|
|
Essays on Shadow Banking and Asset Pricing
Kuncl, Martin ; Slobodyan, Sergey (advisor) ; Nikolov, Kalin (referee) ; Malherbe, Frédéric (referee)
This dissertation deals with the topics related to securitization and with pricing of finan- cial assets in general. The topics are analyzed from a macroeconomic perspective using various theoretical and empirical methods. The first chapter studies the efficiency of financial intermediation through securitiza- tion with asymmetric information about the quality of securitized loans. In this theoret- ical model I show that, in general, by providing reputation-based implicit recourse, the issuer of a loan can credibly signal its quality. However, in boom stages of the business cycle, information on loan quality remains private, and lower quality loans accumulate on balance sheets. This deepens a subsequent downturn. The longer the duration of a boom, the deeper the fall of output in a subsequent recession will be. I present empir- ical evidence from securitization deal level data consistent with this result. Finally, the model suggests that excessive regulation which requires higher explicit risk-retention by the originators of loans can adversely affect both quantity and quality of investment in the economy. The second chapter presents a Markov-switching DSGE model which focuses on the adverse selection on re-sale markets for securitized products. The complexity of secu- ritized assets, which make it...
|
|
| |
|
|
The Influence of Foreign Direct Investments on the External Balance of an Economy (the Example of the Czech Republic)
Smolová, Petra ; Mandel, Martin (advisor) ; Kuncl, Martin (referee)
The aim of this thesis is to analyze the influence of foreign direct investment on selected indicators of the external balance of the Czech Republic. The first part focuses on the definition of foreign direct investment forms, motivation for realization and a financial life cycle of investments. The second part characterizes investment incentives, including their positives and negatives, and the role of the CzechInvest Agency. The third part is dedicated to the balance of payments. The last part analyses the impact of foreign direct investment on selected entries of the balance of payments and particularly on current account. It also analyses the overall efect on the external balance.
|
|
|
The Status of USD as the World's Reserve Currency and the Main Currency in International Trade Relations
Miller, David ; Mandel, Martin (advisor) ; Kuncl, Martin (referee)
This thesis aims to identify, define and analyze the role of the United States dollar as the most important currency of the present day, its influence on international monetary policy, the composition of foreign currency reserves in central banks and trading on the global foreign exchange market. Subsequently, the historical development since the introduction of Bretton-Woods system is presented, along with the phenomenon of Eurodollar market, which shaped the status of the United States dollar in the world. Last but not least, the US balance of payments is analyzed and the functioning of the dollar hegemony described, followed by naming of the essential requirements for a currency to become the most important global reserve currency and the main currency in the international trade.
|
|
|
Analysis of U.S. and German government bonds from the perspective of Czech investor
Kábrt, Tomáš ; Mandel, Martin (advisor) ; Kuncl, Martin (referee)
This bachelor thesis is focused on investing in U.S. and German ten-year government bonds. The reader is first acquainted closer with these bond markets - their due date, by way of issue, coupon rate, etc. The second chapter deals with regression and correlation analysis of these instruments, taking into account exchange rate risks for the Czech investor. It also includes calculations of statistical indicators of location and variability. Based on the correlation coefficients examining the risks of creating a portfolio consisting of these two bonds. In the final chapter of this thesis deals with the application of technical analysis market in ten U.S. government bonds.
|
|
|
Possibilities and ways of managing the foreign exchange risk aimed at the issue of forward rate
Brigant, Michal ; Mandel, Martin (advisor) ; Kuncl, Martin (referee)
This bachelor thesis is focused on issues of foreign exchange risk and forecasting the spot exchange rate. The thesis is divided into four chapters. Foreign exchange risk was evaluated on following daily quoted exchange rates: CZK/EUR, CZK/USD and CZK/GBP. Various approaches were used in order to measure the foreign exchange risk. All of these approaches lead us to the same conclusion. The biggest exposure to the foreign exchange risk was identified in the case of the exchange rate CZK/USD, on the other hand the smallest exposure was measured on the exchange rate CZK/EUR. Our choice on the subject of forecasting the spot exchange rate was the forward prognosis. Neither closer observation of its error rate nor its comparison with the naive prognosis was able to confirm its ability to forecast the spot exchange rate in the future successfully.
|
|
|
Theory of behavioral finance
Vopasek, Luboš ; Kuncl, Martin (advisor)
Theory of behavioral finance combines psychology and finance theory. Main goal of thesis is to describe basic psychological factors influencing economic and financial behaviour. Thesis also focuses on so-called financial puzzles which are empirical phenomenons inconsistent with traditional finance theory such as efficient market hypothesis.
|
|
|
External Economic Imbalance of China
Novák, Jan ; Kuncl, Martin (advisor)
Bachelor thesis deals with external economic balance of China, especially Balance of Payments, International Investment Position and exchange rate of yuan. Theoretical part introduces reader to theme of external economic imbalance, in parallel describes adjustment mechanisms of Current Account balance. Further part observes state of Chinese Balance of Payments, International Investment Position and exchange rate of yuan in recent years. Last part defines main determinants of Current Account, outlines causes of present Current Account surplus and introduces the most appropriate path to its reduction.
|
|
|
Methods and processes for managing exchange rate risks
Kliment, Martin ; Kuncl, Martin (advisor)
The development od international markets comes along with a price of risk changes in foreign exchange rates. The purpose of this bachelor thesis is to help the reader understand the methods for managing of foreign exchange risks. Foreign exchange risks are caused by development of exchange rates. It caues the danger of volatility in revenues as well as expenditures. The work is devided into several chapters in which I am trying to familiarize the reader with the world of foreign exchange risks. From the definitions and basic relations to primary hedging possibilities that are financial derivates. The last part I devoted to the assessing and practical findings emerging from the work itself.
|
|
|
Spot rate technical analysis
Gric, David ; Mandel, Martin (advisor) ; Kuncl, Martin (referee)
The subject of this bachelor thesis is technical analysis that is being generally used in the trading profession. The first goal is to define the aspect of technical analysis and its position and usage on currency market. Next chapter describes fundamental concepts on which the analysis is based on and further specifies elementary types of technical indicators and its trading utilisation. Third part closely explain complex wave theories while focusing on Elliott wave theory. Final chapter uses the theoretical findings stated in the previous part in order to empirically verify its soundness by applying it on historical exchange rate series. Final goal is to answer whether the wave theory is presently usable and leads to successfull execution of user's objectives.
|
guest ::
