My thesis is focused on the analysis of the Czech Republic's mortgage market and its situation in time of the global crisis. The first part deals with the theoretical framework in which I define what a financial crisis is, what are it's different types and symptoms. I focus mainly on the American subprime mortgage crisis, which became the starting point of the global financial crisis. I also define the term mortgage, it's main characteristics and types. Then I single out the main factors which influence the Czech Republic's mortgage market. In the second part of my thesis the evolution of the main macroeconomic indicators during the global crisis are described, as well as the situation at housing and mortgage markets in the United Kingdom and the Czech Republic. With the help of statistical analysis main connections and directions of influence on mortgage market were defined.

This thesis deals with the problems of the global financial crisis and its impact on the Czech Republic since 2007 with a more specific focus on the period 2011 - 2013. The first part focuses on the definition of the financial crisis, to analyze its cause and also to the effects of crisis on the global economy and world financial markets. In the second part of the study evaluated the effects of crisis on the real economy of the Czech Republic in terms of selected indicators. The third part is devoted to expressions of crisis in the income and expenditure of the state budget, the budget deficit and government debt and the effect of crisis for the fulfillment of the Maastricht convergence criteria. The conclusion is devoted econometric modeling, which aims to prove the hypothesis that the work analyzes the selected indicators have influenced the development of indicators of ratio of government debt to the GDP and the proportion of public deficit to GDP in the period.

Diploma thesis tests the existence of luck premium on U.S. CEOs' compensations. Luck premium means that in case of high principal-agent costs, CEOs are rewarded for random luck and not only for their productivity. Thesis uses financial crisis in 2008 as a breaking event after which attention and control of CEOs' remuneration by owners, public, and media intensified. Using regression with fixed effects on panel data between years 2004 and 2012 thesis proved impact of luck premium before 2008 while the influence was not significant after 2008. Results were not robust for other model specifications, which might be caused by selectivity of the dataset. Thesis then presents overview of theoretical approaches to CEOs' compensation analysis and recommendations for optimal compensation set-up.

Orientador: Daniela Magalhães Prates / Dissertação (mestrado) - Universidade Estadual de Campinas, Instituto de Economia / Made available in DSpace on 2018-08-27T05:19:07Z (GMT). No. of bitstreams: 1 Barone_RicardoStrazzacappa_M.pdf: 1339791 bytes, checksum: 9c7ac9e05a963ba068d8b203475c9721 (MD5) Previous issue date: 2015 / Resumo: Esta dissertação tem por objetivo apresentar os principais argumentos da abordagem econômica mainstream acerca das raízes da crise financeira estadunidense de 2007/2008, bem como as principais críticas a ela endereçadas pelas abordagens alternativas. Argumenta-se que a abordagem mainstream oferece um conjunto de explicações que desviam a atenção dos fatores históricos, monetários e financeiros que realmente poderiam contribuir para o entendimento das origens da crise em questão. Para tanto, os argumentos da abordagem mainstream são apresentados segundo duas vertentes, a saber: uma vertente classificada como hard-core, que contempla questões vinculadas às falhas de governo, e outra vertente classificada como soft-core, relacionada às falhas de mercado e aos desequilíbrios internacionais. Procura-se, a partir da articulação das críticas à abordagem mainstream, desenvolver uma interpretação que tem como ponto central a emergência de um novo padrão sistêmico de riqueza capitalista: a financeirização. Esse novo padrão, entendido como uma forma específica pela qual se faz a definição, gestão e realização da riqueza, passa a condicionar o comportamento das famílias, das empresas, das instituições financeiras e dos governos segundo princípios de uma lógica financeira geral que define o modo de ser do capitalismo contemporâneo / Abstract: The aim of this MA dissertation is to present the key arguments of the mainstream economical approach concerning the origins of the US financial crisis of 2007/2008, as well as the principal criticisms put forward by alternative views. It is argued that the mainstream approach offers a range of explanations that overlooks important historical, monetary and financial factors, which, however, could help shedding light on the actual origins of the crisis. The analysis of the mainstream arguments is structured into two main groups: the first is known as the `hard-core¿ and deals with issues concerning government errors; the second is the so-called `soft-core¿ and focuses on both market errors and international phases of disequilibrium. Through an assessment of the principal criticisms to the mainstream approach, this dissertation offers an interpretation of the crisis which is based on the idea of the emergence of a new systemic pattern of capitalistic wealth, namely, the financialization. Understood as a specific form by which wealth is defined, managed and produced, this new pattern comes to determine the behaviour of families, businesses, financial and governmental institutions according to the principles of a comprehensive financial logic that shapes the contemporary capitalism / Mestrado / Teoria Economica / Mestre em Ciências Econômicas

Thesis advisor: Fabio Schiantarelli / Thesis advisor: Zhijie Xiao / This dissertation consists of three essays in macroeconomics and finance. The first and second chapters analyze the impact of the financial shocks and anti-corruption campaign on Chinese firms through the bank lending channel. The third chapter provides a new method to predict the cash flow from operations (CFO) via semi-parametric estimation and machine learning. The first chapter explores the impact of the financial crisis and sovereign debt crisis on Chinese firms through the bank lending channel and firm borrowing channel. Using new data linking Chinese firms to their bank(s) and four different measurements of exposure to the international markets (international borrowing, importance of lending to foreign listed companies, share of trade settlement, and exchange/income), I find that banks with higher exposure to the international markets cut lending more during the recent financial crisis. In addition, state-owned bank loans are more pro-cyclical compared with private bank loans. Moreover, banks with higher exposure to the international markets cut lending more when there is a negative shock in OECD GDP growth. With regard to firm borrowing channel, I find that firms with higher weighted aggregate exposure to the international markets through banks have lower net debt, cash, employment, and capital investment during the financial crisis. Firms with higher weighted aggregate exposure to the global markets have higher net debt and lower cash, employment, and capital investment when there is a negative shock in OECD GDP growth. This paper also provides a theoretical model to explain the mechanism in a partially opened economy like China. The second chapter discusses the impact of the anti-corruption campaign on Chinese firms through the bank lending channel. Using confidential data linking Chinese firms to their bank(s) and prefecture-level corruption index, I find that banks located in more corrupted prefectures offer significantly less credits before the anti-corruption investigation, and this effect changes the direction after the investigation. Moreover, banks located in more corrupted prefectures tend to use higher interest rates, longer maturity, and more collateral before the campaign, all of these effects change the direction after the campaign. This paper suggests that the banks located in more corrupted prefectures have stronger monopoly power (or higher markup, and lower efficiency). This monopoly effect could be proved by that the bank concentration ratio is higher, and the bad loans of the banks are higher in the more corrupted areas, and all of these effects disappear after the campaign. The third chapter considers the methods of prediction of Cash flow from operations (CFO). Forecasting CFO is an essential topic in financial econometrics and empirical accounting. It impacts a variety of economic decisions, including valuation methodologies employing discounted cash flows, distress prediction, risk assessment, the accuracy of credit-rating predictions, and the provision of value-relevant information to security markets. Existing literature on statistically-based cash-flow prediction has pursued cross-sectional versus time-series estimation procedures in a mutually exclusive fashion. Cumulated empirical evidence indicates that the beta value varies across firms of different sizes, and the cross-sectional regression can not capture an idiosyncratic beta. However, although a time series based predictive model has the advantage of allowing for firm-specific variability in beta, it requires a long enough time series data. In this paper, we extend the literature on statistically-based, cash-flow prediction models by introducing an estimation procedure that, in essence, combine the favorable attributes of both cross-sectional estimation via the use of "local" cross-sectional data for firms of similar size and time-series estimation via the capturing of firm-specific variability in the beta parameters for the independent variables. The local learning approach assumes no a priori knowledge on the constancy of the beta coefficient. It allows the information about coefficients to be represented by only a subset of observations. This feature is particularly relevant in the CFO model, where the beta values are only related to cross-sectional data information that is "local" to its size. We provide empirical evidence that the prediction of cash flows from operations is enhanced by jointly adopting features specific to both cross-sectional and time-series modeling simultaneously. / Thesis (PhD) — Boston College, 2020. / Submitted to: Boston College. Graduate School of Arts and Sciences. / Discipline: Economics.

京都大学 / 0048 / 新制・課程博士 / 博士(経済学) / 甲第22682号 / 経博第618号 / 新制||経||293(附属図書館) / 京都大学大学院経済学研究科経済学専攻 / (主査)教授 柴田 章久, 准教授 高橋 修平, 教授 佐々木 啓明, 教授 敦賀 貴之(大阪大学) / 学位規則第4条第1項該当 / Doctor of Economics / Kyoto University / DGAM

One policy reaction of the Federal Reserve to the 2008 financial crisis was the extension of currency swap lines to various foreign central banks; this constituted the global transfer of billions of US dollars of wealth and exhibited the role of the US as a global lender of last resorts. Some have attempted to explain the supply of these lines as a function of risk mitigation for domestic US banks with foreign holdings, but no one has yet investigated the social dynamics of this phenomenon. In recognizing that the global demand for emergency liquidity was greater than the Federal Reserve’s supply, this paper investigates how the similarity of foreign central banks affected the selection of which banks would receive liquidity extensions. I calculate similarity scores to the US Federal Reserve for foreign banks which applied for liquidity extensions during the crisis. These scores measure the textual similarity of foreign central bankers’ speeches to those of the Fed, the institutional design similarity to that of the Fed, and the similarity of foreign central banks’ governors’ educational and professional backgrounds to those of the 2008 Federal Open Markets Commission members. I find that the similarity of foreign central banks to the US with regard to these three criteria offers a significantly stronger and statistically more robust answer to the question of what drove this decision process, and offer implications for international regulatory mechanisms to ameliorate this tendency toward social homophily.

Investors herd when they follow the investment decisions of other market participants and ignore their own private information, causing asset valuations to deviate from their fundamentals. This paper examines herding in the South African equity market by examining the impact of investor fear on herding behavior, using a survivorship-bias free daily dataset of companies within the JSE All Share Index over the period: 3 May 2002 to 31 December 2019. Using the cross-sectional absolute deviation (CSAD), this study examines market-wide herding behavior over multiple sub-periods, which consists of before, during and after the global financial crisis of 2007/08. The results suggest no evidence of herding towards the market return; on the contrary there is evidence of ‘anti-herding' behaviour during periods of market stress. However, there is significant herding towards the domestic fear index, which becomes more pronounced during the crisis period. Furthermore, investor herd behaviour appears to be sensitive to spill-over effects from the US investor fear-gauge, suggesting interconnectedness with global financial markets. Therefore, these findings suggest that fear plays an important role in enforcing irrational behaviour.

This diploma thesis deals with the global financial crisis of 2007 to the present moment and monetary policy, which at that time was applied by the Czech National Bank and the European National Bank. It also analyzes the behavior of the two selected banks in the Czech Republic during that period and evaluates how they dealt with the crisis. Finally, suggestions on measures of central banks are stated.

Diplomová práce se zabývá regulací trhů OTC derivátů, které hrály zásadní roli ve vzniku a šíření světové finanční krize. Cílem této regulace bylo zmírnit následky krize a preventivně bránit opakování podobnýćh událostí v budoucnosti. Hlavní důraz je kladen na regulaci EMIR a Dodd-Frank Wall Street Reform v Evropě a USA.