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The role of credit default swaps during the subprime mortgage crisis in 2007-2009
Lazukićová, Andrea ; Teplý, Petr (advisor) ; Vozková, Karolína (referee)
This thesis focuses on the role of credit default swaps during the subprime mortgage crisis 2007-2009 with special focus on mortgage-backed securities. In the empirical part of the thesis, three models are constructed. All of them have the same dependent variable, a mortgage delinquency rate in the 2005-2010 period, and independent variables representing various types of credit default swaps issued. Streamlined in each model, credit default swaps (CDS) were divided based on certain criteria (underlying sectors, maturity and ranking) and subsequently compared and analysed. By using the probit model, the main research question "How the probability of mortgage delinquency depends on the volume of credit default swaps issued?" was inspected. The contribution of this thesis is three-fold. First, we show that a delinquency rate of mortgages was correlated with the maturity of CDS issued (the delinquency rate was higher for short-term loans). Second, we state that the volume of subprime loans increased along with the volume of issued CDS, what contradicts to the insurance nature of a CDS. Finally, a mortgage delinquency rate was lower in the 2006-2008 period than in 2009-2011, what implies the domino effect of failing mortgages had an immense impact even after the global crisis.
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Bank fee and commission income - its determinants and impact on bank's profitability and risk
Vozková, Karolína ; Tůma, Zdeněk (advisor) ; Tripe, David (referee) ; Výrost, Tomáš (referee) ; Mejstřík, Michal (referee)
This thesis consists of five essays dealing with the fee and commission income in European banks from the macro, sector and bank level perspectives. This topic is of high relevance since fee income represents the largest part of the non-interest income of EU banks. The first part of the thesis deals with banks in general terms, while the second part is focused solely on cooperative banks, which represent approximately 20% of the EU banking sector. We compare the magnitude of the bank fee income across EU countries and study its determinants and impacts on banks' performance. The first essay compares the magnitude of the fee income across EU countries with a special emphasis on the Czech Republic from a macroeconomic perspective. First, we conclude that Czech banks are not abnormally dependent on fee income and their outstanding performance can be attributed to sound risk management, high liquidity and sufficient capital buffers rather than to excessive fees. Second, our evidence suggests that the share of fee income had an increasing trend in EU countries in recent years, which might be connected to the effort to maintain sufficient profitability in the low interest rates environment. We also discuss how new entrants, the so called low-cost banks, changed the banking sector in the Czech Republic....
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Best predictors of apartment prices: Empirical Evidence from Czechia
Šváb, Ondřej ; Pleticha, Petr (advisor) ; Vozková, Karolína (referee)
It is essential to control for property price determinants since there could be created the price bubble, and its burst would have harmful effects on the economy. Thus, this bachelor thesis aims to show the best determinants and models for forecasting the apartment prices in Czechia and its regions with the use of panel data and time series from the Czech Statistical Office. After stating hypotheses of variable's expected impacts on apartment prices, the most important determinants appeared to be the average wage, unemployment rate, natural population growth, and the building plot price. The best results are found by using econometric regressions as the fixed effects, the first differences or the classical ordinary least squares method. I also use the heteroskedasticity and autocorrelation consistent standard errors for better robustness of coefficients. Moreover, the lasso method is applied for dealing with multicollinearity and over-fitting, which are fixed by the variable selection. In most cases, the lasso improved prediction accuracy. However, the first difference regressions worsen the forecasts after the lasso penalisation. 1
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The role of credit default swaps during the subprime mortgage crisis in 2007-2009
Lazukićová, Andrea ; Teplý, Petr (advisor) ; Vozková, Karolína (referee)
This thesis focuses on the role of credit default swaps during the subprime mortgage crisis 2007-2009 with special focus on mortgage-backed securities. In the empirical part of the thesis, three models are constructed. All of them have the same dependent variable, a mortgage delinquency rate in the 2005-2010 period, and independent variables representing various types of credit default swaps issued. Streamlined in each model, credit default swaps (CDS) were divided based on certain criteria (underlying sectors, maturity and ranking) and subsequently compared and analysed. By using the probit model, the main research question "How the probability of mortgage delinquency depends on the volume of credit default swaps issued?" was inspected. The contribution of this thesis is three-fold. First, we show that a delinquency rate of mortgages was correlated with the maturity of CDS issued (the delinquency rate was higher for short-term loans). Second, we state that the volume of subprime loans increased along with the volume of issued CDS, what contradicts to the insurance nature of a CDS. Finally, a mortgage delinquency rate was lower in the 2006-2008 period than in 2009-2011, what implies the domino effect of failing mortgages had an immense impact even after the global crisis.
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Efficiency of export financing in the world
Czakojová, Kristýna ; Vozková, Karolína (advisor) ; Palanský, Miroslav (referee)
This thesis deals with efficiency of export financing in the Czech Republic and in the world. Three basic institutional forms of export credit agencies are analyzed in the thesis. Each of the countries represents one particular institutional form, specifically the Czech Republic (bank and insurance company), the United Kingdom of Great Britain and Northern Ireland (only insurance company) and the United States of America (eximbank). The research is done in the data over the years 2005-2015. We use the gravity model of international trade in the study. It was found by employing empirical analysis that the most effective export credit agency is the dual system of export promotion in the Czech Republic. In addition, a positive effect of GDP on export was detected. Moreover, distance has a negative influence on export except for one estimate. Both of these findings were expected to be identified within the gravity model. 1
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Vendor lock-in in IT procurement
Duraj, Adam ; Skuhrovec, Jiří (advisor) ; Vozková, Karolína (referee)
The paper concerns with vendor lock-in in public procurements on information and communication technologies (ICT), examined it in general and theoreti- cally handle how it could be prevented. The primary aim of the study is to find out if some criterions of public procurements lead to higher lock-in rate or not and if higher vendor lock-in rate leads to the higher profit of the suppliers. The results showed that higher number of bids in the initial procurements leads to lower lock-in rate. On the other hand, the hypotheses about the European Union (EU) funds and the price criterion were not proved. Also, we have not proved the hypothesis that higher lock-in rate leads to the higher profit of the suppliers. Another finding of the paper is that public sector suffers from the oldness of the information systems. Plenty of the information systems is older than 11 years old. That is also the reason that many initial procurements for the information systems are not available in the dataset (it is related to at least 148 information systems). That is the reason for our quite small sample and could be the reason for the results we got. The recommended steps, to lower the level of lock-in, include the creation of the ICT strategy, guidance to contract documentation and a request to suppliers to use open standards...
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Forecasting Capability of the GDP Components: Granger Causality Approach
Michalec, Jan ; Cahlík, Tomáš (advisor) ; Vozková, Karolína (referee)
This work aims to provide with the procedure of bivariate causality testing based on Granger (1969). We focused on exploration of forecasting capability of GDP components on output itself. We examine, which of five components defined in accordance with the expenditure approach can be useful in forecasting economic growth. Overall, the causal relationship is examined on national accounts data from three member states of the European Union: Austria, France and Germany. For the sake of general inference, the Granger causality tests are executed on panel data, too. We concluded, that consumption and investment possess ability to forecast economic growth. In contrast, GDP was found to be useful in forecasting government expenditures.
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Empirical Analysis of Prague Flat Market
Sklenářová, Tereza ; Křehlík, Tomáš (advisor) ; Vozková, Karolína (referee)
The purpose of this work is to model the prices of real estate, concretely of Prague flats, which belong to the most important economic indicators. In the theoretical part, the main housing market participants are defined, special features of housing markets are described and most frequently used valuation methods are discussed. Most attention is focused on so called hedonic pricing model, which is applied as a base for the pricing equation in the econometric part. This is carried on various subsets of public available data regarding the characteristics of Prague flats, using ordinary least squares as well as weighted least squares. Several hypotheses about the relationship between the price and the explanatory variables are tested before creating the final model. The results are commented and compared with literature concerned with the same topic in other locations.
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