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Changes of financial system in the context of financial crisis
Karan, Boris ; Šíma, Ondřej (advisor) ; Pour, Jiří (referee)
In this paper, we analyse the relation between financial system and financial crises. Our goal is to find how, on the one hand, changes in the financial system affect the prospects for financial crises and, on the other hand, how the occurrence of financial crises shape the core elements of the financial system. We start by defining the financial crisis from three different perspectives. After it, we present the comprehensive history of financial crises that will allow us to continue by drawing some common patterns that are universal. Universal patterns in crises give us the ground for contemplating on some universal policy responses where we again follow different approaches. Taking into account the specifics of modern times and using the young and promising economy based on the blockchain, we are asking the question is this time different?. Analysis of initial development steps in the digital, trustless world gives us the basis for drawing parallels with the reality and the history. Our results suggest that there are many similarities throughout history and between the real and digital world. Instead of providing an exact answer on the question is this time different we conclude that there is a present strong feeling of Deja vu.
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Scale of Market Movements for US stock market
Kašpárek, Radim ; Krištoufek, Ladislav (advisor) ; Smutná, Šarlota (referee)
Currently, there is no singular, codified, and widely accepted approach to wards measuring the depth of financial crises. One of the approaches ap plied towards this problematic has been to build on the observed similarity between financial markets and dynamic systems in physics and to create analogous systems. The Scale of Market Shocks originally proposed for foreign exchange markets has been adapted for the US stock market in or der to provide US policy makers with a tool to assess the severity of such crises. Using methodology adapted from relevant research and literature we used volatilities calculated with different sampling resolution as the basis for our scale as we believe that these capture the behavior of different market agents. The resultant scale correctly identifies sharp movements and assign them a numerical value that denotes the importance of a crash. This scale is applicable for US policy makers to assess outcomes of proposed policies, however, the use of Principal Component Analysis to ease the computational complexity proved to not yield required results.
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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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Crisis and the construction of home: Narrative accounts of the Financial crisis on the Czech housing market
Samec, Tomáš ; Grygar, Jakub (advisor) ; Čada, Karel (referee)
This text deals with the Financial crises from the perspective of everyday lived experience. It presents the analysis of narrative accounts of lay people who were active on the Czech housing market during or after the Crises. Theoretically rooted in the in the framework of narrative analysis, the text widens the mainstream economical perceptions of Crises bringing the concepts of emotions, ethos and symbolic boundaries into account. On the behalf of the narratives of Crises, the narratives of the process of social construction of home proved to be significant for the narrator's identity construction and presentation. Text presents three main findings a) Crises is trope, which is used as such in the narratives b) moral evaluation, which might be coined as the bourgeois morality ethos prove their significance in the narratives c) housing choices being based both on "rational" and "irrational" factors i. e. emotions, moral evaluations. The main interpretation of the narrative accounts suggests the crucial importance of the narratives of social construction of home for the expression of being independent, capable, responsible and thus successful person. The ability to express the capability of securing what is culturally regarded as "good and ideal housing" to the family, represents ones ability to...
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Systemic risk and sovereign crises: modelling interconnections in the financial system
Klinger, Tomáš ; Teplý, Petr (advisor) ; Jakubík, Petr (referee)
This thesis focuses on the link between financial system and sovereign debt crises through sovereign support to banks on one hand and banks' exposures to weak sovereigns on the other. After illustrating the main relationships on the recent financial crisis, we construct an agent-based network model of an artificial financial system allowing us to analyse the effects of state support on systemic stability and the feedback loops of risk transfer back into the financial system. First, the model is tested with various parameter settings in Monte Carlo simulations and second, it is calibrated to the real world data using a unique dataset put together from various sources. Our analyses yield the following key results: Firstly, in the short term, all the support measures improve the systemic stability. Secondly, in the longer run, the effects of state support depend on several parameters but still there are settings in which it significantly mitigates the systemic crisis. Finally, there are differences among the effects of the different types of support measures.
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Systemic risk and sovereign crises: modelling interconnections in the financial system
Klinger, Tomáš ; Teplý, Petr (advisor) ; Jakubík, Petr (referee)
This thesis focuses on the link between financial system and sovereign debt crises through sovereign support to banks on one hand and banks' exposures to weak sovereigns on the other. After illustrating the main relationships on the recent financial crisis, we construct an agent-based network model of an artificial financial system allowing us to analyse the effects of state support on systemic stability and the feedback loops of risk transfer back into the financial system. First, the model is tested with various parameter settings in Monte Carlo simulations and second, it is calibrated to the real world data using a unique dataset put together from various sources. Our analyses yield the following key results: Firstly, in the short term, all the support measures improve the systemic stability. Secondly, in the longer run, the effects of state support depend on several parameters but still there are settings in which it significantly mitigates the systemic crisis. Finally, there are differences among the effects of the different types of support measures.
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Financial Crises and its Consequences in the Czech Republic
Mužík, Martin ; Tichá, Milena (advisor) ; Jirásková, Věra (referee)
The bachelor thesis is focused on the World Financial Crisis issue and its consequences on the Czech Republic economy. The thesis consists of three basic parts. In the first, theoretical part, there is a financial crisis described generally, with the focus on the analysis of economic cycle. In the second part, it is focused on the beginning and development of the USA crisis. The third part is concerned with the consequences of the crisis on the Czech Republic economy in the area of GDP development, foreign trade nad employment and their comparison with the development of the same macroeconomic indexes of the economy in Germany.
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The impact of macroeconomic factors on financial institutions credit risk during the global financial crises, case in Czech Republic
Jusufi, Gent ; Pečená, Magda (advisor) ; Rippel, Milan (referee)
This study aims to estimate the ratio of non-performing loans to total loans (NPL ratio), its determinants and its response to different macroeconomic shocks. As the last financial crises had negative impact on the economy of many countries of the world, we have to strive for preventive measures that would help us to fully or at least partly avoid future crises. It should be achieved by sound risk management practices of all financial institutions. Important part of these risk management practices shall be - among others - stress tests that would test the health of the institution under severe conditions and negative shocks. For this study the vector autoregression model (VAR methodology) is used to see the response of credit risk (in terms of NPL ratio) to macroeconomic shocks in the Czech Republic. The variables used for this study are quarterly time series data of the period from 2002 to 2011 (GDP, inflation rate, unemployment rate, koruna exchange rate (CZK/USD), and interest rate). For each of these variables the impulse response function was created, to show the impact of macroeconomic shocks and the speed of adjustment of NPL ratio to these shocks. Keywords: Financial Crises, Credit Risk Management, Non-performing loans, Macroeconomic Shocks, Czech Republic, VARs
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The future of central banking in the economic system of developed countries on a basis of evalution of the experience from the last decade
Vilt, Lukáš ; Ševčík, Miroslav (advisor) ; Munzi, Tomáš (referee)
Thesis is dealing with the development of the central banking on the basis of experience from the last decade. Hypothesis is the statement, whether the central banks of the developed economies are increasingly less capable of the effective reactions on the accelerating development of the global economy and their position in the money emission and regulation of the banking sector is and will be more and more weakened by the alternative banking and monetary systems. This hypothesis is successfully disproved because of the behavior of the four chosen central banks which are CNB, FED, ECB and BoJ. The main reason was an increase in their activities and interventions causing among others multiplication of their balance sheets. On the other hand the alternative in the free banking is further from the reality than before. Virtual currencies also did not show threatening growth of the national currencies substitution in the reference period. Thesis also provides insight into new and potentially new instruments of the central banks.
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Development of interest rates in the mortgage market in the Czech Republic between 2006-2016
Ditrichová, Gabriela ; Strejček, Ivo (advisor) ; Klement, Josef (referee)
This bachelor's thesis is focused on the development of interest rates in the mortgage market in the Czech Republic in the decade between 2006 and 2016. A strong economic growth between 2006 and 2007, which had positive effects in the mortgage loan market, was followed by a deep slump in the form of global financial crisis unleashed by speculations in the real estate market in the U.S. The main aim of the work is based on the development of mortgage interest rates and the significant factors that affect their amount - to verify or disprove the hypothesis that interest rates respond to changes of these factors. The results confirm the hypothesis only in certain areas. The influence of changes of interest rates has been proven in the case of inflation and discount rates by usage of the econometric model. Factors that have not shown a significant direct influence of interest rates may have an indirect influence on their change.
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