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Macroprudential regulation of the housing market
Petrouš, Michal ; Hlaváček, Michal (advisor) ; Moravcová, Michala (referee)
Housing market has a considerable impact on the macroeconomic stability. There is an attempt to regulate housing market using a set of macroprudential tools. The first aim of this thesis is to describe and compare macroprudential regulation aiming at the contract between lenders and borrowers in the European Union and Norway. The second aim is to assess the influence of central banks in macroprudential policy-making on the probability that these instruments are implemented. The probability is estimated using a probit model. The comparison shows that there are considerable differences in implemented regulation between individual countries and that countries with high proportion of foreign currency denominated loans use macroprudential measures to mitigate borrowing in foreign currencies. Using the data from the European union and Norway, statistically significant influence of central bank involvement was not identified. The effect of central bank became significant when using larger dataset including non-European countries. In this dataset, the leading role of central bank is associated with lower probability that instruments targeting borrowers are implemented.
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Rent deregulation in the Central and Eastern Europe
Malecká, Anna ; Hlaváček, Michal (advisor) ; Buzková, Petra (referee)
This thesis deals with the theme of rent deregulation in selected countries in Central and Eastern Europe, attention is paid to the comparison between the Czech Republic and Slovakia. There are theoretically described the characteristics and impacts of rent control and its possible elimination through privatization and deregulation. The thesis summarizes the specifics of regulation and deregulation process in the Czech Republic, Slovakia and Poland since its beginning in the first half of the 20th century to the present. It focuses on the Czech and Slovak law on unilateral rent increases and a Polish citizen's complaint to the European Court of Human Rights. The second part is devoted to a more detailed comparison of the impacts of regulation, such as the proportion of rental housing in the total housing stock and the rate of internal migration, in the Czech Republic, Slovakia and in their regions. The rate and speed of deregulation in both countries is also compared. Powered by TCPDF (www.tcpdf.org)
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Impact of Securitization on House Price Dynamics in Spain
Hejlová, Hana ; Hlaváček, Michal (advisor) ; Buzková, Petra (referee)
The thesis tries to explain different nature of the dynamics during the upward and downward part of the last house price cycle in Spain, characterized by important rigidities. Covered bonds are introduced as an instrument which may accelerate a house price boom, while it may also serve as a source of correction to overvalued house prices in downturn. In a serious economic stress, lack of investment opportunities motivates investors to buy the covered bonds due to the strong guarantees provided, which may in turn help to revitalize the credit and housing markets. To address such regime shift, house price dynamics is modelled within a framework of mutually related house price, credit and business cycles using smooth transition vector autoregressive model. Linear behaviour of such system is rejected, indicating the need to model house prices in a nonlinear framework. Also, importance of modelling house prices in the context of credit and business cycles is confirmed. Possible causality from issuance of covered bonds to house price dynamics was identified in this nonlinear structure. Finally, threat to financial stability resulting from rising asset encumbrance both in the upward and downward part of the house price cycle was identified, stressing the need to model impact of the covered bonds on house prices in...
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Impact of Rent Deregulation on Prices of Flats in Prague
Kolísko, Jiří ; Hlaváček, Michal (advisor) ; Buzková, Petra (referee)
The process of deregulation of rents in the Czech Republic was unusual because of its scope caused by huge market deformation, where prices in the regulated market were even four times lower than those in the free one. Nevertheless, we focused our research just on Prague's market, because the distortion there was the most significant and the market of flats with regulated rents was the biggest there. We aimed to analyse the impact of rent deregulation on prices of flats and to test the hypothesis that deregulation should cause an increase in their prices. For these reasons we conducted an econometric analysis of time series using FDL model, which showed us lagged effect of deregulation on flats' prices. Contrary to our expectations, we found out that in our case deregulation decreases general level of flats' prices. Thus we discussed variety of reasons, why it could be the case. Moreover we estimated the value of being a tenant in a regulated flat, as it had its market price due to differences between market and regulated rents. The findings of our study thus provide us with better understanding of impacts of liberalisation on regulated markets and could be helpful for improvements of deregulatory strategies for governments.
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Was improper monetary policy the cause of real estate bubbles in Eurozone peripheral countries?: implications for future policy
Tobek, Ondřej ; Hlaváček, Michal (advisor) ; Franče, Václav (referee)
This study is concerned with two interconnected issues. First, the suitability of interest rate chosen by ECB is assessed in individual Eurozone countries using seven versions of Taylor rule. The methodology primarily emphasizes robustness by employment of various measures of inflation and output gap. The policy rates were found to be too low in all Eurozone's peripheral countries for prolonged period of time. Second, the sensitivity of real estate prices to a change in interest rate in Greece, Ireland, Italy, Portugal, Spain and UK is estimated using VAR, VECM, BVAR and Panel VAR. The prime concern is whether the low policy rates can be the cause of housing bubbles. The housing prices respond most vividly to interest rate in Ireland, Spain and UK (approximately 3.5% increase in the price as a response to 1% decrease in interest rate) which are also the countries where flexible interest rate mortgages are dominant. Monetary policy is shown to be an important determinant of housing prices but it is not the sole reason for the bubbles.
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Housing Prices in the Czech Republic and Slovakia: Regional Comparison
Cempírek, Petr ; Hlaváček, Michal (advisor) ; Žigraiová, Diana (referee)
The objective of the present Bachelor's thesis is to compare the behavior of housing prices in the Czech Republic and Slovakia using econometric analysis. First, the author presents the historical context and basic housing indicators. After verifying that variables in dataset are cointegrated, a panel DOLS es- timator for modelling housing prices is employed. The author uses quarterly regional data in order to analyze the response of basic housing price fundamen- tals in the two countries that formed one federation until 1992. By forming a short run equation with an error-correction term the author checks for the existence of long run housing price equilibrium and for the speed of price rever- sion to equilibrium in case it is misaligned. The author then focuses on housing price misalignments as well as their dynamics in the individual regions.
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Comparison of the inflation prediction approaches: Monetary growth vs. Output gap analysis
Kuliková, Veronika ; Horváth, Roman (advisor) ; Hlaváček, Michal (referee)
Inflation is one of the often used monetary indicators in conducting monetary policy. Even though money supply is an essential determinant of inflation, it is not used in inflation modeling. Currently, output gap is considered as most predicative variable. This thesis brings the empirical evidence on the hypothesis of money supply carrying more information on estimating inflation than the output gap. It is provided on the case of 16 developed European economies using Bayesian Model Averaging (BMA). BMA is a comprehensive approach that deals with the model uncertainty and thus solves the variable selection problem. The results of analysis confirmed that money supply includes more information of inflation than the output gap and thus should be used in inflation modeling. These outcomes are robust towards prior selection and high correlation of some variables. Powered by TCPDF (www.tcpdf.org)
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Impact of the CNB's interventions on the economz and comparison with other countries
Pjontek, Matej ; Hlaváček, Michal (advisor) ; Břízová, Pavla (referee)
This bachelor thesis analyzes influence of foreign exchange intervention of CNB on economy and compare it with influences of foreign exchange intervention of SNB and BOI on their economies. At first, we compare foreign exchange interventions and development of economies (banking sector, foreign trade,...) of Czech Republic, Switzerland and Israel. A hypothesis of efficiency of foreign exchange interventions of CNB, SNB and BOI is tested on specific empirical data. The bachelor thesis describes VAR model for given countries with basic macroeconomic variables (GDP growth, money supply, inflation, interest rate, nominal effective exchange rate and balance of current account of balance of payments). The results of model show on relative efficiency of foreign exchange interventions i.e. SNB mitigated influence of appreciation of CHF, CNB supported GDP growth and BOI increased foreign exchange reserves and supported GDP growth.
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Inter-sector credit exposure: Contingent claims analysis in the Czech Republic
Brechler, Josef ; Hlaváček, Michal (advisor) ; Janda, Karel (referee)
Linkages between economic agents in form of financial assets might contribute to transmission of shocks between different parts of the economy. Aim of this thesis is to enrich the ongoing discussion about the spread of contagion through the economy. We provide an analysis of financial interlinkages in the Czech economy and using the contingent claims analysis (CCA) model we attempt to quantify risks in the system that that are implied by the existence of these linkages. We use different techniques within the framework of the model to obtain various indicators that can be used to assess stability of the system. Using simulations we find that size of losses due to riskiness of debt depends strongly on the origin of a shock and it is higher for shocks originating in the household sector than for shocks originating in the sector of the non-financial corporations. We also find that size of a decrease in capital of the banking sector needed to cause a distress in the system as relatively high and stable in time. JEL Classification E01, E44, G01, G12, G20 Keywords Balance sheet contagion, financial accounts, network models, contingent claims analysis, systemic risk Author's e-mail josef.brechler@gmail.com Supervisor's e-mail michal.hlavacek@cnb.cz
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The Commercial Real Estate Analysis for CEECs region
Pavlas, Michal ; Hlaváček, Michal (advisor) ; Kvaček, Jan (referee)
In this thesis we examine macroeconomic factors that influenced the office real estate market in CEE countries between years 2000 and 2012. First, we describe commercial real estate indicators. Next, we create several models for four cities - Prague, Budapest, Moscow and Istanbul. We make also panel data regression for all four cities. We conclude some key determinants that influence the prime yields of office buildings in each city and finally we compare and contrast the results across all cities. Our results suggest that prime yields are most influenced by vacancy rate, gross take-up, total office stock and unemployment rate.
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