National Repository of Grey Literature 4 records found  Search took 0.01 seconds. 
What Drives the Aggregate Credit Risk: The Case of the Czech Republic
Málek, Jan ; Seidler, Jakub (advisor) ; Doležel, Pavel (referee)
There has been a long discussion about macroeconomic variables influencing the level of aggregate credit risk in the economy. While literature provides both empirical evidence and theoretical explana- tion of the influence of the business cycle on credit risk, the effect of other macroeconomic variables has not been explored sufficiently. In addition, recent literature suggests the existence of a latent risk factor behind aggregate credit risk, which is regularly interpreted as the latent default cycle. This thesis provides in its first part a discussion of potential aggregate credit risk drivers, which have been previously suggested in literature. We verify using a linear regression model whether the effect of these macroeconomic variables is also apparent in the Czech Republic. Results seem to be stable for both different model specifications and different clients segments and are in line with previous studies. The second part of this thesis explicitly models the latent factor that is assumed behind aggregate credit risk by adding an unobserved component to the already existing model constructed earlier in this thesis. The unobserved component can be estimated by applying Kalman filter. We subsequently discuss the sources of the latent component and whether it can be interpreted as the default cycle. The...
Influence of Culture on Macroeconomic Stability
Šenkýřová, Jitka ; Baxa, Jaromír (advisor) ; Gregor, Martin (referee)
This thesis investigates the effect of individual countries' cultural character- istics on macroeconomic stability. Macroeconomic stability is a general con- cept that comprises the stable development of several economic parameters - inflation, government budget, external debt, gross domestic product, and oth- ers. The mainstream economics investigates these indicators usually as being shaped only by wealth, political stability and institutions. However recently, the economic literature reveals the relationship between some of the individ- ual cultural characteristics - mainly trust - and macroeconomic (in)stability. This thesis is the first attempt to analyze the effect of complex set of cultural characteristics on macroeconomic stability. Through the lens of panel data re- gression it is shown that the macroeconomic stability is significantly affected by cultural characteristics. In particular, more individualistic countries tend to have lower macroeconomic stability. Furthermore, in countries where people feel stronger fear about uncertainty the macroeconomic stability is also weaker. On the contrary from the previous studies, the positive effect of higher trust on macroeconomic stability is not confirmed. JEL Classification C33, E03, Z10, Z19 Keywords Macroeconomic stability, Cultural economics,...
What Drives the Aggregate Credit Risk: The Case of the Czech Republic
Málek, Jan ; Seidler, Jakub (advisor) ; Doležel, Pavel (referee)
There has been a long discussion about macroeconomic variables influencing the level of aggregate credit risk in the economy. While literature provides both empirical evidence and theoretical explana- tion of the influence of the business cycle on credit risk, the effect of other macroeconomic variables has not been explored sufficiently. In addition, recent literature suggests the existence of a latent risk factor behind aggregate credit risk, which is regularly interpreted as the latent default cycle. This thesis provides in its first part a discussion of potential aggregate credit risk drivers, which have been previously suggested in literature. We verify using a linear regression model whether the effect of these macroeconomic variables is also apparent in the Czech Republic. Results seem to be stable for both different model specifications and different clients segments and are in line with previous studies. The second part of this thesis explicitly models the latent factor that is assumed behind aggregate credit risk by adding an unobserved component to the already existing model constructed earlier in this thesis. The unobserved component can be estimated by applying Kalman filter. We subsequently discuss the sources of the latent component and whether it can be interpreted as the default cycle. The...
Stabilizace MKP pro vazkou nestlačitelnou tekutinu modifikovanou metodou GLS
Burda, P. ; Novotný, Jaroslav ; Šístek, J.
We deal with 2D flows of incompressible viscous fluid with higher Reynolds numbers. Galerkin Least Squares technique of stabilization of the finite element method is investigated and its modification is described. A number of numerical results is presented. Positive as well as negative properties of stabilization are discussed.

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