|
|
Systemic Risks Assessment and Systemic Events Prediction: Early Warning System Design for the Czech Republic
Žigraiová, Diana ; Jakubík, Petr (advisor) ; Doležel, Pavel (referee)
This thesis develops an early warning system framework for assessing systemic risks and for predicting systemic events, i.e. periods of extreme financial instability with potential real costs, over the short horizon of six quarters and the long horizon of twelve quarters on the panel of 14 countries both advanced and developing. Firstly, Financial Stress Index is built aggregating indicators from equity, foreign exchange, security and money markets in order to identify starting dates of systemic financial crises for each country in the panel. Secondly, the selection of early warning indicators for assessment and prediction of systemic risks is undertaken in a two- step approach; relevant prediction horizons for each indicator are found by means of a univariate logit model followed by the application of Bayesian model averaging method to identify the most useful indicators. Next, logit models containing useful indicators only are estimated on the panel while their in-sample and out-of-sample performance is assessed by a variety of measures. Finally, having applied the constructed EWS for both horizons to the Czech Republic it was found that even though models for both horizons perform very well in-sample, i.e. both predict 100% of crises, only the long model attains the maximum utility of 0,5 as...
|
|
|
Systemic Risks Assessment and Systemic Events Prediction: Early Warning System Design for the Czech Republic
Žigraiová, Diana ; Jakubík, Petr (advisor) ; Doležel, Pavel (referee)
This thesis develops an early warning system framework for assessing systemic risks and for predicting systemic events, i.e. periods of extreme financial instability with potential real costs, over the short horizon of six quarters and the long horizon of twelve quarters on the panel of 14 countries both advanced and developing. Firstly, Financial Stress Index is built aggregating indicators from equity, foreign exchange, security and money markets in order to identify starting dates of systemic financial crises for each country in the panel. Secondly, the selection of early warning indicators for assessment and prediction of systemic risks is undertaken in a two- step approach; relevant prediction horizons for each indicator are found by means of a univariate logit model followed by the application of Bayesian model averaging method to identify the most useful indicators. Next, logit models containing useful indicators only are estimated on the panel while their in-sample and out-of-sample performance is assessed by a variety of measures. Finally, having applied the constructed EWS for both horizons to the Czech Republic it was found that even though models for both horizons perform very well in-sample, i.e. both predict 100% of crises, only the long model attains the maximum utility of 0,5 as...
|
|
|
The monetary policy and financial stress: the empirical analysis
Štimpl, Marek ; Horváth, Roman (advisor) ; Seman, Vojtěch (referee)
This work is concerned with interrelations between monetary policy instrument - policy rate, key macroeconomic control variables - GDP, inflation, and financial stress. As a proxy for financial stress we consider composed financial stress index for the Czech Republic. We estimate the SVAR model, which allows for more than one variable to be endogenous and also for contemporaneous relations. Resulting from the SVAR analysis we conclude that financial stress is definitely a relevant factor for policy-making decisions. In the long term, rising levels of financial stress is decreasing the policy rate, on the other hand increase in policy rate is significantly stressful event for financial markets. Financial stress is significantly a negative factor in terms of real output.
|
|
| |
|
| |
guest ::
