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Vyhodnocení vlivu státních dluhopisů v portfoliích úvěrových institucí
Livarová, Monika
The focus of this thesis is to analyse the concentration of government bonds in portfolios of credit institutions in the Czech Republic, Austria and the Federal Republic of Germany in the period 2006-2015 and the resulting credit risk. In the theoretical part of the thesis a bond market and the credit institutions' motivation to hold government bonds is described. Also, the credit risk and the causes and the consequences of the nexus of credit institutions and sovereigns in the context of the European crisis is expounded. In the practical part of the thesis the government bond portfolio is broken down by issuer for the selected countries and then the portfolio credit risk is derived. The selected countries are compared with respect to the development of the share of the domestic government bonds held by credit institutions in their total assets and in the government debt of the country. Finally, a correlation between the share and the government debt (in total and to GDP) is determined.
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Státní dluh České republiky
Sekničková, Petra
The thesis deals with the issue of the central government debt of the Czech Republic. That arises mainly from the state budget deficits, whose financing is the main item of the debt. There are annual reports from the Ministry of Finance, but there is no comprehensive analysis of year-on-year changes in the structure of this debt. This thesis therefore focuses on a detailed description of year-on-year movements in individual government debt components for the period 2005 to 2016, also taking into account the debt-to-GDP ratio. The analysis of the annual values of total debt and its components, domestic and foreign debt, from the time of the establishment of the Czech Republic in 1993 to the present, is used in the second part of the thesis.Based on these data there is a prediction till 2021 formed assuming that the course of development is maintained. This development is evaluated to reflect the projected development published in the mid-term outlook for the State Budget for 2017 with the forecast for 2020.
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Longer-term Yield Decomposition: an analysis of the Czech Government Yield Curve
Kučera, Adam ; Dvořák, Michal ; Komárek, Luboš ; Komárková, Zlatuše
The term structure of yields is an important source of information on market expectations about future macroeconomic developments and investors’ risk perceptions and preferences. This paper presents the methodology used by the Czech National Bank to obtain such information. It describes the decomposition of the Czech government bond yield curve into its components. The evolution of those components is interpreted in relation to the macro-financial environment, as embodied by selected variables. The practical use of the decomposition in estimating and interpreting the responses of the Czech government bond yield curve to macroeconomic and financial shocks is presented using a vector autoregression model.
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Comparative analysis of the development of holding sovereign securities in the banking sectors of the eurozone countries in 2005-2015
Topinka, Tomáš ; Pekárek, Štěpán (advisor) ; Bednář, Milan (referee)
The bachelor thesis is focused on the comparative analysis of holdings of sovereign securities in the banking sectors of the European Monetary Union member countries, especially during the financial and debt crisis. Based on the graphical analysis, it identifies and clarifies the volatility observed at the level of certain groups of countries. The work comes with the statement that, especially during the debt crisis, the so-called home-bias is reinforced and thus exposes the banking sector to the credit risk of the state. At the same time, bachelor thesis advocates setting up regulatory requirements to ensure, that a level of regulatory capital is created that objectively reflects the credit risk of the state.
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Statistická arbitráž při algoritmickém obchodování amerických dluhopisů
Juhászová, Jana ; Stádník, Bohumil (advisor) ; Janda, Karel (referee)
This thesis deals with statistical arbitrage as a strategy applied in algorithmic trading of US Treasury bonds in the selected timeframe from 1980 until 2017. Our aim is to prove that a specific event on the treasury market, namely reopening of the bonds, constitutes an arbitrage opportunity that enables the investor to systematically yield extraordinary profits on the market. This thesis includes a theoretical introduction to algorithmic trading and statistical arbitrage. Based on this introduction we formulate hypotheses, which are then tested in the application part by constructing an algorithm that simulates a trading strategy on historical data. Comparing three strategies we determined that this strategy is meaningful, or performs better than a random walk and that it is profitable.
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Impact of sovereign debt crisis in Greece on its neighboring countries
Papoušek, Radan ; Geršl, Adam (advisor) ; Kuc, Matěj (referee)
In this thesis, I analyze contagious effects stemming from Greece to Bulgaria, Cyprus, Italy, and Turkey during the Greek sovereign debt crisis. Using the VAR framework, I estimate adjusted cross-market correlation coefficients, and then test them on con- tagion. My research is based on examination of 10-year sovereign bonds and stock market indices in time period spanning from December 2004 to August 2012. The thesis finds that contagious impacts arising from the Greek crisis were present in all the examined countries. I also find significant interdependence among some of the examined countries. The existence of transmission channels suggests that the crisis could spread easily from Greece.
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China as the biggest foreign holder of U.S. government bonds: analysis of impacts on U.S. foreign policy
Holuša, Petr ; Kozák, Kryštof (advisor) ; Sehnálková, Jana (referee)
This thesis deals with the question whether China's purchases of American government bonds affect the foreign policy of the USA. The first part analyses bonds as instruments for debt financing and explains why China is motivated to buy American government bonds. The second part is concerned with the relationship between the lender and the borrower and assumes that the relationship between deficit financing and a change in the foreign policy towards the lender is possible, an example being the relationship of the USA and Mexico in the 1980s. The last part introduces criteria based on which it evaluates whether the American foreign policy towards China is changing. The thesis is focused on the topic of human rights, which is a frequent source of dispute between these two countries. The thesis also comprises an analysis of the dispute between the USA and China regarding weapon sales to Taiwan. It also analyses the possibility of China selling all its American government bonds and the potential consequences for the American economy. The conclusion sums up the topics discussed in the thesis and provides an answer to the set question.
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The development of government debt in the Czech Republic from 1993 to 2015
Zeman, Mikuláš ; Klement, Josef (advisor) ; Vebrová, Ludmila (referee)
The aim of this bachelor thesis is to analyse the development of government debt in the Czech Republic from 1993 to 2015 with respect to the development of revenues and expenses of national budget as well as the development of macroeconomic indicators. The thesis is focused on evaluation of the economic policy of respective governments during the period and assessment of the effect of political reasons on the development of government debt. It also comprises a comparison of the situation in the Czech Republic with the situation in certain post - communist states. The theoretical part describes main notions the thesis deals with. Eventually it presents thoughts of selected economists on the economic policy. The practical part carries out analysis of the development of government debt in respective periods focusing on revenues and expenses, and the development of selected macroeconomic indicators. Evaluation of the economic policy of respective governments is also included. In its conclusion the thesis assesses an effect of political reasons on the amount of the government debt in view of relevant theories and hypotheses. The analysis showed that under the studied circumstances only one of the hypotheses became evident, namely that a weak position of the government leads to remarkable budgetary deficits.
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State debt of the Czech Republic in comparison with selected countries of the European Union
Němcová, Eva ; Severová, Lucie (advisor) ; Svoboda, Roman (referee)
The bachelor thesis deals with a public debt of the Czech Republic and its comparison with debts of selected states of European Union. It is divided into two parts, theoretical and practical. In the first, theoretical part basic concepts, phenomena and methodology necessary for understanding the issue are defined. The practical part deals with historical events of mentioned states since 1918 regarding the development, state establishment, wars and similar events that caused greater fluctuations in the national debt. Next it thoroughly explores the development of state debt, consequently the economic situation of countries in the period of 1995 - 2014. In the next-to-last chapter comparison of national debts of the Czech Republic, Slovakia, Germany, Italy, Greece and Spain is done. The methods of investigation include the results of comparison and description In the last chapter of the practical part future development of state debt of the Czech Republic is predicted. The conclusion summarizes the results and benefits of the bachelor thesis.
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Central government debt of the CR in comparison with selected EU countries
Hlaváčová, Monika ; Severová, Lucie (advisor) ; Jitka, Jitka (referee)
This thesis explains concepts related to the topic such as central government debt, government debt, public debt, budget system and more. The analytical part is focused on the development of central government debt of the Czech Republic and its structure in the years 2000-2014. The central government debt from the point of view of the holders is divided into domestic and foreign debt. Its development and the development of individual components of these debts are described. In the thesis are also mentioned factors, which influenced the decline in central government debt in 2014. The next section compares the evolution of central government debt in CR and selected EU countries, namely Estonia, France, Italy, Germany, Spain and Greece. The structure of central government debt of selected countries for the period 2000-2010 is also analyzed, especially the marketable state debt that dominates. Its main parts are treasury bills, short, medium and long-term bonds. The thesis also describes the development of the government debt of individual countries and explains its difference from the central government debt. Evolution of government debt, such as percentage of GDP for next year, for the years 2015-2017 is estimated in STATISTICA programme. The causes of the sovereign debt reported by some authors as well as some suggestions for their solution are discussed.
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