|
|
Supervision of the financial system in the European Union
Žáček, Ondřej ; Kohajda, Michael (advisor) ; Kotáb, Petr (referee)
1 Abstract This master thesis deals with the arrangement of the supervision of the financial system in the European Union. Its content and structure is strongly tied with two principal supervisory pillars - European System of Financial Supervision (ESFS) and Single Supervisory Mechanism (SSM). The first chapter starts with the historical background of the European financial supervision and proceeds to the recent global Great recession which motivated the reforms that led to the current state of the supervisory structure. The operation of the ESFS and SSM is thoroughly explained in chapters two and three respectively, moreover I cover their interaction with national supervisory authorities and special emphasis is put on the role of the Czech National Bank. Several controversial issues are also reflected in the course of the thesis, ie. rather regulatory than supervisory role of the European supervisory authorities which contradicts the initially declared intentions, their low operability or quite illusory legislative demand of extensive independence of national representatives when they stand for their respective home authorities in the European institutions. The emphasis on the Czech Republic is evident from the sub-chapter regarding the potential entry into the close cooperation with the Single Supervisory...
|
|
|
Does monetary policy reinforce the effects of macroprudential policy?
Livorová, Barbara ; Geršl, Adam (advisor) ; Ehrenbergerová, Dominika (referee)
This thesis examines whether the efects of macroprudential policy on credit and house price growth difer across diverse phases of the monetary policy cycle. The dataset covers 33 advanced and 39 emerging market countries in the period 1990-2019. Using the GMM estimation method, the results for individual types of macroprudential policy instruments and their cumula- tive efect represented by macroprudential policy index show that tightening of monetary policy does on average reinforce the efects of macropruden- tial policy on credit and house price growth. Furthermore, the efects of various types of macroprudential policies on credit and house price growth difer depending on the monetary policy cycle phase. The results suggest that macroprudential policies are efective in curbing house price growth in advanced countries but less so in emerging markets. The efects of macropru- dential policy tools on credit growth are somewhat larger in emerging market economies than in advanced economies. The thesis contributes to the growing literature on the efectiveness of macroprudential policy on credit and housing markets and on the interaction between macroprudential and monetary poli- cies. JEL Classifcation E52, E58, G21, G28, E32 Keywords Macroprudential Policy, Monetary Policy, Credit Growth,...
|
|
|
Topics in Real Estate Analysis and Macroprudential Policy
Hejlová, Hana ; Hlaváček, Michal (advisor) ; Geršl, Adam (referee) ; Olszewski, Krzysztof (referee) ; Rychtárik, Štefan (referee)
This dissertation thesis consists of three chapters devoted to analyzing residential and commercial real estate prices, assessing risks related to residential real estate exposures for financial stability, and calibrating borrower-based macroprudential measures to address those risks. Each chapter presents a general approach(es), which can be used - after certain adjustments - for similar analyses across countries and application to the Czech Republic or the CEE countries. In Chapter 1, we first show the application of a standard inverted demand model of the equilibrium house prices, which we extend to take into account the population ageing in the Czech Republic with potential impact on the effective demand for owner- occupied housing. Then, we present an alternative model that considers possible amplification between house prices, mortgage credit, and the real economy and investigates whether non-linearities in the short-term house price dynamic are present in the Czech Republic. By this, we extend the scarce empirical literature on non-linearities in house prices. Next, we abstract from economic determinants of house prices, which may lead to biased results if procyclical, and analyze the interaction between asking and transaction prices as a kind of revealed expectations of buyers and sellers...
|
|
|
Can macroprudential policies curb house price booms? International evidence
Šváb, Ondřej ; Horváth, Roman (advisor) ; Geršl, Adam (referee)
This thesis examines the effectiveness of macroprudential policies on reducing housing price growth in the international database of 56 countries with the use of GMM and fixed effects between 2000 and 2017. The macroprudential index is added to the dynamic panel data model where the housing price index is regressed on housing price determinants as the economic growth or unemployment rate. The analysis is also conducted on the sample of countries with a higher market share of owners with a mortgage as there is a higher opportunity to control the housing market through the credit channel. Nevertheless, results show that we do not have enough evidence to state that macroprudential policies curb house price booms. Contrarily, the effect seems to work in the opposite direction which is probably caused by a reverse causality between the growth of real estate prices and the implementation of macroprudential tools. The debt-to-income restriction is the only tool that decreases housing price growth according to the fixed effects model. Detailed counterfactual analysis of the Czech market proposes only a slight impact of the loan-to-value measure on the apartment price development according to one out of four predictions. 1
|
|
|
Dopady regulací na trh spotřebitelských úvěrů na bydlení
Vinklárek, Filip
Diploma thesis focus on the regulation of consumer housing loans market. Based on the analysis of the consumer housing loans market in the European Un-ion, the main regulations and factors affecting this market are identified. Panel data analysis is available to determine the effects of regulation and factors on mortgage lending. The explained variable is the growth of mortgage loans. The explanatory variables are macroeconomic factors and macroprudential policy in-struments. Results showing effects of macro-prudential instruments on the con-sumer housing loans market.
|
|
|
Dopady regulácií na trh spotrebiteľských úverov na bývanie
Vasiľková, Erika
The diploma thesis deals with an increasing demand for real estate loans, which support the increase of prices on the housing market. As a consequence of this, systemic risk grows, which causes that financial stability is unstable. By means of regressive analysis of panel data we try to find out the efficacy of macro-prudential tolls on increasing demand for real estate loans. Increase of real estate loans was chosen as a described factor, as well as macro-prudential tools and macro-economic indicators. The analysed data in the research come from the first quarter of 2006 until the fourth quarter of 2017. Time series are covered quar-terly. Eight countries of the European union were chosen as a sample for the analysis.
|
|
|
Monetary Policy, Macroprudential Policy and Financial Stabiliy in the Post-Crisis Framework
Malovaná, Simona ; Holub, Tomáš (advisor) ; Teplý, Petr (referee) ; Juselius, John Mikael (referee) ; Šaroch, Stanislav (referee)
This dissertation consists of four empirical papers analysing and discussing central bank policies in the post-crisis period. After the global financial crisis central bankers and other regulators have faced many new challenges, including a prolonged period of acommodative monetary policy, side effects of monetary policy easing on financial stability and interaction of macroprudential, microprudential and monetary policy. On top of that, policy makers must deal with uncertainty surrounding the transmission and the effectiveness of newly introduced macroprudential measures. The empirical analyses focus primarily on the Czech Republic and its banking sector, with an exception of the first essay. Using data for the Czech Republic and five euro area countries, the first essay shows that monetary tightening has a negative impact on the credit-to-GDP ratio and banks' capital-to-asset ratio, while these effects have strengthened considerably since mid-2011. This supports the view that accommodative monetary policy contributes to a build- up of financial vulnerabilities, i.e. it boosts the credit cycle. The second essay assesses the transmission of higher additional capital requirements stemming from capital buffers and Pillar 2 add-ons on banks' capital ratio, capital surplus and implicit risk weights. The results...
|
|
|
Macroprudential Policy and its Impact on the Real Estate Market
Wdowyczynová, Lucie ; Malovaná, Simona (advisor) ; Holub, Tomáš (referee)
After the recent world financial crisis, macroprudential policy tools have started to play an important role in maintaining financial stability. In many countries, the tools have been extensively used only in recent years and their effectiveness is often difficult to assess. Using an index as a proxy for policy tools is one of ways to measure their impact. In this thesis, a new index capturing, in contrast with other studies, also an intensity factor, is constructed. Results are mostly in accordance with economic intuition and existing studies and suggest that indices constructed in an equivalent way can help to understand the impact of policies on changes in housing prices and credit volumes. JEL Classification F12, F21, F23, H25, H71, H87 Keywords macroprudential policy, systemic risk, house prices growth, credit growth Author's e-mail Lucie.Wdowyczynova@hotmail.com Supervisor's e-mail Simona.Malovana@gmail.com
|
|
|
Capital adequacy of Czech banks in the context of macro-prudential policy
Janoušek, Adam ; Brůna, Karel (advisor) ; Gevorgyan, Kristine (referee)
The theme of this diploma thesis is the capital adequacy of Czech banks in the context of macro-prudential policy. The aim of this diploma thesis is quantitative and qualitative analysis of the capital ratios of the Czech banking sector in the context of Basel III and CRD IV capital regulation. The work for the selected period analyzes the development of the capital structure of the Czech banking sector as a whole and for individual segments of banks. The work also focuses on the determinants that influenced the capital changes in addition to the change in the volume of capital itself. The resistance of the banking sector to the unfavorable development of the financial system is analyzed through the stress tests of the Czech National Bank.
|
|
|
Supervision of the financial system in the European Union
Žáček, Ondřej ; Kohajda, Michael (advisor) ; Kotáb, Petr (referee)
1 Abstract This master thesis deals with the arrangement of the supervision of the financial system in the European Union. Its content and structure is strongly tied with two principal supervisory pillars - European System of Financial Supervision (ESFS) and Single Supervisory Mechanism (SSM). The first chapter starts with the historical background of the European financial supervision and proceeds to the recent global Great recession which motivated the reforms that led to the current state of the supervisory structure. The operation of the ESFS and SSM is thoroughly explained in chapters two and three respectively, moreover I cover their interaction with national supervisory authorities and special emphasis is put on the role of the Czech National Bank. Several controversial issues are also reflected in the course of the thesis, ie. rather regulatory than supervisory role of the European supervisory authorities which contradicts the initially declared intentions, their low operability or quite illusory legislative demand of extensive independence of national representatives when they stand for their respective home authorities in the European institutions. The emphasis on the Czech Republic is evident from the sub-chapter regarding the potential entry into the close cooperation with the Single Supervisory...
|
guest ::
