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Sovereign debt markets: Where does the Czech Republic stand?
Bludská, Věra ; Hausenblas, Václav (advisor) ; Serdarevič, Goran (referee)
This thesis deals with the relationship between yield spreads on the sovereign bonds and their determinants with a primary focus on the Czech Republic. First, a homogeneous panel of Visegrad group countries (V4) was investigated by the pooled mean group (PMG) method of Pesaran et al. (1998). It was found that debt-to-gdp ratio along with VIX, the "fear gauge", are the main factors driving the spread dynamics in the V4 group. Based on the results from PMG estimation, we estimate a three-dimensional vector autoregression (VAR) model and structural VAR (SVAR) model in order to observe spread reactions on external shocks. Among the V4 group countries, Hungary exhibits the largest spread response to a VIX shock. Overall, the (S)VAR results confirmed that countries with higher levels of yields before crisis had also a stronger reaction to the market disturbances during 2007-2009. Furthermore, it was found that for the period 2010-2013, the standard model (macroeconomic fundamentals plus global risk aversion factors) provided less reliable results. As a remedy, financial soundness indicators were incorporated into the VAR model. We conclude that it is important to take into account country's financial sector vulnerabilities when describing the spread dynamics since 2010.
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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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Sovereign debt markets: Where does the Czech Republic stand?
Bludská, Věra ; Hausenblas, Václav (advisor) ; Serdarevič, Goran (referee)
This thesis deals with the relationship between yield spreads on the sovereign bonds and their determinants with a primary focus on the Czech Republic. First, a homogeneous panel of Visegrad group countries (V4) was investigated by the pooled mean group (PMG) method of Pesaran et al. (1998). It was found that debt-to-gdp ratio along with VIX, the "fear gauge", are the main factors driving the spread dynamics in the V4 group. Based on the results from PMG estimation, we estimate a three-dimensional vector autoregression (VAR) model and structural VAR (SVAR) model in order to observe spread reactions on external shocks. Among the V4 group countries, Hungary exhibits the largest spread response to a VIX shock. Overall, the (S)VAR results confirmed that countries with higher levels of yields before crisis had also a stronger reaction to the market disturbances during 2007-2009. Furthermore, it was found that for the period 2010-2013, the standard model (macroeconomic fundamentals plus global risk aversion factors) provided less reliable results. As a remedy, financial soundness indicators were incorporated into the VAR model. We conclude that it is important to take into account country's financial sector vulnerabilities when describing the spread dynamics since 2010.
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The Debt of the Czech Republic as a Public Policy Problem
Rezek, Štěpán ; Ochrana, František (advisor) ; Brázová, Věra - Karin (referee)
This thesis deals with public debt of the Czech Republic as a public policy problem. Its main objective is to propose solutions that would lead to a systemic and long-term solution to balance public finances. The first part deals with the definitions of terms that are necessary for subsequent analysis. In the second part the CR debt is set to the theory of public policy problem, the third part deals with the analysis of CR public debt. The analysis focuses on the emergence and development from its beginning to the present trends, characteristics and main issues of public debt CR. The analysis is based mainly on statistics issued by the Ministry of Finance and Czech Statistical Office. Last part is based on an analysis of CR public debt and its task is to design a system solution for it, which would lead to long-term balanced budgets. The author would like to help to expand the current information about this topic with this thesis, which affects not only Czech Republic but almost the entire world.
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Government debt and debt service of Czech Republic in the period 2000-2015
Krpata, Jan ; Pikhart, Zdeněk (advisor) ; Chmelová, Pavla (referee)
The bachelor thesis analyzes the setting of fiscal policy, the development of government debt and debt service in the Czech Republic in the period 2000-2015. The theoretical part is focused on explaining the main technical terms in the field of government finance. The main part is devoted to theoretical optimal fiscal policy and the possible methods of evaluation. The practical part of the thesis is focused on the development of the Czech government debt with the aim to analyze the setting of fiscal policy in the examined period. The quality of governmental institutions predictions, which serve as a basis for budget planning, is also assessed. The last part analyzes the development of debt service and provides a two-year prediction of fiscal policy and debt service. The results show that the government implements mainly procyclical fiscal policy which deepens the business cycles.
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National debt of the Czech republic in comparison with selected EU countries
Škvrnová, Lucie ; Severová, Lucie (advisor) ; Svoboda, Roman (referee)
This Bachelor thesis is about national debt of the Czech Republic and its comparison with debt of chosen states of the European Union. In the theoretical part the thesis describe national debt and themes close to national debt, like budgetary system, public and national budget and fiscal imbalance. There is also some basic information about the European Union. State debt of the Czech Republic is compared with state debt of six chosen states of the European Union. In this part is also compared the insolvency of the Czech Republic and chosen states of the European Union. Main part, the practical part, deals with Czech Republic's inhabitants' awareness about the national debt. The result, given by questionnaire, is also a part of the practical part.
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National Debt of the Czech Republic compared with selected states of the European Union
Řezáčová, Veronika ; Severová, Lucie (advisor) ; Spiesová, Daniela (referee)
This work is focused on the general issue of sovereign debt and consequently on the comparison between the various European Union countries and the Czech Republic.
The first part deals with the theory of sovereign debt, as general government debt has been incurred and what resources the government has to deal with sovereign debt. There are also described emit forms of sovereign debt in the Czech Republic and the total debt in this country.
Own research in the form of a questionnaire survey is presented in the secod part of this work, which includes both the actual exploration and evaluation. Constitutive part also compared the actual states of the European Union to the Czech Republic according to individual criteria.
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Analysis of development of the public debt of the Czech republic from 1993 until present with a special emphasis on the national debt
Netolická, Nicole ; Chmelová, Pavla (advisor) ; Štěpánek, Pavel (referee)
The objective of this bachelor's thesis is to measure effectiveness of European and national fiscal rules together with compliance evaluation on the basis of debt indicators analysis. It also provides feasibility study on governmental constitutional amendment on fiscal responsibility and related laws. The theory section of the thesis consists of 3 chapters. The first one concerns public finance in general with emphasis on a state budget theory. The second chapter consists of debt financing. It defines debt indicators such as state budget deficit, government deficit or national and government debt which are further analyzed in the practical part. The last chapter of this section focuses on fiscal policy and related fiscal rules. Practical part contains two larger chapters. The first one analyzes the before mentioned debt indicators that are tested in 5 year intervals. Performed examination and boosted interpretation points out an observable negative development of debt indicators and its main causes. The second chapter deals both with fiscal rules that are valid in the Czech Republic and those that might be valid in the future in terms of Constitutional law on fiscal responsibility. Considerably the European fiscal rules, the Maastricht Criteria and the Stability and Growth Pact, as well as national rules are taken into account and evaluated according to its influence on the debt indicators. In conclusion, it is measured the effectiveness of the fiscal rules, it was confirmed that the current regulation provides a positive influence on the debt indicators development and demonstrated the necessity of setting additional fiscal rules.
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Consolidated general government debt of the Czech Republic in the context of EU until 2012
Kutláková, Marcela ; Karpová, Eva (advisor) ; Vrňáková, Irena (referee)
The thesis deals with general government debt of the Czech Republic in the context of the European Union. It aims to objectively assess current situation and future prospects of the Czech Republic in terms of consolidated general government debt in the first place and general government deficit in the second place. The theoretical part explains economic terms and categories related to the main topic. It clarifies basic concepts such as general government debt, its structure, national accounts methodology, debt service or rating. The next part deals with the analysis of general government debt of the Czech Republic. First, it examines the debt of the Czech Republic separately and then in the context of the European Union. In this part of the thesis we should also find out the answer to the main question concerning assessment of the status and prospects of general government debt of the Czech Republic. Methods that are used in the analytical part are realized on the basis of current statistical data from Eurostat and the Czech Statistical Office.
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Fiscal Policy in Hungary - Mistakes and Perspectives
Salmaová, Erzsébet ; Štěpánek, Pavel (advisor) ; Zajíček, Miroslav (referee)
This thesis examines the development of fiscal policy in Hungary. The first goal of the thesis is to describe in detail the development of basic macroeconomic indicators of Hungary from the turn of the century to the present. The analysis of macroeconomic development should provide basis for the fulfillment of the second goal, i.e. to identify the main causes of the current poor economic situation of the country. Our hypothesis is that the dominant cause of the current problems of Hungary is not the financial and economic crisis, but the irresponsible fiscal policy of the government and the long-term incorrectly set system of social security. The third goal of the thesis is to compare the basic fiscal indicators of Hungary and the Czech Republic and to identify potential similarities or differences in fiscal outcomes of both countries. Our hypothesis is that the growing general government debt in both countries is caused by persistent structural budget deficits. The detailed analysis of the fiscal measures of the Hungarian government confirmed our hypothesis, i.e. that the dominant cause of the current problems of Hungary is not the financial and economic crisis, but the irresponsible fiscal policy of the government and the long-term incorrectly set system of social security. After the comparison of the fiscal development in Hungary and the Czech Republic, we concluded that the fiscal situation in the Czech Republic basically follows the Hungarian trend and the Czech Republic did not get on the verge of bankruptcy only due to a lower initial level of debt and the fact that its budget deficits were not as high as in the case of Hungary.
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