressive (VAR) model is provided as well. The model is inspired by similar study of Gambacorta et al. (2012). With the use of monthly data over the sample period, the VAR tries to quantify the impact an increase in a central bank's balance sheet has on the main economic indicators- real output, consumer prices and implied volatility indices in the financial markets. Some of the results are comparable to those of the reference study mentioned above. This applies to the output results in a sense that the balance sheet shock has a slightly significant temporary effect on it. On the contrary, responses of the implied volatility indices and prices are less significant (or insignificant) and not at all comparable with the reference study. With some exceptions, there are no major discrepancies between individual country results in spite of...
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Communication of the European Central Bank and contagion on financial markets
Jonášová, Júlia ; Horváth, Roman (advisor) ; Hlaváček, Michal (referee)
v Abstract The aim of this thesis is to assess the effect of central bank communication on joint occurrence of extreme returns and on extreme movements shared by two stock markets. The research concentrates on the following aspects: predictability of increased share of countries experiencing extreme returns in the eurozone based on the nature of policymaker's statement and also a set of control variables, change in probability of extreme returns joint occurrence after president's speech, determinants of joint occurrence when non-standard measures were announced and finally, effect of crisis period. Additionally, determinants of shared extreme movements between particular countries are examined. The results suggest that communication nature or crisis are not significant predictors of extreme returns joint occurrence. Moreover, markets seem to react jointly to ECB president's speech only when they have extremely high returns. Furthermore, markets jointly react on days of nonstandard measures announcement differently. We also found that in the first quantile dovish statements tend to increase returns above their mean in case of Greece and Germany, and Greece and the UK. Rest of the pairs of countries have opposite reaction to dovish tone and communication is significant in the 95th quantile for the pair...
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Housing Stock Analysis in the Regions of the Czech Republic
Bendžíková, Iva ; Hlaváček, Michal (advisor) ; Klinger, Tomáš (referee)
Housing capacity forms an important part of life of every society, and therefore it is important and interesting to examine this phenomenon more closely. The most comprehensive amount of data on this phenomenon provides Population and Housing Census conducted regularly by the Czech Statistical Office. The main objective of this work, using these and many other available sources, that are not only from the Czech Statistical Office, is a detailed analysis of the housing and residential capacity of the Czech Republic, that enable a global view on the issue. First, I focused on financing of the housing needs as a key factor for further development of the housing capacity. Then I looked at individual parameters, which characterized apartments and houses and circumstances that affect their appearance. Subsequently I examined the factors that influence the number of dwellings completed using real quarterly data from the Czech environment from the period 2000-2015. Regression analysis demonstrated the expected effect of variables such as average gross monthly wages and gross domestic product. But surprisingly, net migration and natural increase of population became a significant variable, which confirmed the influence of socioeconomic factors in the development and expansion of the housing capacity.
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Macroprudential regulation of the housing market
Petrouš, Michal ; Hlaváček, Michal (advisor) ; Malovaná, Simona (referee)
House price developments have a large impact on the macroeconomic stability, which has proven in the recent global financial and economic crisis triggered by a house price boom and bust. The aim of this thesis is to assess the effectiveness of macroprudential regulation aiming at the contract between lenders and borrowers in mitigating housing price and associated credit cycle. To assess effectiveness the macroprudential regulation is analyzed in ten European countries. The regulation in individual countries is subsequently compared. The comparison shows that countries with high proportions of foreign currency denominated debt use macroprudential measures to mitigate foreign exchange risk. Furthermore, the immediate influence of regulation on housing credit is relatively high. However, it diminishes with time.
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