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Identifikace finančních cyklů v eurozóně
Šmídová, Petra
Šmídová, P. Identification of financial cycles in euro area. Diploma thesis. Brno: Mendel University, 2023. This diploma thesis examines financial cycles in euro area countries using wavelet analysis. This method has significant advantages compared to the methods presented in the theoretical part of the thesis. The wavelet analysis allows to investigate both the time and the frequency domain at the same time and does not work with the assumption of the frequencies in which the financial cycle should be located. Credit and house prices were used as indicators of financial cycles. Statistically significant cycles in credit and house prices for individual euro area countries were identified in a Continuous Wavelet Transform. In the second section of the empirical part, a Wavelet Coherence Analysis was performed in order to answer the question whether financial cycles in the euro area are synchronised. Based on the results obtained, recommendations for macroprudential policy makers were made
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Essays on Monetary Policy
Žáček, Jan ; Holub, Tomáš (advisor) ; Horváth, Roman (referee) ; Tillmann, Peter (referee) ; Bulíř, Aleš (referee)
CHARLES UNIVERSITY FACULTY OF SOCIAL SCIENCES Institute of Economic Studies Essays on monetary policy Abstract Author: Mgr. Jan Žáček Advisor: doc. Mgr. Tomáš Holub, Ph.D. Academic year: 2020/2021 Abstract The dissertation thesis consists of three research papers in the field of mone- tary policy. All three papers connect the same topic - monetary policy rules. The first two papers focus on monetary policy rules augmented with finan- cial variables from a theoretical point of view, while the third paper provides international empirical evidence on the monetary policy conduct taking into account financial cycle developments. In the first paper I employ a small-open economy dynamic stochastic gen- eral equilibrium (DSGE) model to examine whether the central bank's direct reaction to asset prices or credit-to-GDP ratio brings macroeconomic benefits in terms of lower volatility of inflation and output. I find that direct reaction to asset prices can be beneficial for a central bank; however, the result holds only for some domestic shocks. When facing shocks originating abroad, the usefulness of the augmented monetary policy rule deteriorates. Overall, the performance of the rule augmented with asset prices is shock-dependent, and therefore, any strict rule-like behaviour for a central bank operating within a...
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Are the risk weights of banks in the Czech Republic procyclical?: evidence from wavelet analysis
Brož, Václav ; Pfeifer, Lukáš ; Kolcunová, Dominika
We analyze the cyclicality of risk weights of banks in the Czech Republic from 2008 to 2016. We differentiate between risk weights under the internal ratings-based and those under the standardized approach, consider both the business cycle and the financial cycle, and employ wavelet coherence as a means of dynamic correlation analysis. Our results indicate that the risk weights of exposures under the internal ratings-based approach, including risk weights related to exposures secured by real estate collateral, are procyclical with respect to the financial cycle. We also show that the effect of changing asset quality on risk weights is present for the internal ratings-based approach, in line with our expectations based on regulatory standards. Our results can be employed for the purposes of decision-making on the activation of supervisory and macroprudential instruments, including the countercyclical capital buffer.
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Financial cycle
Novotný, Tomáš ; Blahová, Naďa (advisor) ; Gevorgyan, Kristine (referee)
Diploma thesis is focused on the issue of financial cycle. It has theoretical character and it is based on foreign sources. Diploma thesis describes the definition of financial cycle, its interactions with business cycle and moreover it explores sychronization of cycles. Furthermore financial cycle indicators and measures are analyzed. The reactions of macroprudential, fiscal and monetary policy are also discussed in the thesis. In particular, the attention is drawn to theoretical view on countercyclical buffer. The last part is devoted to the setting of countercyclical buffer in chosen european countries.
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Financial cycle and its indicators
Lešková, Michaela ; Blahová, Naděžda (advisor) ; Pour, Jiří (referee)
Subject of the diploma thesis is a broad analysis of financial cycles that are often behind other financial topics and their clear and precise understanding is still not sufficient, despite their high significance, and indeed a critical issue for financial stability. The paper will discuss indicators of financial cycles, we can ask ourselves how each financial cycles, meaning equity, credit and real estate prices, are synchronized with each other, but also toward the economic cycle, and what consequences this synchronization brings looking at different scenarios. The turning point in the boom phase is often triggered by the financial crisis, so we look if it is possible to predict these breaks in time. We discuss the recommended adaptations of policies to the financial cycle and in the final phase of diploma work will focus on the analysis of financial cycle in the Czech Republic.
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In the Quest of Measuring the Financial Cycle
Plašil, Miroslav ; Konečný, Tomáš ; Seidler, Jakub ; Hlaváč, Petr
The recent financial crisis has demonstrated the importance of the linkages between the financial sector and the real economy. This paper sets out to develop two complementary methods for assessing the position of the economy in the financial cycle in order to identify emerging imbalances in timely manner. First, we construct a composite indicator using variables representing risk perceptions in the financial sector and calibrate this indicator to capture the credit losses the Czech banking sector experienced during the recent crisis. Second, we focus on the transitions of loans from one risk category to another, which allows us to capture the financial cycle from the perspective of the debt-paying ability of non-financial corporations. Both financial cycle measures can be used by policy makers for a wide range of policy decisions, including that on the setting of the countercyclical capital buffer.
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