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Vztah mezi zadlužeností domácností a hospodářským cyklem ve vybraných evropských zemích
Oleinik, Aleksandr
The aim of the work is to identify the relationship between household in-debtedness and the economic cycle in selected countries. In the empirical part, the analysis of the period 1996Q1-2022Q4 is carried out, based on data obtained from the BIS (Bank for International Stettlements) and Eurostat. The selection of countries was carried out with the help of work C. Gräb-ner, P. Heimberg, J. Kapeller and B. Schütze, 2019, where the EU states are divided into 4 economic groups. The following were selected: Core (Germany, Belgium), economies with a significant financial sector (Luxembourg, Netherlands), periph-ery (Italy, France), catch-up economies (Poland, Czech Republic). Two crises occurred in the reporting period, financial (2008) and pandem-ic COVID-19 (2020), so the time series was additionally divided into two sections 1996Q1-2007Q4 and 2008Q1-2019Q4, in order to verify the impact of the 2008 crisis on the relationship between debt and the economic cycle. Correlation and vector autoregression with the extension of Granger causality were used for the analysis . It was found that at time t there is a very weak correlation between the economic cycle and household indebtedness . Granger causality shows that the relationship in most states is endogenous, i.e. household indebtedness and the economic cycle interact, but in some states one-sided Granger causality has been identified. In the case of Germany, household indebtedness is a leading indicator of the economic cycle in all the periods examined, whereas in Italy household in-debtedness is a leading indicator only for the whole period). Luxembourg was the only country where no Granger causality was found.
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Fiscal policy and inflation: The case of the Czech Republic
Slaba, Martin ; Kočenda, Evžen (advisor) ; Hlaváček, Michal (referee)
This thesis investigates the relationship between government spending and inflation in the Czech Republic. We estimate a block-restriction VAR model in several specifications. The model confirmed the prediction of the Fiscal Theory of Price Level, that a shock to government spending will produce an inflationary response. However, the impulse responses are in all specifications insignificant or borderline significant. Second part of the thesis utilizes a non- econometric analysis to examine the post-covid inflationary period. The conclusion of this analysis is that the expansionary government spending combined with a tax cut provided the population with significant disposable income at a time when the economic output was compressed and consumption was severely restricted due to the lockdowns. The forcibly delayed consumption lead to an unprecedented increase in savings of both household and firms. The drawdown of these savings once the restrictions were lifted created demand-side inflationary pressures. The supply-side shock that came with the the war in Ukraine only enhanced the already heightened inflation.
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Macroeconomic stress-testing of banking systems: survey of methodologies and empirical application
Šimečková, Jana ; Geršl, Adam (advisor) ; Pečená, Magda (referee)
This thesis deals with stress testing as a process that helps to assess the impact of potential adverse shocks on the soundness of a financial system. First section is dedicated to non-technical discussion about stress testing and to some methodological issues. The main focus lies on the system-wide macroeconomic stress testing. The empirical part of the thesis is a contribution to macroprudential analysis of the quality of the aggregate loan portfolio in the Czech Republic. This study adopts a vector autoregression model applied to the Czech banking sector in order to judge its stability and present some evidence on macroeconomic variables affecting the Czech banking system. As a measure of the strength of the loan portfolio is used the stock of non-performing loans vis-à-vis total loans in the sector. The thesis follows the widely used methodology and seeks to identify significant macroeconomic risk factors affecting the loan portfolio quality. The latter part aims also to forecast the most likely development of the loan portfolio.
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How Much of the Macroeconomic Variation in Ukraine Originates From External Shocks?
Fedorova, Alona ; Baxa, Jaromír (advisor) ; Cahlík, Tomáš (referee)
iv Abstract In this thesis, we investigate the relative importance of foreign shocks in the Ukrainian economy by estimating a small-scale SVAR model with block exogeneity restriction over the period 2003:2 - 2016:12. We find that external shocks from the EU and Russia account for a significant share of the macroeconomic variation in Ukraine. In particular, external shocks account for up to 97 % of variance in Ukraine's output and 85 % in inflation. Remarkably, foreign monetary policy shocks (both from the EU and Russia) account only for a tiny share of variance in all Ukrainian macro variables. Finally, we show that the inclusion of Russia in the 'foreign' block is important to achieve correct model specification. Without accounting for the effects of the Russian economy, Ukrainian variables over-react to shocks originating from the EU. We conclude that the National Bank of Ukraine should closely track external developments to achieve inflation targets. JEL Classification E52, F41, F42 Keywords vector autoregression, foreign shocks, monetary policy, Ukraine Author's e-mail alonafedorova0@gmail.com Supervisor's e-mail jaromir.baxa@fsv.cuni.cz
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How Can the Czech National Bank Eliminate the Zero Lower Bound on Interest Rates? A Case Study
Katinová, Alexandra ; Havránek, Tomáš (advisor) ; Kolcunová, Dominika (referee)
The thesis provides case study research on the feasibility of the negative in- terest rate policy in the context of the Czech Republic. No major obstacles opposing the policy itself were found in the bases of the Czech legal system, however, a list of acts explicitly affected by the value of policy rates needs to be adjusted to prevent misinterpretations. Moreover, it was identified that tax prepayments held by the Tax Authority and free reserves kept at the Czech National Bank at zero interest rate create room for escaping from the policy. Additionally, debt repayments in cash and interest-free accounts of government and public institutions administrated by the Czech National Bank could lead to undesirable advantages. A complementary VAR model analysis of the interest rate transmission under negative policy rates was performed to evaluate quan- titatively the experience from European countries, however, short data series available provided merely indicative results.
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Econometric Systems of Equations as a Tool for Financial Data Analysis
Vaverová, Jana ; Zichová, Jitka (advisor) ; Krtek, Jiří (referee)
This thesis deals with analysing multivariate financial and economical data. The first section describes various types of econometric systems of equations, vector autoregression and constucting models based on this theory. The second part deals with analysing the dependence of time series of inflation rates on various macroeconomical indicators and reciprocal dependence of two exchange rates time series. All results were obtained by the Mathematica 8.0 software.
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Financial Stress in the Czech and Slovak Republic: Measurement and Effects on the Real Economy
Malega, Ján ; Horváth, Roman (advisor) ; Cingl, Lubomír (referee)
In the scope of this thesis, we estimate a financial stress index particularly for the Czech Republic with application for Slovakia, and examine its development during the period 2002-2014. The advantage of the index is primarily its ability to measure the current level of stress in the financial system incorporating information from various sectors of the economy and expressing it in a single-value statistic. We find a marked increase in financial stress at the beginning of the global financial crisis and European sovereign debt crisis with a decrease to nearly pre-crisis levels by the end of our study period. Next, we estimate vector autoregression models and find out that financial stress has systematic effects on unemployment, prices and interest rates, with the maximum response occurring approximately one to two years after the shock in the Czech Republic, and with a half-year delay in Slovakia. Specifically, an increase in financial stress is associated with higher unemployment, lower prices and lower interest rates, indicating its detrimental effects on the real economy. JEL Classification G17, G32 Keywords financial stress index, vector autoregression, impulse responses
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Forecasting and nowcasting power of confidence indikators:Evidence for Central Europe
Herrmannová, Lenka ; Horváth, Roman (advisor) ; Mikolášek, Jakub (referee)
This thesis assesses the usefulness of confidence indicators for nowcasting and short term forecasting of the economic activity in the Czech Republic and three other Central European countries. The predictive power of both the Czech business confidence indicator and the customer confidence indicator is examined using two empirical approaches. First we predict the likelihood of economic downturn using logit models, later we estimate GDP growth out of sample forecasts in the framework of vector autoregression models. The results obtained from the downturn probability models confirm the ability of confidence indicators (especially the business confidence indicator) to estimate the current economic situation, so called nowcast. Results from the out-of-sample GDP growth value forecasting are ambiguous. Nevertheless the customer confidence indicator significantly improved original forecasts based on the model with standard macroeconomic variables and therefore we conclude in favour of its predictive power. Cross- country comparison confirms economic downturn nowcasting power of confidence indices in Hungary and Poland and fails to confirm such an ability of Slovak confidence indicators. One-quarter-ahead forecasts brought mixed results and therefore we conclude that nowcasting and forecasting properties of...
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CEE fiscal deficits in the course of financial crisis
Mareš, Jan ; Schneider, Ondřej (advisor) ; Jeřábek, Jakub (referee)
The thesis covers the fiscal adjustments of countries in Central and Eastern Europe (CEE) since the financial crisis of 2008/2009. The topic revolves around ongoing debate about the right steps to stabilize government finances and encourage economic activity. It provides an overview of the measures undertaken by the governments of the Czech Republic, Estonia, Latvia, Lithuania, Hungary, Poland, Slovenia and Slovakia. The discussion of fiscal rules and institutions in CEE is also presented along with their influence on budgetary discipline. We follow with the review of literature debating government expenditures and government revenues having impact on economic growth. These relationships are then explored for countries of the CEE region based on the data from 1999 onwards. We apply Granger causality tests on reduced-form vector autoregressions and since we find no significant relationships between the government revenues, expenditures and GDP, we continue with structural vector autoregression using identification procedure developed by Blanchard and Perotti (2002). After identification, we utilize impulse response analysis to compute the multipliers of government expenditures and revenues. The multipliers generally take values close to zero and are found insignificant.
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Forecasting Ability of Confidence Indicators: Evidence for the Czech Republic
Herrmannová, Lenka ; Horváth, Roman (advisor) ; Mikolášek, Jakub (referee)
This thesis assesses the usefulness of confidence indicators for short term forecasting of the economic activity in the Czech Republic. The predictive power of both the business confidence indicator and the customer confidence indicator is examined using two empirical approaches. First we predict the likelihood of economic downturn defined as a discrete event using logit models, later we estimate GDP growth out of sample forecasts in the framework of vector autoregression models. The results obtained from the downturn probability models confirm the ability of confidence indicators (especially the business confidence indicator) to estimate the current economic situation and to anticipate economic downturn one quarter ahead. Results from the out-of-sample GDP growth value forecasting are ambiguous. Nevertheless the customer confidence indicator significantly improved original forecasts based on a model with standard macroeconomic variables and therefore we conclude in favour of its predictive power. This result was indirectly confirmed by OECD as the Czech customer confidence indicator has been included as a new component in the OECD domestic composite leading indicator since April 2012.
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