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Mortgage lending and credit risk: Micro-level data analysis
Vachušková, Karolína ; Geršl, Adam (advisor) ; Jakubík, Petr (referee)
This thesis examines the effects of the debt service-to-income ratio (DSTI), debt-to-income ratio (DTI), and loan-to-value ratio (LTV) on credit risk. The dataset includes monthly loan-level data from around 250 thousand mortgages in the Czech Republic from July 2013 to July 2023. Using logit regressions, we confirm a positive effect of the level of DSTI, DTI and LTV on loan delinquency. Furthermore, we discover that the effects of these key lending variables are heterogeneous depending on the income and wealth classes as well as on the region of the client. Other explanatory variables align with general assumptions: a higher level of education, number of co-debtors, and GDP growth reduces the risk, whereas a higher interest rate increases the probability of delinquency. The thesis contributes to the debate on how effective macroprudential policy instruments using caps on DTI, DSTI and LTV are at employing a unique dataset. Keywords mortgage loans, credit risk, DSTI, LTV, microdata, Czech banking sector 1
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Automated extraction of data from HTML
Onderka, Jakub ; Koutný, Martin (referee) ; Vrba, Kamil (advisor)
This thesis deals with data extraction from web pages created in HTML language. It describes methods of downloading pages from remote server using HTTP protocol, document charset encoding and options for extraction content from elements. It also shows ways in which authors of web sites can prevent automatic web scraping. These were used to create C# applications for extraction data from two Czech Police databases – Investigation for person and Investigation for cars. These applications allow to download data from remote database, save to local database and search or show required data.
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The Elasticity of Demand for Gasoline: Evidence from the Czech Republic
Lacko, Radoslav ; Polák, Petr (advisor) ; Žáček, Jan (referee)
Charles University Faculty of Social Sciences Institute of Economic Studies MASTER'S THESIS The Elasticity of Demand for Gasoline: Evidence from the Czech Republic Author: Bc. Radoslav Lacko Supervisor: Mgr. Petr Polák MSc. Academic Year: 2018/2019 Abstract Studying the price responsiveness of the fuel demand is popular topic among researchers. The price elasticity is used for predicting future tax revenues, or fuel consumption under various situations. This thesis focuses on elasticity estimation for the Czech Republic using high frequency evidence. We use the process of data mining to get the Czech evidence. Observed elasticity differs by the data aggregation level. Estimated long-run elasticity range between −0.38 and −0.68 for gasoline users and between −0.43 and −0.54 for diesel users. Much lower elasticity was estimated in the short-run that confirms economic theory. JEL Classification C51, C55, L71, Q43 Keywords elasticity, fuel, Czech Republic, microdata Author's e-mail rl.lacko@gmail.com Supervisor's e-mail polakpet@gmail.com
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Automated extraction of data from HTML
Onderka, Jakub ; Koutný, Martin (referee) ; Vrba, Kamil (advisor)
This thesis deals with data extraction from web pages created in HTML language. It describes methods of downloading pages from remote server using HTTP protocol, document charset encoding and options for extraction content from elements. It also shows ways in which authors of web sites can prevent automatic web scraping. These were used to create C# applications for extraction data from two Czech Police databases – Investigation for person and Investigation for cars. These applications allow to download data from remote database, save to local database and search or show required data.
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Stress Testing the Private Household Sector Using Microdata
Galuščák, Kamil ; Hlaváč, Petr ; Jakubík, Petr
We develop a methodology for identifying financially distressed households and use it for testing the responses to shocks to the unemployment rate, the interest rate and prices of essential expenditure in the Czech Republic. We extend the approach of Johansson and Persson (2006) for Sweden and Albacete and Fessler (2010) for Austria to allow for full labour market transitions between employment and unemployment, and, due to data availability, to account for heads and spouses within households. This improvement may lead to a higher response of household distress incidence due to the unemployment rate shock than in both Sweden and Austria, while the effects due to the interest rate shock are of similar size as in Austria. We illustrate the use of our approach for stress testing households’ ability to pay their debts using macroeconomic scenarios from the CNB’s official forecast and from the CNB’s Financial Stability Report. The results highlight the importance of using micro-level datasets in the analysis of household distress incidence, as the impact of shocks is more pronounced among lower-income households.
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