Subject of the diploma thesis is a broad analysis of financial cycles that are often behind other financial topics and their clear and precise understanding is still not sufficient, despite their high significance, and indeed a critical issue for financial stability. The paper will discuss indicators of financial cycles, we can ask ourselves how each financial cycles, meaning equity, credit and real estate prices, are synchronized with each other, but also toward the economic cycle, and what consequences this synchronization brings looking at different scenarios. The turning point in the boom phase is often triggered by the financial crisis, so we look if it is possible to predict these breaks in time. We discuss the recommended adaptations of policies to the financial cycle and in the final phase of diploma work will focus on the analysis of financial cycle in the Czech Republic.

Diploma thesis is focused on the issue of financial cycle. It has theoretical character and it is based on foreign sources. Diploma thesis describes the definition of financial cycle, its interactions with business cycle and moreover it explores sychronization of cycles. Furthermore financial cycle indicators and measures are analyzed. The reactions of macroprudential, fiscal and monetary policy are also discussed in the thesis. In particular, the attention is drawn to theoretical view on countercyclical buffer. The last part is devoted to the setting of countercyclical buffer in chosen european countries.

In this study we examine the dynamic interactions between credit growth and output growth using the spillover index approach of Diebold and Yilmaz (2012). Based on quarterly data on credit growth and GDP growth over the period 1957Q1 -2012Q4 for the G7 countries we find that: (i) spillovers between credit growth and GDP growth evolve rather heterogeneously over time and across countries, and increase during extreme economic events. (ii) Spillovers between credit growth and GDP growth are of bidirectional nature, indicating bidirectional spillovers of shocks between the financial and the real sector. (iii) In the period shortly before and during the global financial crisis, the link between credit growth and GDP growth becomes more pronounced. In particular, the financial sector plays a dominant role during the early stages of the crisis, while the real sector quickly takes over as the dominant source of spillovers. (iv) Interestingly, credit growth in the US is the dominant transmitter of shocks to the G7 countries, and especially to other G7 countries' real sectors in the run up period to (and during) the global financial crisis. Overall, our results suggest that the magnitude and direction of spillovers between financial cycles and business cycles vary over time along with changes in the economic environment in the G7 countries. (authors' abstract)

Les trois chapitres suivants examinent: 1) si les taux de change réels d'Asie du Sud-Est sont nonlinéaire, 2) l'inférence bayésienne sur le modèle de série temporelle nonlinéaire avec des applications sur le taux de change réel,et 3) la cyclicité et effet de rebond dans le marché boursier.Depuis la fin des années nonante, les analyses théorique et empirique consacrée au taux de change réel suggèrent que la dynamique pourrait être bien estimés par les modèles non linéaires. Le premier chapitre examine cette possibilité utilisant les données mensuelles de l'ASEAN-5, et il s'étend la recherche existante dans deux directions. Tout d'abord, nous utilisons récemment mis au point des tests de racine unitaire ce qui permettra d'assouplir les modèles non linéaires stationnaires dans le cadre du d'autre alternative que l'couramment utilisés à SETAR ou ESTAR modèle. Deuxièmement, bien que différents modèles nonlinéaires survivre aux tests de mis-spécification, une expérience Monte Carlo à partir de généralisées fonctions de réponse impulsionnelle est utilisé pour comparer leur pertinence relative. Nos résultats i) soutenir l'hypothèse de retour nonlinéaire à la moyenne , et donc la parité de pouvoir d'achat, dans la moitié des cas et ii) indiquent MRLSTAR et ESTAR comme les plus probables processus générant des taux de change réels.Le deuxième chapitre analyse ACR modèle. Nous proposons une approche bayésienne complète d'inférence et une attention particulière est portée sur les paramètres des variables de seuil. Nous discutons le choix des distributions a priori et proposer une chaîne de Markov algorithme de Monte Carlo pour estimer les paramètres et les variables latentes. Une étude de simulation et de l'application à des données taux de change réelles illustrer l'analyse.Le troisième chapitre explore que les différentes formes de recouvrements dans les marchés financiers peuvent présenter dans un modèle de Markov Switching. Elle s'appuie sur les effets de rebond d'abord analysé par Kim, Morley et Piger [2005] dans le cycle des affaires et généralisé par Bec, Bouabdallah et Ferrara [2011] pour permettre une plus souple de type rebond.Nos résultats i) montrer que l'effet de rebond est statistiquement significative et importante dans tous les cas, mais l'Allemagne où la preuve est moins claire et ii) l'impact négatif permanent de marchés baissiers sur l'indice est notablement réduite lorsque le rebond est explicitement pris en compte. / The following three chapters investigate: 1) whether Southeast Asian real exchange rates are nonlinear mean reverting, 2) bayesian inference on nonlinear time series model with applications in real exchange rate, and 3)cyclicality and bounce-back effect in stock market. Since the late nineties, both theoretical and empirical analyses devoted to the real exchange rate suggest that their dynamics might be well approximated by nonlinear models. This paper examines this possibility for post-1970 monthly ASEAN-5 data, extending the existing research in two directions. First, we use recently developed unit root tests which allow for more flexible nonlinear stationary models under the alternative than the commonly used Self-Exciting Threshold or Exponential Smooth Transition AutoRegressions. Second, while different nonlinear models survive the mis-specification tests, a Monte Carlo experiment from generalized impulse response functions is used to compare their relative relevance. Our results support the nonlinear mean-reverting hypothesis, and hence the Purchasing Power Parity, in half the cases and point to the Multiple Regime-Logistic Smooth Transition and the Self-Exciting Threshold AutoRegressive models as the most likely data generating processes of these real exchange rates.Various nonlinear threshold models are employed to mimic the real exchange rate dynamics. A natural question arises: Which model does the best job of modeling the real exchange rate process? It is difficult and not straightforward to formally compare the nonlinear models within classic approach. In the second chapter, we propose to use Bayesian approach to address this issue. The second part of my dissertation actually uses a Bayesian method to estimate some nonlinear time series models, the ACR model, SETAR model, and MAR model. We propose a full Bayesian inference approach and particular attention is paid to the parameters of the threshold variables. We discuss the choice of the prior distributions and propose a Markov-chain Monte Carlo algorithm for estimating both the parameters and the latent variables. A simulation study and the application to real exchange rate data illustrate the analysis. Our empirical results of the second chapter show that i) Bayesian estimations closely match those of the Maximum likelihood for French real exchange rate vis-a-vis Deutsche Mark; ii)the speed of real exchange rate's adjustment to equilibrium level is overestimated if heterogeneous variances in two regimes is not taken into account; iii) ACR model is preferred to other nonlinear threshold models, SETAR and MAR; iv) within ACR class models, the suitable transition function form is selected based on Bayes factor.This paper proposes an empirical study of the shape of recoveries in financial markets from a bounce-back augmented Markov Switching model. It relies on models first applied by Kim, Morley et Piger [2005] to the business cycle analysis. These models are estimated for monthly stock market returns data of five developed countries for the post-1970 period. Focusing on a potential bounce-back effect in financial markets, its presence and shape are formally tested. Our results show that i) the bounce-back effect is statistically significant and large in all countries, but Germany where evidence is less clear-cut and ii) the negative permanent impact of bear markets on the stock price index is notably reduced when the rebound is explicitly taken into account.

CHARLES UNIVERSITY FACULTY OF SOCIAL SCIENCES Institute of Economic Studies Essays on monetary policy Abstract Author: Mgr. Jan Žáček Advisor: doc. Mgr. Tomáš Holub, Ph.D. Academic year: 2020/2021 Abstract The dissertation thesis consists of three research papers in the field of mone- tary policy. All three papers connect the same topic - monetary policy rules. The first two papers focus on monetary policy rules augmented with finan- cial variables from a theoretical point of view, while the third paper provides international empirical evidence on the monetary policy conduct taking into account financial cycle developments. In the first paper I employ a small-open economy dynamic stochastic gen- eral equilibrium (DSGE) model to examine whether the central bank's direct reaction to asset prices or credit-to-GDP ratio brings macroeconomic benefits in terms of lower volatility of inflation and output. I find that direct reaction to asset prices can be beneficial for a central bank; however, the result holds only for some domestic shocks. When facing shocks originating abroad, the usefulness of the augmented monetary policy rule deteriorates. Overall, the performance of the rule augmented with asset prices is shock-dependent, and therefore, any strict rule-like behaviour for a central bank operating within a...

A administração do capital de giro está inserida em um contexto de extrema importância na administração das empresas. Constitui, ainda, uma das principais decisões financeiras, considerando que a administração eficiente desses ativos não pode ocorrer sem a análise simultânea dos reflexos e implicações na administração da empresa como um todo. O presente trabalho constitui um estudo aprofundado da administração do capital de giro a partir de modelos de gestão financeira, com enfoque para o Modelo de Necessidade de Investimento em Giro (NIG) ou Modelo de Fleuriet. O objetivo principal é o de determinar e acompanhar as necessidades de investimento em giro na pequena empresa. Alguns modelos se propõem a analisar itens individuais do capital de giro: a gestão de caixa, dos valores a receber, os estoques e as fontes de financiamento a curto prazo. Outros se propõem a analisar esses itens de maneira integrada: os modelos de Walker; Biernam, Chopra e Thomas; Krouse; Knight; Schiff e Lieber; Sartoris e Hill; Kim-Philippatos-Chung; Fleuriet; Assaf e Silva. O objetivo central de todos esses modelos converge para o mesmo ponto: permitir uma utilização de um nível de risco associado e suportado pela empresa. Do ponto de vista metodológico, este estudo funde dois subtipos de pesquisa a saber: o de multicasos exploratória e a descritiva, apresentando-se como uma pesquisa de campo que descreve e mensura as condições financeiras de pequenas empresas a partir da administração do capital de giro buscando a generalização dos resultados. Foram observados as práticas financeiras buscando elementos e informações sobre o problema estudado. A pesquisa identificou alguns fatores que influenciam na gestão eficiente do capital de giro, como: (1) a formação acadêmica dos dirigentes; (2) a utilização de modelos de gestão empresarial; (3) o processo produtivo sob encomenda; (4) a administração dos estoques. Assim, buscou-se traçar um modelo de gestão financeira do capital de giro, analisando a influência desses fatores na determinação das necessidades de investimento em giro na pequena empresa. A pesquisa foi realizada em três pequenas empresas do setor metal-mecânico em São Carlos, SP. O período de coleta foi de janeiro à julho de 2000. Constatou-se que esses fatores, analisados sob uma realidade empresarial, poderia proporcionar a pequena empresa o equilíbrio financeiro de curto prazo necessário para sua segurança financeira, e imprescindível para sua sobrevivência ou permanência num mercado altamente competitivo. / The management of working capital is part of an extremely important context in business management. It constitutes as welI, one of the utmost financial decisions, considering that the efficient management of those assets cannot occur without the simultaneous analysis of their reactions and implications in business management as a whole. The present work constitutes a deepened study on the management of working capital based on financial management models, focusing on the \"Need of Investing in Working Capital Model\" or the \"ModeI of Fleuriet\"; its main purpose being to determine and folIow the needs of the smalI business to invest in working capital. Some models intend to analyze individual parts of the working capital, like cash management, accounts receivable, inventories and sources of short term financing. Other models, like Walker; Bierman; Chopra and Thomas; Krouse; Knight; Schiff and Lieber; Sartoris and HilI; Kim-Philippatos-Chung; Fleuriet; Assaf and Silva analyze those items as an integrated whole. The main objectives of alI those models converge in the same direction: to alIow the utilization of a risk leveI associated with and bearable for the business. From a methodological point of view, this study combines two research subtypes: the multiple case exploration one and the descriptive one. It is presented as a field research that describes and measures the financial conditions of smalI businesses, based on their working capital management, aiming at the generalization of the results. Financial practices were observed looking for elements and information on the stated subject. The research identified some factors that influence the efficient working capital management, such as: (1) the academic preparation of the management; (2) the use of business management models; (3) the commissioned production process; (4) stock management. Therefore, a model of working capital management was intended to be sketched, analyzing the influences of those factors in determining the need for investing in working capital for the smalI businesses. Three smalI businesses in the metal/mechanic sector in Sao Carlos, SP, Brazil were studied for the research, from Janury to July, 2000. It was conc1uded that these factors, analyzed from a business point ofview, could create for the smalI business the short term financial balance necessary for its financial security and essential for its survival in a highly competitive market.

A administração do capital de giro está inserida em um contexto de extrema importância na administração das empresas. Constitui, ainda, uma das principais decisões financeiras, considerando que a administração eficiente desses ativos não pode ocorrer sem a análise simultânea dos reflexos e implicações na administração da empresa como um todo. O presente trabalho constitui um estudo aprofundado da administração do capital de giro a partir de modelos de gestão financeira, com enfoque para o Modelo de Necessidade de Investimento em Giro (NIG) ou Modelo de Fleuriet. O objetivo principal é o de determinar e acompanhar as necessidades de investimento em giro na pequena empresa. Alguns modelos se propõem a analisar itens individuais do capital de giro: a gestão de caixa, dos valores a receber, os estoques e as fontes de financiamento a curto prazo. Outros se propõem a analisar esses itens de maneira integrada: os modelos de Walker; Biernam, Chopra e Thomas; Krouse; Knight; Schiff e Lieber; Sartoris e Hill; Kim-Philippatos-Chung; Fleuriet; Assaf e Silva. O objetivo central de todos esses modelos converge para o mesmo ponto: permitir uma utilização de um nível de risco associado e suportado pela empresa. Do ponto de vista metodológico, este estudo funde dois subtipos de pesquisa a saber: o de multicasos exploratória e a descritiva, apresentando-se como uma pesquisa de campo que descreve e mensura as condições financeiras de pequenas empresas a partir da administração do capital de giro buscando a generalização dos resultados. Foram observados as práticas financeiras buscando elementos e informações sobre o problema estudado. A pesquisa identificou alguns fatores que influenciam na gestão eficiente do capital de giro, como: (1) a formação acadêmica dos dirigentes; (2) a utilização de modelos de gestão empresarial; (3) o processo produtivo sob encomenda; (4) a administração dos estoques. Assim, buscou-se traçar um modelo de gestão financeira do capital de giro, analisando a influência desses fatores na determinação das necessidades de investimento em giro na pequena empresa. A pesquisa foi realizada em três pequenas empresas do setor metal-mecânico em São Carlos, SP. O período de coleta foi de janeiro à julho de 2000. Constatou-se que esses fatores, analisados sob uma realidade empresarial, poderia proporcionar a pequena empresa o equilíbrio financeiro de curto prazo necessário para sua segurança financeira, e imprescindível para sua sobrevivência ou permanência num mercado altamente competitivo. / The management of working capital is part of an extremely important context in business management. It constitutes as welI, one of the utmost financial decisions, considering that the efficient management of those assets cannot occur without the simultaneous analysis of their reactions and implications in business management as a whole. The present work constitutes a deepened study on the management of working capital based on financial management models, focusing on the \"Need of Investing in Working Capital Model\" or the \"ModeI of Fleuriet\"; its main purpose being to determine and folIow the needs of the smalI business to invest in working capital. Some models intend to analyze individual parts of the working capital, like cash management, accounts receivable, inventories and sources of short term financing. Other models, like Walker; Bierman; Chopra and Thomas; Krouse; Knight; Schiff and Lieber; Sartoris and HilI; Kim-Philippatos-Chung; Fleuriet; Assaf and Silva analyze those items as an integrated whole. The main objectives of alI those models converge in the same direction: to alIow the utilization of a risk leveI associated with and bearable for the business. From a methodological point of view, this study combines two research subtypes: the multiple case exploration one and the descriptive one. It is presented as a field research that describes and measures the financial conditions of smalI businesses, based on their working capital management, aiming at the generalization of the results. Financial practices were observed looking for elements and information on the stated subject. The research identified some factors that influence the efficient working capital management, such as: (1) the academic preparation of the management; (2) the use of business management models; (3) the commissioned production process; (4) stock management. Therefore, a model of working capital management was intended to be sketched, analyzing the influences of those factors in determining the need for investing in working capital for the smalI businesses. Three smalI businesses in the metal/mechanic sector in Sao Carlos, SP, Brazil were studied for the research, from Janury to July, 2000. It was conc1uded that these factors, analyzed from a business point ofview, could create for the smalI business the short term financial balance necessary for its financial security and essential for its survival in a highly competitive market.

This dissertation argues that financial cycles are different for advanced economies and emerging countries. The main underlying reason is the different financial development that makes for instability in emeging markets which is pronounced by more intensive and amplified financial cycle. As such, even the policy implications are different.

A key lesson learnt from the 2007-2009 global financial crisis was that central banks focused too much on price stability and monetary policy. Financial stability and macroprudential policy were the missing pillars to ensure proper supervision of the financial system. This study examines the challenges faced by central banks in implementing macroprudential policies, while having limited experience as to the effect on their economies. The countercyclical capital buffer is generally considered to be one of the main macroprudential policy instruments. Using South African data, the study furthermore calculates the credit gap which serves as early warning indicator of excessive credit growth and is used to determine the point at which a countercyclical capital buffer should be activated for banks. The calculation of the countercyclical buffer indicates that the credit gap remains below the lower threshold of the buffer add-on. Hence, there is no reason to consider a capital add-on for South African banks as yet. Despite the overall reliability of the credit gap, concerns remain on its reliability under certain circumstances. / Economics / M. Com. (Economics)

Made available in DSpace on 2015-12-03T18:35:24Z (GMT). No. of bitstreams: 1 Paulo_Roberto_Macedo_de_Andrade.pdf: 958605 bytes, checksum: 8bf349be18c9e86bd6ece938301717a8 (MD5) Previous issue date: 2012-12-05 / The decision-making process of credit developed by banks for analysis and credit concession. to corporate entities involves a series of procedures for information gathering objective and subjective. By subjective information has information related to customer records and sources information the past relationship with the market, and objective information has been obtained from those collecting information of its financial statements as of the balance sheet and income statements, which undergo a process of standardization or reclassification of accounts, lets you extract and briefly present a set of economic and financial indicators that assess liquidity, activity, debt and profitability of these companies that will serve as a basis for analysis and interpretation of current economic and financial situation of that particular company or client entity. However, these financial indicators, called traditional, allowing only provide information to evaluate the financial situation of a company or corporate customer from past to present, and there is a great need to assess trends and future prospects. The objective of this dissertation is to describe and evaluate the importance of the Model Fleuriet as financial management tool, which allows you to analyze the trend of the financial situation of a company, combining the assessment of indicators such as the financial cycle, working capital, the need for working capital and cash balance, enabling managers who use it to make decisions faster and more assertive to correct the course of the operating company and how it can be used as a tool in decision-making accessory credit. The methodology as the approach to the problem was a qualitative study and used an explanatory research to further study and survey of new facts from existing knowledge made through a literature search and a field survey by done through a questionnaire to a group of credit analysts from various financial institutions, to assess the importance given by them for the use of traditional financial indicators and financial Model Fleuriet indicated for the development of its activity. It was concluded that the Model Fleuriet is little known and used by most credit analysts in their daily analysis and credit concession, as well as financial institutions where they work and that only 14% of respondents believe in the superiority of Model Fleuriet compared to traditional indicators, highlighting the analysts with over 10 years experience. As a suggestion of continuity this study proposes a new research in the financial market in order to assess the financial stability of companies listed on the Bovespa using traditional indicators and Model Fleuriet and development of a practical study in a financial institution with the implementation of Model Fleuriet in their analysis procedures and credit concession. / O processo decis??rio de cr??dito desenvolvido pelas institui????es financeiras para a an??lise e concess??o de empr??stimos para pessoas jur??dicas envolve uma s??rie de procedimentos para levantamento de informa????es objetivas e subjetivas. Por informa????es subjetivas tem-se as informa????es ligadas ao cadastro do cliente e fontes de refer??ncias pelo hist??rico de relacionamento com o mercado e, por informa????es objetivas, tem-se aquelas obtidas a partir do levantamento de informa????es de seus demonstrativos financeiros como o balan??o patrimonial e demonstrativos de resultados, os quais passam por um processo de reclassifica????o ou padroniza????o das contas, que permite extrair e apresentar resumidamente um conjunto de indicadores econ??mico-financeiros que avaliam a liquidez, a atividade, o endividamento e a lucratividade dessas empresas que servir??o como base para an??lise e interpreta????o da atual situa????o econ??mico-financeira daquela determinada empresa ou cliente pessoa jur??dica. Contudo, esses indicadores financeiros, chamados tradicionais, trazem informa????es que permitem apenas avaliar a situa????o econ??mico-financeira de uma empresa ou cliente pessoa jur??dica do passado para o presente, sendo que existe uma grande necessidade de se avaliar tend??ncias e perspectivas futuras. O objetivo dessa disserta????o ?? descrever e avaliar a import??ncia do Modelo Fleuriet como ferramenta de gest??o financeira, o qual permite analisar a tend??ncia da situa????o econ??mico-financeira de uma empresa, conjugando a avalia????o de indicadores como o ciclo financeiro, o capital de giro, a necessidade de capital de giro e o saldo de tesouraria, permitindo aos gestores que o utilizam a tomarem decis??es mais r??pidas e assertivas para corrigir a rota operacional da empresa e como pode ser utilizado como uma ferramenta acess??ria no processo decis??rio de cr??dito. A metodologia utilizada quanto a abordagem do problema foi uma pesquisa qualitativa e utilizou-se de uma pesquisa explicativa para aprofundar estudo e levantamento de fatos novos a partir de conhecimentos j?? existentes feitos atrav??s de uma pesquisa bibliogr??fica e de um levantamento de campo ou survey, por meio de um question??rio feito a um grupo de analistas de cr??dito de v??rias institui????es financeiras, para se avaliar a import??ncia dada por eles quanto ?? utiliza????o dos indicadores financeiros tradicionais e dos indicados financeiros do Modelo Fleuriet, para o desenvolvimento de sua atividade. Concluiu-se que o Modelo Fleuriet ?? pouco conhecido e utilizado pela maioria dos analistas de cr??dito em suas atividades di??rias de an??lise e concess??o de cr??dito, como tamb??m pelas institui????es financeiras onde atuam e que apenas 14% dos respondentes acreditam na superioridade do Modelo Fleuriet em rela????o aos indicadores tradicionais, destacando-se os analistas com mais de 10 anos de experi??ncia. Como sugest??o de continuidade desse estudo prop??e-se nova pesquisa junto ao mercado financeiro a fim de se avaliar o equil??brio financeiro de empresas listadas na Bovespa utilizando-se os indicadores tradicionais e o Modelo Fleuriet e o desenvolvimento de um estudo pr??tico numa institui????o financeira com a implanta????o do Modelo Fleuriet em seus procedimentos de an??lise e concess??o de cr??dito.