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Cross-Border Contagion: An Empirical Analysis of the Current Financial Crisis in Central and Eastern Europe
Žáková, Kristýna ; Geršl, Adam (advisor) ; Mertlík, Pavel (referee)
The objective of this thesis is to examine cross-border contagion effects during the 2007-09 crisis in Central and Eastern Europe (CEE) and from all the possible propagation channels, it chooses to focus on cross-border bank loans. It tries to discover which global and local factors had significant influence on the changes in bank loans from banks in source (lending) countries to banks, as well as households, corporations and government in host (borrowing) countries. The main research method is a panel data regression model. The empirical results suggest that both local and global factors had influence on the changes in cross-border loans, i.e. helped to spread the 2007-09 crisis to CEE. The significant local factors were macroeconomic and financial characteristics of both source and host countries, such as their GDP growth differential, interest rate differential, FDI, or profitability and health of the banking sector. The significant global factors were the expected market volatility and investors' risk appetite/aversion which was an indicator of "pure" contagion. The main contribution of this thesis lies in its focus on CEE and the analysis of investors' behavior based on their changing risk appetite.
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Cross-Border Contagion in the Banking Sector: The Case of Nordic Countries
Baronaite, Lina ; Babin, Adrian (advisor) ; Princ, Michael (referee)
"Cross-Border Contagion in the Banking Sector: The Case of Nordic Countries" by Lina Baronaite Abstract: The objective of the thesis is to estimate the degree of cross-border contagion among the Nordic banking sectors. It analyzes a sample of sixteen largest listed Nordic banks from January 2004 to January 2014. Using a multinomial logit model we test whether there is any degree of contagion among the four banking sectors, whether it is more pro- nounced for larger banks and whether the recent financial crisis has exacerbated it. Our results are in line with similar studies conducted for other countries. In particular, we find that a shock in one bank- ing sector is positively associated with an increase in shocks in another banking sector. Second, these shocks are larger and more significant for larger and more active international banks. Finally, the effect of the recent financial crisis has ambiguous effects on the cross-sectoral banking contagion. It appears that contagious links between some sec- tors weakened (Sweden and Denmark, Sweden and Finland). Other economies (Sweden and Norway) on the contrary became more depen- dent on each other. The results are robust to a wide variety of changes in specifications.
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The Main Determinants of European Trade Integration
Spivacenco, Carolina ; Vacek, Pavel (advisor) ; Dingová, Vilma (referee)
The importance of international trade cannot be neglected as it represents an important channel of wealth creation in the actual globalised world. Thus, the present writer aims to identify how the commercial flows have changed after the adoption of Euro and once the financial crisis has burst. Furthermore the main factors that influence trade are researched by using the gravitational econometric model and employing panel data for 14 EU member countries. The results show that the intensity of commercial exchanges are highly influenced by the level of development (GDP) of the country and the amount of FDI that are attracted, while the use of a common currency appears to be not too significant. At the same time, indicators are more sensible during the crisis period than the stable one, hence even small changes in independent variables can lead to higher decrease in trade. Key words: European trade, liberalization, competitiveness, financial crisis, contagion, Euro, gravitational model.
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Global Financial Crisis: causes and consequences - The case of developed vs developing economies in CEE region
Zhu, Yongyan ; Semerák, Vilém (advisor) ; Akdogan, Idil (referee) ; Paulus, Michal (referee)
The great recession of 2008-2010 has impacted the world's economy, which has begun with the sub-prime crisis in the US subprime mortgage market and subsequently spread to the world economy through the contagion effect. Moreover, the influence of the recession on the other nation's economy has been markedly differentiated, depending on their vulnerability to financial system problems (credit crunch, liquidity inflows). Some countries were hit very hard and experienced a drop in GDP, rising unemployment, etc. However, other countries were affected slightly, or the direct effects on them were not visible. Similarly, Central and Eastern Europe (CEE) countries have experienced a very differentiated course of the crisis. As a result of the recession, economic policymakers have tightened financial supervision and regulatory frameworks. This study adopts seven Eastern and Central European Countries (Poland, including Czech Republic, Hungary, Romania, Slovakia, Lithuania and Bulgaria) and analyzes the effect of recession on the stock market of the selected countries. The relevant leading stock market indices of individual countries are adopted as an indicator of the development of the financial market. Monthly data for January 2000-May 2021 is used, and this period is further divided into two samples...
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Coexceedance in financial markets of countries trying to join the European Union
Baranová, Zuzana ; Horváth, Roman (advisor) ; Dědek, Oldřich (referee)
This thesis analyses financial contagion between a reference EU market - Germany and markets of five countries which are actively seeking to become a part of European Union - Montenegro, Serbia, Turkey, Bosnia and Macedonia in the period of March 2006 to March 2018. We apply quantile regression framework to analyse contagion which we base on the occurrence and degree of coexceedances between the reference and analysed market. The results indicate that contagion between stock markets exists, however in different degree for each of the analysed markets. In addition we apply the regression framework specifically for period of financial crisis of 2008 to demonstrate that contagion is stronger during turbulent market periods. JEL Classification G01, G14, G15 Keywords coexceedance, quantile regression, contagion, stock markets Author's e-mail 80605682@fsv.cuni.cz Supervisor's e-mail roman.horvath@fsv.cuni.cz
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Co-exceedances in stocks and bonds between Southern European Countries and CEE Countries - Analysis of contagion
Pjontek, Matej ; Horváth, Roman (advisor) ; Baruník, Jozef (referee)
In this thesis, we analyse financial contagion between Southern European (Greek, Italian, Portuguese and Spanish) and Central Eastern European (Czech, Polish and Hungarian) stock markets respectively sovereign bond markets in the period from January 2001 to June 2016. A quantile regression framework is applied to analyse contagion based on measuring of occurrences and degrees of co-exceedances. We use conditional variance (volatility) of analysed markets to find direction of the contagion. Our results show that during the analysed period contagion between stock markets exists. Contagion between stock markets is stronger during the financial and sovereign debt crisis. Direction of contagion is from Southern European to Central Eastern European Countries. We do not find evidence of contagion between Sothern European and Central Eastern European sovereign bond markets. Our results show "flight to quality", but not "flight from quality".
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Analysis of contagion between energy and CEE financial markets
Kosar, Mariia ; Horváth, Roman (advisor) ; Geršl, Adam (referee)
This work analyzes the contagion effects between energy and CEE financial markets during the two crisis periods (global financial crisis 2008-2009 and energy market crisis 2014), using a sample of daily data from 2004 till 2015. We detect contagion by observing the degree and structure of two dummy variables for specified crisis periods included into the quantile regression models on the basis of a dependence measure called "coexceedances". Our results show that there are significant contagion effects present between the gasoil and CEE stock markets during the 2008-2009 period and mixed evidence of contagion between crude oil market and CEE stock markets. CEE stock markets do not appear to exhibit significant contagion effects with energy markets during the recent energy market crisis. These results substantially differ from those found in the developed European markets. In particular, our results indicate that energy markets and stock markets in developed Europe seem to display significant contagion effects during the 2014-2015 period. Keywords: Central and Eastern Europe, contagion, energy market, quantile regression
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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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Communication of the European Central Bank and contagion on financial markets
Jonášová, Júlia ; Horváth, Roman (advisor) ; Hlaváček, Michal (referee)
v Abstract The aim of this thesis is to assess the effect of central bank communication on joint occurrence of extreme returns and on extreme movements shared by two stock markets. The research concentrates on the following aspects: predictability of increased share of countries experiencing extreme returns in the eurozone based on the nature of policymaker's statement and also a set of control variables, change in probability of extreme returns joint occurrence after president's speech, determinants of joint occurrence when non-standard measures were announced and finally, effect of crisis period. Additionally, determinants of shared extreme movements between particular countries are examined. The results suggest that communication nature or crisis are not significant predictors of extreme returns joint occurrence. Moreover, markets seem to react jointly to ECB president's speech only when they have extremely high returns. Furthermore, markets jointly react on days of nonstandard measures announcement differently. We also found that in the first quantile dovish statements tend to increase returns above their mean in case of Greece and Germany, and Greece and the UK. Rest of the pairs of countries have opposite reaction to dovish tone and communication is significant in the 95th quantile for the pair...
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Cross-Border Contagion in the Banking Sector: The Case of Nordic Countries
Baronaite, Lina ; Babin, Adrian (advisor) ; Princ, Michael (referee)
"Cross-Border Contagion in the Banking Sector: The Case of Nordic Countries" by Lina Baronaite Abstract: The objective of the thesis is to estimate the degree of cross-border contagion among the Nordic banking sectors. It analyzes a sample of sixteen largest listed Nordic banks from January 2004 to January 2014. Using a multinomial logit model we test whether there is any degree of contagion among the four banking sectors, whether it is more pro- nounced for larger banks and whether the recent financial crisis has exacerbated it. Our results are in line with similar studies conducted for other countries. In particular, we find that a shock in one bank- ing sector is positively associated with an increase in shocks in another banking sector. Second, these shocks are larger and more significant for larger and more active international banks. Finally, the effect of the recent financial crisis has ambiguous effects on the cross-sectoral banking contagion. It appears that contagious links between some sec- tors weakened (Sweden and Denmark, Sweden and Finland). Other economies (Sweden and Norway) on the contrary became more depen- dent on each other. The results are robust to a wide variety of changes in specifications.
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