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Efficiency of Regulation on Spanish Housing Market
Hejlová, Hana ; Hlaváček, Michal (advisor) ; Doležel, Pavel (referee)
Covering reciprocal and mutually reinforcing relations between business, housing and credit cycles, the thesis assesses the Spanish housing market in its wider circumstances. With use of several conceptual notes on demand for housing, dynamic path of the house prices in Spain may be explained based on the difference in how these structural components react on changes in financial and macroeconomic environment. As a result of controlling for match of demand and supply in both timely and spatial manner empirically, expectations were included to explain the subsequent volume of housing traded on the market and simple microeconomic decision making model taking into account taxes was derived to assess the role favourable incentives might have played on fuelling the house price cycle in Spain. Next, existence of the reciprocal relations suggested by the theory discussed was confirmed empirically only during the house price upturn and asymmetry in speed of downward adjustment was found in the opposite case, pointing out at the redistribution effect abrupt changes in house prices have in time. The results derived finally allowed to assess possibilities of better employment of anti cyclical regulatory tools towards eliminating mutually enforcing powers between the cycles and avoiding both financial and...
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Procyclicality of Bank Lending and Provisioning Behavior
Svoboda, Jan ; Šopov, Boril (advisor) ; Lešanovská, Jitka (referee)
The aim of this paper is to investigate the procyclical behavior of banks in terms of lending and loan loss provisioning, and its dynamics with regard to the adoption of the Basel II capital regulation. Using bank-level and country-level panel data spanning from 1996 to 2013 we answer this question for the OECD and BRIC countries. We find a positive effect of bank capitalization on loans growth, which, perhaps due to the recent financial crisis, weakened after 2008. Together with evidence of income smoothing and capital management we also find strong cyclical behavior of banks in terms of loan loss provisioning. At the same time, we do not find any robust changes to this behavior after the introduction of the Basel II capital regulation. We fill a gap in the empirical literature as there has been hardly any research done on changes brought forward by the adoption of the Basel II capital regulation. The results may be therefore of interest for regulators and other professionals. Moreover, we use in our analysis data for BRIC countries, which have been often neglected.
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Four Essays on Financial Stability
Jakubík, Petr ; Dědek, Oldřich (advisor) ; Mejstřík, Michal (referee) ; Kodera, Jan (referee) ; Peltonen, Tuomas (referee)
Recent episodes of financial instability have motivated researchers as well as policy makers to intensify research on financial stability. This thesis contributes to current research and policy discussion by elaborating and empirically testing methodologies, which can be used to measure financial sector vulnerabilities and identify potential risks for financial stability. It further focuses on the link between real and the financial sector as well as possible implications of household financial distress on the aggregate economy. Together with the proposed framework we provide the survey of the current literature on these topics as well as the empirical results. We argue in favour of stress testing methodologies covering the key risks on banks' balance sheets. These frameworks can also be used for emerging markets where data availability is typically limited. It is shown that due to high volatility of credit growth in emerging economies, the static approach assuming constant balance sheet items is not very appropriate. Furthermore, the feedback effect between the financial sector and the real economy might play an important role under certain assumptions, and therefore it should be taken into account by policy makers. This effect can also emerge in the real sector itself as potential instability can...
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Procyclicality in Basel II and Basel III
Šobotníková, Petra ; Teplý, Petr (advisor) ; Jakubík, Petr (referee)
The term procyclicality refers to the ability of a system to amplify business cycles. The recent financial crisis has revealed that the current regulatory framework, Basel II, affects the business cycle in exactly that manner. The newly published Basel III therefore sought to include tools that would mitigate the procyclical nature of regulatory framework. The aim of the thesis is to analyze whether such tools are effective and whether the procyclicality under Basel III has been mitigated when compared to Basel II. In order to conduct such analysis we employ a simple model with the households and firms sector. Using the OLS estimation method we estimate the sensitivity of Basel risk weights to the business cycle under both Basel II and Basel III conditions. As the Basel III framework has been published only recently, there are few studies that would analyze its effect on procyclicality. The main contribution of this thesis consists of implementation of Basel III countercyclical tools and the comparison between both frameworks. The thesis further contributes to the existing literature by conducting the analysis on the data for the Visegrád Group, that is for the Czech Republic, Slovakia, Hungary and Poland. JEL Classification E32, E44, E58, G21 Keywords procyclicality, Basel II, Basel III, banking...
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Efficiency of Regulation on Spanish Housing Market
Hejlová, Hana ; Hlaváček, Michal (advisor) ; Doležel, Pavel (referee)
Covering reciprocal and mutually reinforcing relations between business, housing and credit cycles, the thesis assesses the Spanish housing market in its wider circumstances. With use of several conceptual notes on demand for housing, dynamic path of the house prices in Spain may be explained based on the difference in how these structural components react on changes in financial and macroeconomic environment. As a result of controlling for match of demand and supply in both timely and spatial manner empirically, expectations were included to explain the subsequent volume of housing traded on the market and simple microeconomic decision making model taking into account taxes was derived to assess the role favourable incentives might have played on fuelling the house price cycle in Spain. Next, existence of the reciprocal relations suggested by the theory discussed was confirmed empirically only during the house price upturn and asymmetry in speed of downward adjustment was found in the opposite case, pointing out at the redistribution effect abrupt changes in house prices have in time. The results derived finally allowed to assess possibilities of better employment of anti cyclical regulatory tools towards eliminating mutually enforcing powers between the cycles and avoiding both financial and...
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Procyclicality in Basel II and Basel III
Šobotníková, Petra ; Teplý, Petr (advisor) ; Jakubík, Petr (referee)
The term procyclicality refers to the ability of a system to amplify business cycles. The recent financial crisis has revealed that the current regulatory framework, Basel II, affects the business cycle in exactly that manner. The newly published Basel III therefore sought to include tools that would mitigate the procyclical nature of regulatory framework. The aim of the thesis is to analyze whether such tools are effective and whether the procyclicality under Basel III has been mitigated when compared to Basel II. In order to conduct such analysis we employ a simple model with the households and firms sector. Using the OLS estimation method we estimate the sensitivity of Basel risk weights to the business cycle under both Basel II and Basel III conditions. As the Basel III framework has been published only recently, there are few studies that would analyze its effect on procyclicality. The main contribution of this thesis consists of implementation of Basel III countercyclical tools and the comparison between both frameworks. The thesis further contributes to the existing literature by conducting the analysis on the data for the Visegrád Group, that is for the Czech Republic, Slovakia, Hungary and Poland. JEL Classification E32, E44, E58, G21 Keywords procyclicality, Basel II, Basel III, banking...
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The Impacts of Basel II and Basel III Capital Requirements on the Banking Sector in the Czech Republic
Čechura, Jakub ; Matejašák, Milan (advisor) ; Špániková, Kateřina (referee)
The goal of this bachelor thesis is the analysis of regulatory framework Basel II and Basel III with the focus on their impact on the Czech banking sector. Firstly it is focused on the development of the capital adequacy rules till the emergence of Basel II. Basel II and its three-pillar structure, which consists of minimum capital requirements, supervisory and market discipline are analysed then. When shortcomings of Basel II are mentioned, it is proceeded to introducing the new regulatory framework Basel III. The innovations of Basel III lie in the enhanced quality of regulatory capital and the setting up of new capital requirements. The last part of the thesis focuses on the compliance with the capital requirements of the Czech banking sector in the past and the evaluation of its readiness to implement Basel III.
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Analysis of the new Basel III regulatory principles
Turjaková, Anna ; Blahová, Naděžda (advisor) ; Marková, Jana (referee)
The aim of this diploma thesis is to analyse the development of the regulatory framework and its current state according to the latest Basel III framework. The new rules were created as a response to the financial crisis that started in 2007. The framework represents significant increase in quality, amount and transparency of the capital base in comparison with the pre-crisis situation. Basel III has both micro and macroprudential focus. The diploma thesis describes the development and shortcomings of regulatory framework that necessitated revisions of the regulatory rules over time. These rules evolve with the changes in the financial system and the way how financial risks are managed. Although the roots of financial crisis are related to the mortgage-backed securities market, the banking sector played an important role in spreading the problems. Therefore the diploma thesis will also concentrate on fundamental flaws that contributed to the financial crisis. Then the immediate corrective action taken as a response to the financial crisis are described. After that, the Basel III rules are presented in detail. The newest monitoring of the rules carried out by the Basel Committe and cost analysis carried out by IMF including evaluation based on various analyses of Basel III are presented. Basel III has addressed most of the flaws revealed in Basel II. However, some issues still remain unsolved, which can lead to future problems with the financial system stability.
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