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Behavior of bonds conditioned by negative interest rates
Biljakov, Nik ; Stádník, Bohumil (advisor) ; Galuška, Jiří (referee)
Current economic situation is characterized for deflation and low inflation, low economic growth, and low or negative interest rates, which lead to phenomenon of issuing governments bonds with negative yield. The main goal of this work is to understand the valuation and behavior of bonds with condition of negative interest rates, analyze impacts of negative rates on volatility of bonds. This work also compares the behavior of negative yields of bonds in contrast with positive yields. The contribution of this work consists in the critical evaluation of limitations of the formula for calculating the bond price to fulfill its role if the values of negative interest rates are too low.
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Analysis of interest rate swaps after the financial crisis
Lukeš, Filip ; Málek, Jiří (advisor) ; Fleischmann, Luboš (referee)
The goal of this master thesis is to analyze main changes affecting interest rate swaps in the Czech republic, which took place since 2007, in areas of regulation, valuation of interest rate swaps and negative interest rates. The first part defines derivative and describes sort of derivatives and type of swaps. The second part deals with interest rate swaps, pricing and valuation, and contractual documentation. The third part explains the impact of regulation MiFID I, EMIR and MiFID II on interest rate swaps. The fourth part analyzes changes in interest rate swaps valuation and negative interest rates issues.
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Unconventional monetary policy after the collapse of Lehman Brothers
Dragoun, Josef ; Brůna, Karel (advisor) ; Dvořák, Michal (referee)
This diploma thesis is focused on unconventional monetary policy tools that individual central banks introduced into practise as a response to the global financial crisis. It is about quantitative easing policy, foreign exchange interventions with exchange rate commitment and negative interest rates. This thesis also deals with classical tools of monetary policy such as open market operations, discount tools, minimum requirement reserve or foreign exchange interventions. The aim of the thesis is to document the development of central banks policy and then to examine relationship of selected assets in comparison with balance sheet of Federal reserve systems with help of correlation coefficient. The thesis also deals with the thought how should behave in the zero lower bound environment and what are the pitfalls of unconventional monetary policy.
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Unconventional monetary policy in theory and empirical evidence
LEXA, David
The Diploma thesis deals with unconventional monetary policies,that important central banks used in order to cope with global financial and economic crisis in recent years. Goals of the paper is to introduce the most significant unconventional monetary policies, analyze their effectivity in selected countries (Japan, USA, Great Britain, eurozone and Czech republic), and statistically test impact of these nonstandard approaches on international trade.
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