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Credit Growth in Central and Eastern Europe
Němcová, Helena ; Seidler, Jakub (advisor) ; Hrbek, Pavel (referee)
This thesis focuses on the development of credit to the private sector in the Central and Eastern European (CEE) countries. Although the speed of credit growth in these countries has recently slowed down as the consequence of the global financial crisis, the overall increase in credit to the private sector over the past decades has been immense. As a result, the thesis examines whether this substantial increase in credit is linked to the convergence of the CEE countries towards the equilibrium or whether it represents an excessive credit growth that could threaten the macroeconomic and financial stability in these countries. We estimate the equilibrium credit levels for 11 transition countries by applying a dynamic panel data model. Since in-sample approach may bias the estimation results we perform the estimates out-of-sample using a panel of selected developed EU countries as a benchmark. The difference between the actual and estimated credit-to-GDP ratios serves as a measure of private credit excessiveness. The results indicate a slightly excessive or close to the equilibrium credit-to-GDP ratios in Bulgaria, Estonia, and Latvia prior to the financial crisis. With regard to the significant decline in GDP during the crisis this measure of credit excessiveness in these countries have further increased.
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The Determinants of Inflation Differentials across Central and Eastern European Countries
Gurbulea, Mihaela ; Horváth, Roman (advisor) ; Geršl, Adam (referee)
The thesis aims at identifying the reasons behind the heterogeneous inflation performance of countries across Central and Eastern Europe. The impact of a large number of variables is being assessed in a dynamic panel data model covering 20 countries over the period 2003-2013. The empirical results suggest that cross-country differences in inflation are attributed to the structure of the economy, to the capital deepening effects and openness. Along with the structural factors, cyclical positions also prove to be of particular importance in explaining inflation across the region, since during the last decade most of the Central and Eastern European countries have experienced fast GDP growth, a credit boom and increased domestic demand that in turn fueled inflation.
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Credit Growth in Central and Eastern Europe
Němcová, Helena ; Seidler, Jakub (advisor) ; Hrbek, Pavel (referee)
This thesis focuses on the development of credit to the private sector in the Central and Eastern European (CEE) countries. Although the speed of credit growth in these countries has recently slowed down as the consequence of the global financial crisis, the overall increase in credit to the private sector over the past decades has been immense. As a result, the thesis examines whether this substantial increase in credit is linked to the convergence of the CEE countries towards the equilibrium or whether it represents an excessive credit growth that could threaten the macroeconomic and financial stability in these countries. We estimate the equilibrium credit levels for 11 transition countries by applying a dynamic panel data model. Since in-sample approach may bias the estimation results we perform the estimates out-of-sample using a panel of selected developed EU countries as a benchmark. The difference between the actual and estimated credit-to-GDP ratios serves as a measure of private credit excessiveness. The results indicate a slightly excessive or close to the equilibrium credit-to-GDP ratios in Bulgaria, Estonia, and Latvia prior to the financial crisis. With regard to the significant decline in GDP during the crisis this measure of credit excessiveness in these countries have further increased.
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Empirical verification of short-run aggregate supply based on Lucas model and new Keynesian theory
Marošová, Ivana ; Potužák, Pavel (advisor) ; Janíčko, Martin (referee)
The aim of the master thesis is to empirically analyze if there is a support for new classics or new Keynesians as a dominant theory of short-run aggregate supply curve. The analysis is based on dynamic panel data model for 38 countries and period between 1970 and 2014. Because the results show some evidence on negative significance of level of inflation in contrast with its variability, I conclude that there is support for the new Keynesian theory. I focus on examination of the panel data assumptions such as the stationarity of explanatory variables, existence of the individual or random effects, validity of homogeneity of slope coefficients and mainly the cross-sectional dependence of error terms. After testing for these assumptions, I choose the most suitable method of estimation for dynamic panel data models. I use these methods for analyzing both linear and non-linear specification of the given model. As a result, we can see that the selection of right estimation method plays a great role in final outcomes. I also check model robustness by including changes of real oil price as a proxy variable for the supply shock in the economy.
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