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Multi-agent Network Models of Financial Stability
Klinger, Tomáš ; Teplý, Petr (advisor) ; Tripe, David (referee) ; Stavárek, Daniel (referee) ; Jakubík, Petr (referee)
The thesis focuses on banking regulation and on the nexus between financial sovereign crises. After illustrating the main mechanisms on the recent financial crisis, we construct several multi-agent network models of a financial system for testing its stability under different parameters. In the first part, we focus on the rationale for banking regulation and we describe its development including the recently introduced Basel III measures. The main conclusion of this part is that regulation is to a large extent influenced by the banks and it does not always secure financial system stability. In the second part, we build an agent-based model which enables us to simulate the impacts of various types of negative shocks given various settings of the banking system and the regulatory environment, including the capital and liquidity measures. Our simulations show firstly that sufficient capital buffers are crucial for systemic stability, secondly that the discretionary measures have little effect once a crisis breaks out and thirdly that liquidity measures are a relevant regulatory tool. In the third part, the model is extended so that it allows for testing effects of state support on systemic stability is tested with various parameter settings in Monte Carlo simulations and for testing of feedback loops in which...
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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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Systemic risk and sovereign crises: modelling interconnections in the financial system
Klinger, Tomáš ; Teplý, Petr (advisor) ; Jakubík, Petr (referee)
This thesis focuses on the link between financial system and sovereign debt crises through sovereign support to banks on one hand and banks' exposures to weak sovereigns on the other. After illustrating the main relationships on the recent financial crisis, we construct an agent-based network model of an artificial financial system allowing us to analyse the effects of state support on systemic stability and the feedback loops of risk transfer back into the financial system. First, the model is tested with various parameter settings in Monte Carlo simulations and second, it is calibrated to the real world data using a unique dataset put together from various sources. Our analyses yield the following key results: Firstly, in the short term, all the support measures improve the systemic stability. Secondly, in the longer run, the effects of state support depend on several parameters but still there are settings in which it significantly mitigates the systemic crisis. Finally, there are differences among the effects of the different types of support measures.
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Systemic risk and sovereign crises: modelling interconnections in the financial system
Klinger, Tomáš ; Teplý, Petr (advisor) ; Jakubík, Petr (referee)
This thesis focuses on the link between financial system and sovereign debt crises through sovereign support to banks on one hand and banks' exposures to weak sovereigns on the other. After illustrating the main relationships on the recent financial crisis, we construct an agent-based network model of an artificial financial system allowing us to analyse the effects of state support on systemic stability and the feedback loops of risk transfer back into the financial system. First, the model is tested with various parameter settings in Monte Carlo simulations and second, it is calibrated to the real world data using a unique dataset put together from various sources. Our analyses yield the following key results: Firstly, in the short term, all the support measures improve the systemic stability. Secondly, in the longer run, the effects of state support depend on several parameters but still there are settings in which it significantly mitigates the systemic crisis. Finally, there are differences among the effects of the different types of support measures.
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Měření finanční nákazy pomocí CAViaR metody: Aplikace na Evropu
Tomanová, Petra ; Zouhar, Jan (advisor) ; Formánek, Tomáš (referee)
The aim of this thesis is to measure changes in dependencies among returns on equity indices for European countries in tranquil periods against crisis periods and to investigate their asymmetries in the lower and upper tail of their distributions. The approach is based on a conditional probability that a random variable is lower than a given quantile while other random variables are also lower than their corresponding quantiles. Time-varying conditional quantiles are modeled by the Conditional Autoregressive Value at Risk via Regression Quantiles (CAViaR) method. In addition to the univariate conditional autoregressive models, the vector autoregressive extension is considered. In the second step, the conditional probability is estimated through the OLS regression. Moreover, the model which allows the distribution of returns in one country to lead or to lag the distribution of returns in another country, is defined and applied on European equity returns. Finally, the model measuring dependencies among more than two return series is derived and the relating dimensionality problems are discussed. The results document a significant increase in European equity return comovements in bear markets during the crisis in 1990s and 2000s. The explicit controlling for the high volatility days does not appear to have an impact on the main findings. For the comparison purposes, the results for Latin American countries are reported as well.
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