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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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Genetically Modified Biofuels in the Context of Central Europe
Bláhová, Pavla ; Janda, Karel (advisor) ; Kvaček, Jan (referee)
1 Abstract Biofuels have been in the center of focus for many years. They are believed to be the solution to rising fossil fuel demand. This work links together cellulose based biofuels and genetical engineering. Biofuels consumption and production are encouraged all over the world. On the other hand genetical engineering faces harsh legislative obstacles. Our work examines the influence of GM corn on corn for silage yields, which can be used to produce cellulose based ethanol. Results of our model state that if 85% of corn sown area in the CZ was dedicated to GM corn, the yields of corn for silage would increase to 150%. Main drawback of our analysis is that estimates suffer from large uncertainty. Based on discovered significant positive effect, the work recommends liberalization of rigorous EU legislation concerning GM crops. The results of this work can indicate further focus of biofuel industry as well as development in genetical engineering. JEL Classification Q16, Q42, C23 Keywords biofuels, cellulose based ethanol, GM crops, GM corn Author's e-mail PBlahova@email.cz Supervisor's e-mail Karel-Janda@seznam.cz
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Microcredit in Developed Countries: the Case of Quebec
Griss-Trempe, Nicolas ; Janda, Karel (advisor) ; Bauer, Michal (referee)
Microcredit in developed countries behaves in a di erent way than in developing countries. Not only are there bigger obstacles to surpass, like regulation and heavy competition, but also the main driver for microcredit, peer pressure, is almost inexistent. Microcredit institutions turn to a di erent technique to ensure high repayment rates; they follow the loan using training and weekly meetings. However, this procedure has high costs and the institutions must plead for donations from public and private gures. Ensuring these donations come with higher repayment rates. Thus, we will observe which characteristic of a group loan has a positive or negative impact on the repayment rates using data from the Quebec institution of the RQCC. These variables range from gender to training hours and will be regressed using stata.
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Estimation of Bank Runs probability in the context of Deposit Insurance implementation in Russia
Dănilă, Ecaterina ; Horváth, Roman (advisor) ; Janda, Karel (referee)
This thesis empirically investigates the bank runs probability cases over the period 2005-2011 on Russian banking market and, simultaneously, tests the hypothesis of influence of bank-fundamental factors and macroeconomic conditions on the decision of depositors to withdraw their funds from banks. Methodologically, was conducted a logit econometric model to test our assumptions. We find evidence on both bank- fundamentals, such as high debt ratio, rising real interest rates, small asset size, and macroeconomic conditions, such as high inflation, and sharp increases in the real exchange rates, to influence on bank runs. In addition, the thesis analyzes the significance of deposit insurance implementation in avoiding bank runs. Moreover, we compare if the newly adopted deposit insurance diminished the credibility of the depositors in the state-controlled banks compared with private banks, thus, increasing the amount of investments to private banks. Finally, based on our approach, the method identifies a run on Russian deposit market during quarter four of 2008 year; however we would not characterize it as a severe run because it did not touch all banks but more as a partial one (approx. 1/3 of banks from the system were affected).
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Funkce stromů v zemědělské krajině - environmentální dopady a vliv na udržitelnost
JANDA, Karel
This thesis discusses the role of trees in agricultural landscape with a focus on the impact on the environment and on sustainability. First, general problems of current agriculture, and its effects on the components of the environment, are described. Then, I give a brief historical context of deforestation in the development of agricultural landscape is captioned. The main focus of the thesis is to explain the effect of various tree functions on the components of agricultural landscape. The effects of trees on atmosphere, hydrology, biology and soil are also described. Furthermore, I explain the elements of non-forest woody vegetation, which can be found in agricultural landscape, are described. The final part of the thesis evaluates the various functions of trees according to the number of references, presented in literature in the form of tables and graphs.
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Essays on Natural Resource Richness, Economic Growth and Institutional Quality
Zeynalov, Ayaz ; Horváth, Roman (advisor) ; Janda, Karel (referee) ; Frensch, Richard (referee) ; Hartwell, Christopher (referee)
Charles University in Prague Faculty of Social Sciences Institute of Economic Studies DISSERTATION THESIS ABSTRACT Essays on Natural Resource Richness, Economic Growth and Institutional Quality Author: Ayaz Zeynalov Supervisor: Doc. Roman Horvath, Ph.D Academic Year: 2016/2017 Abstract This dissertation consists of three empirical papers on natural resource, economic growth and institutional quality. The first paper analyzes possible publication bias and the reason for contradictory findings in the natural resource literature, the second paper examines the effect of natural resource exports on manufacturing performance in the 15 former Soviet Union countries, and the last addresses whether similarities in country income size and at the institutional level encourage increased amounts of bilateral trade between countries. An introductory chapter puts these three papers into perspective. In the first paper, I analyze 43 studies providing 605 different regression specifica- tions and found that approximately 40% report a negative and statistically significant effect, another 40% report no effect, and the remaining 20% report a positive and statistically significant effect of natural resources on economic growth. The findings show that including interaction between natural resources and institutional quality, controlling...
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Measuring corruption in developed countries
Bajzíková, Anna ; Baxa, Jaromír (advisor) ; Janda, Karel (referee)
The complex issue of corruption has attracted much attention over the last 20 years. The problem was analyzed mostly in the context of developing and transition countries, though not only the recent financial crisis showed the severity of corruption also in the world's most developed countries. This thesis analyzes twelve currently available corruption assessments for a cross section of 39 developed countries in the period 2007-2010. The thesis categorizes these assessments into three basic generations and characterizes the weaknesses and limitations of particular methods. The analysis is based on determination of relationship between individual corruption measures and recognizes specific aspects of corruption actually measured by particular indices. With the exception of strictly opinion poll-based corruption indices, the first and the second generation of corruption indices correlate well for a set of developed countries. This indicates that the sector specific indices, e.g. expenditure corruption assessment, are in analyzed countries closely related to the overall political corruption levels. An applied hierarchical cluster analysis gives better picture of otherwise inconsistent developed countries corruption rankings and divides countries into ten homogeneous groups. However, the analysis...
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Global Games
Fiala, Tomáš ; Gregor, Martin (advisor) ; Janda, Karel (referee)
In this thesis we review literature about the coordination problem under an uncertainty. We set up a continuum player model of collective action, in which part of the population must coordinate on an action in order to achieve a mutual benefit. The complete information version of the model features multiple equilibria. We study the role of various sources of uncertainty in the model and compare them. We also examine the role of private and public information. We discuss particularly the global game, the coordination game of incomplete information in which agents received different but correlated signals about the state. We demonstrate that in the global game an unique equilibrium can be found by iterated elimination of dominated strategies. We compare the global game to related models and examine the consequences of relaxing the assumptions of global game. In addition we show some practical implication of the model for revolutions and currency crises.
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Government Export Support: A Comparative Study of European Post-Communist Countries
Pšenáková, Lucia ; Janda, Karel (advisor) ; Martišková, Monika (referee)
To the best of our knowledge, this bachelor thesis is the first one to analyse official state promotion in all four Visegrad countries. Similar development of those economies in transition period after the fall of Communism is described; their extremely fast and sucessful reorientation towards Western markets is emphasized. Nowadays each government in the region implements its own export strategy. We could observe a mutual understanding of importance of state export support, nevertheless, very different priority territories for export. Further in the thesis we analyse export credit agencies - organisa- tions promoting export projects under more favourable conditions with state guarantees. Firstly we compare theoretical advantages and disadvantages of different forms of export credit agencies. Then we apply data from inter- national trade on gravity equation and we conclude that the most effective type of export credit agency in Visegrad Four region is clearly an organisa- tion operating in the form of an insurance company. Other forms such as a bank and an institution providing both insurance and financing facilities are insufficiently effective. We show that smaller distance and higher GDP also increase the amount of export.
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Debt Contracts and Stochastic Default Barrier
Dózsa, Martin ; Janda, Karel (advisor) ; Krištoufek, Ladislav (referee)
This thesis focuses on the theory of asset pricing models and their usage in the design of credit contracts. We describe the evolution of structural models start- ing from the basic Mertonian framework through the introduction of a default barrier, and ending with stochastic interest rate environment. Further, with the use of game theory analysis, the parameters of an optimal capital struc- ture and safety covenants are examined. To the author's best knowledge, the first EBIT-based structural model is built up that considers stochastic default barrier. This set-up is able to catch the different optimal capital structures in various business cycle periods, as well as bankruptcy decisions dependent on the state of the economy. The effects of an exogenous change in the risk-free interest rate on the asset value, probability of default, and optimal debt ratio are also explained. JEL Classification C73, G12, G32, G33 Keywords credit contracts, stochastic default barrier, asset pricing, EBIT-based models, struc- tural models Author's e-mail martin@dozsa.cz Supervisor's e-mail Karel-Janda@seznam.cz Abstrakt Tato práce se zabývá teoretickými modely pro oceňování finančních aktiv a je- jich použitím při návrhu optimálních úvěrových smluv mezi dlužníky a věřiteli. V první části je popsán...
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