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The impact of changing exchange rates on Czech companies
Klečka, Michal ; Baxa, Jaromír (advisor) ; Semerák, Vilém (referee)
This thesis analyses impact of exchange rate exposure in Czech Republic on sample of ten Czech companies. Empirical part of thesis builds on Nazl, Kar, Akel (2014) and through market-based approach states significant impact of exchange rate exposure for 40 % of companies. Higher robustness of results was achieved through improvements in the methodology which, contrary to related literature, eliminates endogeneity of market index through instrumental variable. Surprisingly, the correlations between exchange rates and stocks of Czech companies are positive. An alternative model considering ROA of individual companies as dependent variable was used to confirm these results. The resulting impact of exchange rate exposure of alternative model is opposite. This inconsistency of the results of both models is confusing. The sudden change in exchange rate policy of the Czech National Bank in November 2013 did not affect the sensitivity of the relationship between exchange rates and stocks. The reaction of stock market in November 2013 indicates that policy change made by CNB was not entirely expected. Contrary to the related literature, higher data aggregation decreases the significance of the exchange rate exposure, signifying higher ability of Czech companies to reduce exchange rate risk in longer...
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Hedging behaviour of Czech exporting firms
Čadek, Vlastimil ; Rottová, Helena ; Saxa, Branislav
The hedging behaviour of Czech exporting firms is analysed using questionnaire information and interviews with banks. Approximately 60% of the 184 firms surveyed hedge their FX exposures, and about 88% of their exports are hedged. Most exporters use natural hedging, i.e. they balance incoming and outgoing payments in foreign currency as well as foreign currency assets and liabilities.
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Credit risk and bank lending in the Czech republic
Kadlčáková, Narcisa ; Keplinger, Joerg
This project undertakes an empirical analysis in credit risk modeling using a data sample representative of bank lending to the Czech corporate sector. A rating system is constructed using a proprietary database (Creditreform) that provides a solvency index for a large number of Czech firms. Several methods for the calibration and validation of a rating system are described and tested in practice.
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