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Makroobezřetnosntí politika v kontextu ekonomicko-politické nejistoty
Jetelina, Patrik
The thesis examines credit activity in the context of economic and political uncertainty (EPU index) and macroprudential policy (MPI index). The empirical analysis is carried out by regressing panel data for European Union countries between 1998 and 2015. The dataset for the analysis includes data for 5,176 banks from the Orbis database, macroeconomic data from Eurostat and the ECB statistical warehouse at an annual frequency. The regression analysis is per-formed using fixed effects. The results of the empirical analysis confirm the effect where the interaction between MPI and EPU reduces the negative impact of eco-nomic and political uncertainty on bank’s lending activity.
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Monetary Policy Transmission - Bank Lending Channel and Banking Market Structure. The Case of Georgia, Azerbaijan, and Armenia.
Jvaridze, Tinatin ; Mareš, Jan (advisor) ; Komárek, Luboš (referee)
In the thesis, we examine the bank lending channel and the effect of banking market structure on the transmission of monetary policy in Georgia, Armenia, and Azerbaijan. We employ bank-level data for the period of 2011-2017 to detect if banks with different characteristics react differently to monetary policy shocks. Banking market structure is proxied by three measures-CR5, HHI, and Lerner Index. We estimate two types of models: dynamic (with system GMM) and static (with FE) models. We also consider the effect of dollarization on bank loan supply as well as on monetary policy. We do not find consistent evidence that banks react differently to monetary policy shocks depending on bank characteristics (size, capitalization, and liquidity). Hence the existence of the lending channel is not conclusive. Nevertheless, the results show that monetary policy is less effective in more concentrated markets. This finding is robust in all specifications with both types of models. In this sense, competition is not significant. The results also suggest that dollarization weakens the effect of domestic monetary policy. Keywords bank lending channel, CR5, HHI, Lerner Index, system GMM, dollarization Author's e-mail t.jvarize@yahoo.com Supervisor's e-mail janxmares@gmail.com
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Procyclicality of Bank Lending and Provisioning Behavior
Svoboda, Jan ; Šopov, Boril (advisor) ; Lešanovská, Jitka (referee)
The aim of this paper is to investigate the procyclical behavior of banks in terms of lending and loan loss provisioning, and its dynamics with regard to the adoption of the Basel II capital regulation. Using bank-level and country-level panel data spanning from 1996 to 2013 we answer this question for the OECD and BRIC countries. We find a positive effect of bank capitalization on loans growth, which, perhaps due to the recent financial crisis, weakened after 2008. Together with evidence of income smoothing and capital management we also find strong cyclical behavior of banks in terms of loan loss provisioning. At the same time, we do not find any robust changes to this behavior after the introduction of the Basel II capital regulation. We fill a gap in the empirical literature as there has been hardly any research done on changes brought forward by the adoption of the Basel II capital regulation. The results may be therefore of interest for regulators and other professionals. Moreover, we use in our analysis data for BRIC countries, which have been often neglected.
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Linkages between financial sector and real output - empirical evidence from the Czech Republic
Tomis, Martin ; Geršl, Adam (advisor) ; Jakubík, Petr (referee)
This thesis studies various ways in which the financial sector may affect the real economy. Particular attention is devoted to the bank lending channel of monetary transmission which amplifies monetary policy through changes in the supply of bank loans. We analyze the theoretical foundations of this channel, review international empirical literature and identify characteristic features of Czech financial system. Due to the important role of bank loans in the Czech Republic and the limited availability of alternative sources of finance, we hypothesize that the channel should be operative in the Czech Republic. Using a VEC model we analyze aggregate data for 2001-2011. Impulse response functions are then used to identify responses of the lending rate and the amount of loans to a monetary shock. Based on these responses we conclude the bank lending channel was operative.
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