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Effect of foreign exchange interventions on volatility of dollar/yen exchange rate
Filippova, Daria ; Kočenda, Evžen (advisor) ; Dědek, Oldřich (referee)
Japanese monetary authorities used to employ various intervention techniques to adjust the level of the dollar/yen exchange rate and reduce its volatility. Application of the GARCH-in- mean model for estimation of the effect of these operations demonstrates that depreciating interventions reduced volatility effectively from 1995 until 2002. Frequent interventions of the small scale had a tendency to increase volatility during period 1991-1995. Foreign exchange interventions conducted by US Fed have increasing, means negative, effect, on the conditional variance. Frequent interventions of the great scale do not affect the volatility; it is determined mostly by the persistent level of the conditional variance from the latter periods. Recent interventions conducted by the Bank of Japan after the financial crisis do not show any considerable effect on both the volatility and the level of the exchange rate.
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Deflation and the Czechoslovak experience
Tůmová, Jana ; Holub, Tomáš (advisor) ; Dědek, Oldřich (referee)
This thesis focuses on the term deflation, i.e., a decline in the price level in the economy, from a theoretical point of view, as well as empirically by an analysis of two deflationary periods in interwar Czechoslovakia. The first part focuses on theoretical concepts concerning the decline in price level. Deflation, currently a frequently discussed topic, can be distinguished as deflation caused by a negative demand shock and by a positive supply shock. Based on this distinction, a group of contemporary economists distinguishes between "good" and "bad" deflation. In contrast to this concept, the other group of economists consider deflation only as a negative phenomenon, even though deflation is caused by a positive shock. The second part of this thesis analyzes two deflationary eras in the 1920's and 1930's in Czechoslovakia. The first deflation was induced by interventions on the foreign exchange market in order to reduce the price level and stabilize the currency. In contrast, the second deflationary period was associated with the Great Depression, i.e., with an external factor. The third part analyzes Czechoslovak interwar time series using Spearman's and Pearson's correlation. Powered by TCPDF (www.tcpdf.org)
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Capital Regulation, Bank Ownership and Bank Risks: Evidence from Central and Eastern Europe, and Asia
Gwee, Tian Jie ; Gregor, Martin (advisor) ; Dědek, Oldřich (referee) ; Bruno, Randolph Luca (referee)
The aim of this thesis is to investigate the association of ownership structure and bank risk-taking as well as the effects of capital regulation. This study employs simultaneous equations, panel data and instrumental variables (IV) models on a sample of 192 banks from Eastern Central Europe and Asia Regions from 2005-2014. An assessment was made on how banks adjust their capital level as well as portfolio risks when there is a minimum capital regulatory ratio. The results indicate that firstly, banks react to the capital regulatory pressure by increasing capital and changes in capital and bank risk changes are positively related. Secondly, it is found that Foreign-owned banks have higher default risks than Domestic-owned banks; however, Government-owned banks are more stable in terms of asset risks measure during the year when there is election. When taking the market forces into account, in listed banks, insider owners and institutional owners have positive impacts on asset risks while positive asset risks on listed Government-owned banks only during the election. Finally, the findings also show that when capital regulation is taken as a moderating variable, it has influenced the impacts of ownership structure and bank risk, however, the increasing effects can only be proven for insider owners...
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SME Access to Finance and Monetary Policy of the ECB
Brázdová, Martina ; Horváth, Roman (advisor) ; Dědek, Oldřich (referee)
The objective of this thesis is to provide new insights into determinants of firm access to finance, and the role of the European Central Bank's (ECB) monetary policy. Not only do we describe and analyze the determinants of access to finance, but we focus on the theory of financial intermediation, as well. The key part analyses European Commission (EC)/ECB survey data for 16 euro area economies from 11 survey waves in the period from 2009 to 2014. We build our model using traditional firm-level variables such as firm size and age as well as a novel measure of the ECB's monetary policy stance - the shadow rate. We hypothesize that smaller and younger firms with decreased profitability over the past 6 months and increased leverage over the same period are more likely to report problems with access to finance. Our results are intuitively consistent with theoretical expectations and also show that the looser the monetary policy of the ECB is, the lower the composite financing gap indicator. Interestingly, we do not confirm the existence of risk taking channel of the monetary policy. Overall, we make use of the most recent survey data, extend the dataset, and use modified methodology for our estimation.
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Does Bitcoin Have Potential To Co-Function with Fiat Money?
Kurka, Josef ; Dědek, Oldřich (advisor) ; Vacek, Pavel (referee)
This paper examines the potential of Bitcoin, a decentralized digital currency, to pose competition to fiat currencies. To accomplish that, Bitcoin would have to become efficient as a store of value. Thus far, high volatility makes it inferior in that respect. We analyze the dynamics and drivers of Bitcoin volatility using GARCH and HAR models. Moreover, we test for presence of asymmetries displayed by stock, commodity and currency markets. That way we can conclude, whether volatility of Bitcoin behaves similarly to currencies, commodities or stocks. Lastly we reveal interconnections between these markets and market for Bitcoin. We find significant evidence for the leverage effect documented for stock market. Furthermore, the effect of trading volume, documented for currency markets, displays an opposite sign in our research. Results of spillover estimation suggest Bitcoin is the most interconnected with commodity market. Thus, we conclude Bitcoin does not behave similarly to currencies in terms of volatility; hence is not a good candidate to substitute them. JEL Classification E1, G1, G2, O3 Keywords Bitcoin, volatility, GARCH, leverage effect Author's e-mail 24805288@fsv.cuni.cz Supervisor's e-mail dedek@fsv.cuni.cz
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The Effects of Foreign Exchange Interventions in a Small Open Economy: The Case of the Czech Republic in a World Context
Timko, Jan ; Holub, Tomáš (advisor) ; Dědek, Oldřich (referee)
In this thesis we examine the effect of foreign exchange interventions in small open economy, focusing on the Czech experience. In the first part we model volatility development before and after the intervention using GARCH model. In the second part we estimate relationship between macroeconomical variables using vector autoregressive model. In this part we estimate impulse response function of exchange rate and inflation. In second part of VAR modeling we provide counterfactual analysis, which compare actual development of variables with alternative scenario in which the interventions would not happen . Our results suggest that the interventions is associated with few months delayed decrease in volatility. Base on scenario analysis the interventions increased inflation by approximately 1.5 % and without the intervention the economy would in deflation around -1 % nowadays. KEYWORDS: Vector autoregression, Volatility modelling, Monetary policy, Intervention Author's e-mail: jantimko16@gmail.com Supervisor's e-mail: tomas.holub@cnb.cz
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Determinants of International Tourists Inflows: The case of China
Zang, Yu ; Dědek, Oldřich (advisor) ; Benáček, Vladimír (referee)
This study is aim to evaluate the effect of five factors on the amount of tourists arrivals to China in those countries who have most visitors. To apply empirical estimation, a balanced panel data based gravity equation is established, with 22 countries and 15 years period (1998 - 2002). Our main estimates conclude that GDP per capita has a positive impact on the amount of tourists, as well as population, whereas exchange rate and distance will deter the amounts of tourists. Unfortunately PPP conversion factor also has a positive impact but not as expected. The findings of this study will fill the gap of relative literatures for China and provide another evidence of gravity model.
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Underpricing IPO in Russian Market
Aleynikova, Xenia ; Dědek, Oldřich (advisor) ; Lešanovská, Jitka (referee)
This diploma thesis deals with the undervaluation of initial public offerings on the Russian market during the period of 2003-2014 using the ordinary least squares method. The main emphasis of the thesis lies in the development of primary emissions on the Russian market. Moreover, the previous literature is diversified by combining theory of asymmetric information with the analysis of market cycles. We have proved that shares are undervalued on average with the help of the latest figures from the Russian IPO market. By the subsequent analysis of the undervaluation phenomena and factors like age of the institution, size of the institution underwriters, market cycles, supply price of the issued shares, sector of the institution and P/E, P/CF indexes, we have arrived at the conclusion that the Russian IPO market is still developing. We have also demonstrated that in the case of high activity on the IPO market, the so called ¨hot period¨ on the market, and in the case of overpriced shares, the Russian IPO companies undervalue their shares. According to the analysis of the Russian IPO market, the main stress has been put on the companies that belong to the industrial and energy sectors and the analysis has also shown that the reputation of the underwriters does not influence the undervaluation of the...
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