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Capital Flows and Credit Development: Empirical Evidence from the CEE Region
Izák, Jan ; Geršl, Adam (advisor) ; Kraicová, Lucie (referee)
The aim of this bachelor thesis is to investigate the relationship between the structure of international capital flows and credit development in Central and Eastern Europe. Over last twenty years, the CEE region has often been a destination for capital flows from developed countries which have significantly influenced domestic economies. With respect to the rapid growth of credit over the same period, it makes sense to deal with this relationship in more detail. The data are analyzed separately for corporations and households as they experienced different credit development. In the analysis, I apply OLS and PCSE model on the quarterly data in the period 1997-2013. The results of the analysis imply the influence of FDI and OI inflows in both sectors but only negligible impact of PI inflows. However, the importance of FDI inflows have decreased over time. Powered by TCPDF (www.tcpdf.org)
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Determinants of Executive Compensation in Czech Companies
Keše, Tibor ; Geršl, Adam (advisor) ; Klinger, Tomáš (referee)
In this thesis we assess executive compensation in the Czech Republic. Our study adds to scarce literature written on this topic regarding the Czech environment. We analyze a dataset of 100 large Czech companies, we try to find the factors influencing income of Czech managers and we compare our results to existing empirical research. We found that factors such as company's size, performance or concentration and nature of ownership are determinants of the level of executive compensation. Furthermore, we find that annual growth in managerial income is to some extent sensitive to annual performance of the company. We conclude that the environment of executive compensation in the Czech Republic fits predictions of both underlying theories, optimal contracting and rent extraction view, and the compensation culture seems comparable to other countries. JEL Classification J31, M52, L25 Keywords Executive compensation, optimal contracting, rent extraction, performance sensitivity
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The importance of banking fee income in the EU banking industry - does market concentration matter?
Růžičková, Karolína ; Teplý, Petr (advisor) ; Geršl, Adam (referee)
This thesis deals with both theoretical and practical aspects of banking fee and commission income in the European Union. Since fee income represents the largest part of non-interest income earned by banks, it remains a major challenge for bank management to set and maintain an appropriate fee policy. Nevertheless, solving for the optimal fee structure has not yet been accomplished either on a theoretical level, or in actual practice. In the thesis, we analyse fee income in EU banking sectors. Our results show that the Czech banking sector was not abnormally dependent on fee income compared to other EU countries in the period 2007-2012. As a result, we argue that the high profitability of Czech banks cannot be attributed to abnormal banking fee and commission income, but rather other factors should be considered. Moreover, we study the determinants of fee income share in individual banks and discuss the impact of market concentration on the magnitude of banking fees. We conclude that banks facing higher competition tend to expand more aggressively into non-traditional activities and therefore they report higher fee income shares. We also study the relationship between banking fees and banks' performance in terms of profit and risk. The results on profitability are mixed depending on applied...
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Impact of Stress Testing on Bank Risk
Dítě, Martin ; Geršl, Adam (advisor) ; Jakubík, Petr (referee)
This thesis studies the impact of macro stress testing on the riskiness of the participating banks. We use a dataset on 48 banks participating in either or both of the 2010 and 2011 EU exercises performed by the CEBS/EBA and 17 peer banks that did not participate. We find that early announcement of the 2010 stress test led to a temporary capitalization increase for the participating banks. We also find that disclosure of the 2011 exercise results caused a decline in capitalization for the participating banks. The results indicate that the way stress tests are prepared and communicated can strongly influence how banks react in terms of capitalization levels. Powered by TCPDF (www.tcpdf.org)
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Competition, efficiency and soundness in banking
Jankovská, Alžběta ; Geršl, Adam (advisor) ; Havránková, Zuzana (referee)
There is an ongoing debate whether the impact of competition on bank soundness is positive or negative. Traditionally, it was assumed that there is a trade-off between competition and bank soundness. On the other hand, some recent studies suggest that competition has a positive effect on bank soundness. In this thesis, we will focus on the concept of efficiency as a possible link between competition and bank soundness. Firstly, we will summarize different approaches to measure competition, efficiency and soundness in banking sector. Subsequently, we will focus on hypotheses formulated to describe the link between competition in financial sector and bank soundness, between efficiency and bank soundness and between bank competition and efficiency. The empirical part, we will examine whether there is a link between competition and soundness via efficiency channel. Our analysis is based on dataset contains commercial banks from Visegrad group during period 2008 - 2012. We will exploit the Boone indicator as a measure of competition, the SFA approach to obtain efficiency score and soundness will be derived from z-score. The empirical evidence confirmed the positive link between competition and bank soundness via efficiency channel.
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Nonperforming Loans in China: Do We (Still) Need to Worry?
Sočuvková, Alžbeta ; Geršl, Adam (advisor) ; Lopušník, Ondřej (referee)
This thesis discusses the issue of nonperforming loans in China, and the financial sector developments from the beginning of Deng Xiaoping's reform era in 1978. The focus is put on the underlying institutional framework as it is found to be one of the key contributing factors of the NPLs. Utilizing a sample of 23 countries over the period 2000-2009, we estimate the impact of macroeconomic determinants on NPLs. One of the regressors, output gap, is estimated via Kalman filtering technique based on the multivariate unobserved component (MUC) method. Consequently, out-of-sample method forecasts for five subgroups of countries, which thus provide different benchmarks for China, are compared with official data. The conclusion argues the NPLs ratio to be understated in official statistics, especially towards the end of the series, which might be a sign of increasing macroeconomic instability in China. Finally, the independence of the China's central bank to report the true NPLs ratio is inferred from a monetary policy study which utilizes the Havrilesky method.
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Estimating implicit inflation target of the ECB
Melioris, Libor ; Horváth, Roman (advisor) ; Geršl, Adam (referee)
Existing estimations of implicit inflation target are primarily based on the assumption of parameter stability over time horizon. This work relaxes this assumption and proposes alternative framework based on time-varying parameter model. We aim on behaviour of European Central Bank in order to compare its official proclamations of price stability levels with our implicit estimations. We will also examine how two pillar strategy of European Central Bank is practically used.
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Credit Growth in CEE Countries: Empirical Analysis of Early Warning Indicators
Stříbný, Jan ; Geršl, Adam (advisor) ; Paulus, Michal (referee)
Excessive credit growth is often considered to be an indicator of future problems in financial sector. Basel III regulatory package has introduced countercyclical capital buffer to improve stability of the banking sector and proposed using credit-to-GDP gap as an indicator for calibrating the buffer. In BCBS methodology, Credit-to-GDP gap is counted as a difference between current value and a long term trend obtained from data series using Hodrick-Prescott filter. In this work we used out of sample estimation method to create models for a determination of equilibrium credit to households' assets ratio and applied the results to compute the deviation from the long term equilibrium. We found that these alternative indicators can give signals different to credit to GDP gap, computed by using HP filter or OOS method, and sometimes they could even identify accumulation of risk in cases, where credit to GDP fails. The indicators were especially superior to using HP filter on CEE countries. The weakness is, however, the determination of a clear threshold for the indicator, when the credit growth should be classified as excessive.
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Risk appetite estimation on financial markets
Fidler, Vojtěch ; Geršl, Adam (advisor) ; Babin, Adrian (referee)
The thesis studies role of risk appetite on financial markets. In theoretical part, author describes a notion of this concept, refers to known methods and describes the role of behavioral economics in treatment of this concept. In practical part, models are constructed to explain influence of selected indices on CDS which proxy for sovereign risk of individual developed and emerging markets. Across the globe, there is found strong common component which can be explained by selected indices. It is also observed that GRAI indicator can play role in case of emerging markets. In case of developed markets, however, this property is missing. Granger causality does not prove relationship of GRAI explanation power in direction to sovereign risk.
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Effectiveness of Banking Regulation and Supervision in the Light of the Global Financial Crisis
Dítě, Martin ; Geršl, Adam (advisor) ; Soudek, Jan (referee)
In this paper we investigate the impact of banking regulation and supervision on the economy during crises and compare our results with current regulatory trends. Specifically, we employ a dataset consisting of 49,183 firms in 85 countries to estimate the influence on availability of credit and 642 banks in 48 countries to evaluate the influence on banking profits. We provide evidence that banks in countries with more independent regulators had higher profits, while the increased power of supervisory agency and disclosure requirements fostering private monitoring had a negative effect on profits. The evidence, on the other hand, suggests that private monitoring did increase the availability of credit during crisis. Although the current global approach to regulation does deal with many issues that arose from our analysis, the analysis did not provide any evidence of the beneficial effect of capital requirements that are at the core of this approach. JEL Classification G01, G21, G28 Keywords Bank performance, Credit availability, Regulation and supervision, Financial crisis
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