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Essays on Credit Risk
Kuvíková, Gabriela ; Hanousek, Jan (advisor) ; Fidrmuc, Jarko (referee) ; Podpiera, Jiří (referee)
The financial crises in the early 2000s have given prominence to the financial markets' exposure to credit risk. To minimize credit risk, the risk that a borrower will fail to meet her contractual obligations, lenders seek to identify borrowers with a high probability of default prior to granting credit. In my dissertation I examine several screening devices that lenders utilize in alleviating adverse selection present on the credit market. In the first chapter, I ask whether the existence of informal collateral signals better loan repayment. Taking advantage of a unique dataset of household loans from a Czech commercial bank, I find that housing loans without lien on the property default less compared to loans with unspecified purpose. I also show that the interest rate differential between specific purpose loans and unspecified purpose loans is systematically higher than their default rate differential. In the second chapter, I investigate the role of loan contract terms in household loan demand and performance. Utilizing a sample of accepted and rejected Czech household loans, I find that loan demand for low-income borrowers is more sensitive to liquidity constraint and loan maturity changes than to interest rate changes. The results also suggest that by reflecting the borrower's riskiness in...
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Three Comparative Essays on Gender Earnings Inequality in the Czech Republic
Mysíková, Martina ; Flek, Vladislav (advisor) ; Schneider, Ondřej (referee) ; Večerník, Jiří (referee) ; Podpiera, Jiří (referee)
This thesis adopts three stepwise perspectives to look at earnings inequality. It applies Czech data from two surveys, Microcensus and Living Conditions, covering the period 1988-2008, and European dataset EU-SILC 2008 and 2009 for international comparisons. The first essay "Personal Earnings Inequality" analyzes personal earnings distribution in the Czech Republic since the early transition from communism, using relative distribution method. The trend of "hollowing of the middle" was confirmed in the early transition, but this phenomenon later subsided. Earnings polarization was apparent for all sex and education subgroups between 1988 and 1996. In international comparison, earnings of men and highly educated are more homogenous than earnings of their counterparts in most analyzed countries. The second essay "Gender Wage Gap" quantifies the structure of gender wage gaps in four Central-East European countries (CEE), using the Heckman regression model and Oaxaca- Blinder decomposition. The observed gender wage gap is substantially higher in the Czech Republic and Slovakia than in Hungary and Poland. A relatively small but positive part of the observed gender wage gap can be explained by gender differences in characteristics in the Czech Republic and Slovakia, with a high contribution of job...
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Economic research bulletin (2007, No.1)
Heřmánek, Jaroslav ; Hlaváček, Michal ; Jakubík, Petr ; Geršl, Adam ; Derviz, Alexis ; Podpiera, Jiří ; Šmídková, Kateřina
This issue of the CNB Research Bulletin looks at advances in the area of financial stability. Financial stability issues have attracted the attention of central banks in the last 10 years, mainly due to the rapid development of financial systems, the emergence of new financial products and the increased integration of the financial system across borders. These issues are extremely important for the Czech financial sector as well. One of the most widely used analytical tools for evaluating the stability of the financial sector is stress testing. The first article – by Jaroslav Heřmánek, Petr Jakubík and Michal Hlaváček – describes progress in this area as compared to earlier versions of stress testing. Progress has been made primarily in the areas of modelling credit risk and linking the stress testing to the CNB’s official macroeconomic forecast. The second and third articles – by Adam Geršl and by Alexis Derviz and Jiří Podpiera – are devoted to the issue of cross border-contagion in the Czech Republic. This problem is of great importance for the Czech Republic due to the strong foreign ownership of the Czech banking sector and the increasing crossborder flows of capital. The article by Adam Geršl uses macroeconomic data from BIS and compares the threats of cross-border contagion from other CEECs using a common creditor index. The article by Alexis Derviz and Jiří Podpiera presents the results of a sophisticated microeconomic model of lending contagion within multinational banking groups together with an empirical model of lending contagion using individual bank data from Bankscope.
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Measuring excessive risk-taking in banking
Podpiera, Jiří ; Weill, Laurent
In this paper writers propose a new approach to the assessment of excessive risktaking by a banking sector. They use the portfolio approach to assess the optimal risk-return combination of a bank’s portfolio, based on data for 32 categories of loans. It provides a benchmark for the optimality of the bank’s portfolio.
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The origins of global imbalances
Brůha, Jan ; Podpiera, Jiří
In this paper writers study the endogenous response of unequally developed regions to a drop in investment and trade costs in a general equilibrium model. The response is characterized by a rise in foreign direct investment in the underdeveloped region and increased consumption in the developed one, leading to trade imbalances between the regions. Writers hereby propose that declining investment and trade costs could have caused this century’s global imbalances.
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The price effects of an emerging retail market
Podpiera, Jiří ; Raková, Marie
In this paper writers analyze the effects of changing market structure on price dynamics of final goods in the emerging Czech retail market. Writers estimate the extent of upstream and downstream market power and find that changing market structure was responsible for an average yearly decrease in the prices of retailed products of 0.8 p.p. during 2000–2005. At the same time, however, they anticipate that the already started period of mergers and acquisitions could cause yearly increases in the prices of retailed products of 1.2 p.p. (approximately 0.5 p.p. in the CPI) over the next ten years.
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Policy rate decisions and unbiased parameter estimation in conventionally estimated monetary policy rules
Podpiera, Jiří
This paper addresses a potential source of econometric bias that might naturally arise and adversely affect the accuracy of conventionally estimated policy rules as benchmarks. To address this concern, the paper offers a new method for estimating monetary policy rules and demonstrates the ability of the resulting bias-adjusted policy rules to outperform conventionally estimated ones in characterizing the policy environments in the cases of the Czech Republic and the United States.
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Bad luck or bad management?: emerging banking market experience
Podpiera, Jiří ; Weill, Laurent
This paper addresses the question of the causality between non-performing loans and cost efficiency in order to examine whether either of these factors is the deep determinant of bank failures. Writers extend the Granger causality model developed by Berger and DeYoung (1997) by applying GMM dynamic panel estimators on a panel of Czech banks between 1994 and 2005.
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