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Bank lending surveys and financial cycles
Mayr, Samuel ; Geršl, Adam (advisor) ; Hlaváček, Michal (referee)
In 2003 European Central Bank issued a qualitative survey of financing condi- tions. Called bank lending survey (BLS) and including 22 questions on credit standards, credit terms and conditions, and loan demand, the BLS was supposed to act as an additional information stream for the European Central Bank to be able to differentiate between supply and demand effects. This thesis gathers available BLS answers and evaluates their potential use in an early warning system. According to AUROC analysis of various logit models, based partially on traditional early warning indicators (EWIs) and partially on the BLS data, the study picks 27 BLS variables that significantly improve performance of the current EWIs over the period of 2003-2017. JEL Classification C23, C40, F47, G01, G21, G28 Keywords EWIs, bank lending survey, ROC, financial cycle Author's e-mail mayr.samuel@gmail.com Supervisor's e-mail adam.gersl@gmail.com
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Do crypto-currencies form a new asset class?
Mayr, Samuel ; Krištoufek, Ladislav (advisor) ; Hanus, Luboš (referee)
This paper examines statistical properties of crypto-currencies' price variations in comparison with statistical properties of price variations in common financial markets. Price data of Bitcoin, ripple and Litecoin have been directly compared with price data of euro currency and stock index S&P500. Additionally, and compared with set of stylized facts of asset returns. The properties in scope of this work include an autocorrelation of day-to-day returns, a shape of return distributions, a volatility clustering, a leverage effect and a volume/volatility correlation. To answer the question of this thesis, we have tried to find unique differences in the way prices of crypto-currencies behave. After every point of the data analysis has been checked, we have concluded that the only major difference is in the shape and the significance of autocorrelation in day-to-day returns. While crypto-currencies seem to autocorrelate, there has been no such a cross-autocorrelation found in the benchmark values. Therefore, we argue that it is the most distinctive sign of crypto-currencies and the reason for crypto-currencies to be regarded as separate asset class. Powered by TCPDF (www.tcpdf.org)
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