National Repository of Grey Literature 226 records found  beginprevious146 - 155nextend  jump to record: Search took 0.01 seconds. 
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.
Examining the impact of reforms on economic growth: The case of transition economies
Zhupaj, Lorena ; Horváth, Roman (advisor) ; Benáček, Vladimír (referee)
This paper aims to investigate the impact of reforms on economic growth in a sample of transition economies of Central Eastern Europe, South Eastern Europe and Commonwealth of Independent States from 1989 until 2010. We employ a panel data methodology and run a Haussman test to distinguish between a fixed effect and a random effect model. In addition, we take into account the role of reform reversals and examine their contribution in the growth dynamics. Reform downgrades are very common since in some cases progress in reforms has been stalled or even reversed due to political instability, wars, economic crises, etc. We model the reforms downgrades following the previous work of Merlevede (2003) using a different methodology and extending our period of estimation. Furthermore, the relationship between other explanatory variables (i.e. initial conditions, fiscal balance) and growth is further explored in the empirical estimation. JEL Classification O57, P21 Keywords transition economies, reforms, reversal Author's e-mail lorena_zh@hotmail.com Supervisor's e-mail roman.horvath@gmail.com
Comparison of the inflation prediction approaches: Monetary growth vs. Output gap analysis
Kuliková, Veronika ; Horváth, Roman (advisor) ; Babin, Adrian (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.
Credit rating agencies and their impact on the bond markets of EU countries
Havlíček, Tomáš ; Horváth, Roman (advisor) ; Jánský, Ivo (referee)
This thesis analyses long and short-term perception of announcements issued by leading credit rating agencies (Fitch, Moody's and S&P) in sovereign bond markets. Using three empirical approaches we assess the nature of impact of CRAs on 10Y sovereign bond yields and 5Y CDS of 24 countries of EU between 2002 and 2012. We find significant response of sovereign bond yield and CDS spreads to downgrades and negative outlooks. Furthermore there is evidence of anticipative power of sovereign bond markets in foreseeing negative events implying CRAs lag the market. The spillover effect from credit rating announcements has been revealed between both EMU and non-EMU parts of EU implying the financial integration is not limited only to countries with common currency. Well performing economies outside EMU are resistant to contagion. JEL Classification C23, F34, G10, G14, G15 Keywords credit rating; credit default swap; rating agency; sovereign bond; EU Author's e-mail tomhav@gmail.com Supervisor's e-mail roman.horvath@gmail.com
Financial Stress Transmission from Developed to Emerging Countries
Gavrilenco, Nicolae ; Horváth, Roman (advisor) ; Jakubík, Petr (referee)
Charles University in Prague Faculty of Social Sciences Institute of Economic Studies MASTER THESIS Financial Stress Transmission from Developed to Emerging Countries Author: Bc. Nicolae Gavrilenco Supervisor: doc. Roman Horvàth, Ph.D. Academic Year: 2012/2013 Abstract In this research we have analyzed the financial system as it is today, describing the implications financial innovation had and the impact of the recent financial crisis. We tried to understand the nature of the financial stress and its measures. In the context of world financial integration it was also necessary to have a review upon the financial stress transmission channels from developed to emerging countries, determining the linkages and their measures. We employed a structural VAR model to determine whether there is empirical proof of financial Stress transmission from developed to emerging countries and see if financial integration represents the decisive factor in financial stress transmission. Our results suggest that there is a significant impact of financial stress in developed countries on the output of emerging ones. However we can observe an increasing influence of country-specific factors in explaining the variation in the rest of the variable of our model. The results also indicate the level of international financial...
Evaluation of interest rates predictions: The case of Czech National Bank
Boček, Josef ; Horváth, Roman (advisor) ; Serdarevič, Goran (referee)
This research focuses mainly on the evaluation of interest rates predictions (predictions of 3M PRIBOR rate) published by Czech national bank. In the first part of the thesis reasons and potential central bank's benefits of the publishing of interest rate predictions are presented, based on the current academic literature. In the next chapters econometric and non-econometric evaluation of Czech national bank forecasts is provided. Furthermore, predictions from Czech Treasury, random walk process and my own autoregressive and vector autoregressive predictions were evaluated as well. It has been concluded that Czech national bank produces and publishes the most accurate based on non-econometric and econometric evaluation of all examined predictions. Moreover during the F-test evaluation procedure, the forecasts of Czech national bank proved themselves to be unbiased for the longest time horizon of all examined predictions. Powered by TCPDF (www.tcpdf.org)
Bank Liquidity Creation and Real Economy: VAR Analysis
Hálová, Klára ; Horváth, Roman (advisor) ; Kruchynenko, Ihor (referee)
In this thesis we examine the interactions of bank liquidity creation and real economy using vector autoregression model. We selected inflation, unemployment rate and interest rate as basic economic variables which theoretically could influence bank liquidity creation. We decided to examine the reverse relationship whether bank liquidity creation has a significant impact on real economy. We study these interactions using data from Czech Republic within ten-year period from 2000 to 2010. Our results suggest that macroeconomic fluctuations have a significant impact on bank liquidity creation. The results also support our reverse hypothesis that higher liquidity creation can improve macroeconomic conditions.
The determinants of access to finance: evidence for transition economies
Cazachevici, Alina ; Horváth, Roman (advisor) ; Benáček, Vladimír (referee)
Charles University in Prague Faculty of Social Sciences Institute of Economic Studies MASTER THESIS The determinants of access to finance. Evidence for transition economies Author: Alina Cazachevici Supervisor: Roman Horvath, Ph.D. Academic Year: 2012/2013 Abstract The thesis provides an empirical analysis of impact of country-level and firm-level determinants on access to finance in transition economies. Generalized Ordered Logit model is applied on survey data for transition countries, combined with financial market indicators. The results show that higher concentration in banking sector, as well as higher financial deepening have a positive impact on access to finance, while volatile macroeconomic environment, higher implication of foreign-owned and state- owned banks seems to be perceived as increasing obstacles in accessing external financing. Combining indexes for liberalization in banking sector and liberalization of securities markets proved that before liberalization process firms had better access to finance. One of the possible explanations is that before liberalization state banks were forced by politicians to issue more loans, while after reforms the political pressure was removed, imposing stricter conditions for loan granting. Inclusion of corruption variable yields expectable results that...
Foreign and Domestic Currency Loans in Central Europe: An Empirical Analysis
Burešová, Nikola ; Horváth, Roman (advisor) ; Kruchynenko, Ihor (referee)
This thesis describes the history and present situation of dollarization process and analyzes the situation in three new EU member states. It describes the development of the official and unofficial dollarization of credits and deposits, and concludes the results of previous studies. Furthermore, it provides a detailed analysis of situation concerning borrowing denominated in foreign currencies in the Czech, Hungarian and Polish household sector, for the period of last eleven years. The empirical analysis investigates the determinants of foreign currency loans in a household sector. Using three different panel data regressions, we found that share of foreign currency denominated loans in examined countries are positively influenced by dollarization of deposits, banks' net foreign assets and loan to deposit ratio. Other tested variables, such as EU membership, interest rate differential or exchange rate volatility, changes their significance and impact according to the model or the method used. Their impact on a dependent variable is insignificant and not stable. JEL Classification E44, G21 Keywords Foreign currency borrowing, dollarization, household sector, Central Europe Author's e-mail Nikola.Buresova@seznam.cz Supervisor's e-mail Roman.Horvath@gmail.com Bibliographic Record Burešová, N (2013):...
Asian Financial Linkages: The Case of Japan
Fialová, Anežka ; Horváth, Roman (advisor) ; Turnovec, František (referee)
This work reviews the topic of international financial linkages, including theoretical definitions and the main methodological approaches of the empirical measurement based on vector autoregressive models. One of the approaches, the Spillover Index methodology based on Diebold & Yilmaz (2009), is then used to analyze the developments of financial linkages of the Japanese stock market in the period from 1995 to 2012. The attention is paid both to the relations with western developed economies and within the region of East Asia. The main contribution of this paper is the fact that it comprises a complete review of international relations of Japanese stock market during the era of unprecedented financial liberalization. The results of the empirical study confirm the opening of Japanese stock markets towards foreign influence. Even though USA have been the major driving force behind the movements in East Asian stock markets, Japan has become a significant regional player, whose influence on East Asian countries has been growing. The developments in the Japanese stock market are on the other hand driven solely by the western developed countries, which further supports the view of Japan as the regional financial leader.

National Repository of Grey Literature : 226 records found   beginprevious146 - 155nextend  jump to record:
See also: similar author names
24 HORVÁTH, Roman
1 Horváth, R.
2 Horváth, Radovan
24 Horváth, Roman
2 Horváth, Rudolf
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