G01 - Financial CrisesReturn

In the study, quantile regression (QR) is employed as the primary research tool, with ordinary least squares (OLS) regression used for comparison purposes. The motivation for this research stems from conflicting findings in existing literature regarding the spillover effects of Brent crude oil prices for the pharmaceutical industry. Findings from the QR analysis indicate that more substantial spillover effects occur in the tail quantiles, specifically during periods of economic crisis and prosperity. Recommendations for future research should focus on gaining a deeper understanding of the mechanisms underlying the differential responses of oil and pharmaceutical companies to oil price fluctuations, as well as identifying additional factors that may moderate these effects. In light of the study's findings, it is recommended to consider different regulatory approaches that could help reduce the sensitivity of oil companies to oil price oscillations. Additionally, support for business diversification strategies is advised to mitigate potential economic risks for both industries.

The manufacturing sector has been regarded as a key factor in the history of economic devel-opment and growth. However, economic fluctuations affect manufacturing seriously. This study examines the impact of the 2008 global economic crisis on Turkish manufacturing sector profit-ability. This paper uses micro-econometric difference in differences methods in conjunction with the macroeconomic forecasting method to investigate how profit levels in the Turkish manufacturing industry are affected by the crisis. The results indicate that the profit levels changed significantly after the crisis with a one-year lag and actual profits exceeded the estimated profits in the later years. Economic impacts of crises have long been investigated; however, this paper differs from the literature in using a new analytical framework for the issue. The suggested method can be expanded to other areas, which can spark new future studies.

This paper employs a dynamic herding approach that takes herding under different market regimes into account. We use daily data on US stock returns for the S&P 500 ranging from 2006 to 2017. The results of the linear model yield no evidence of herding. However, the findings of switching regression of Bai and Perron (1998) demonstrate evidence of herding during crisis regimes of S&P 500. The alternative approach of Markov switching also supports these findings.

This paper aims to study the dynamic relationship between dependent variables of trade credit (net trade credit to total assets and net trade credit to sales), and six independent variables (profit margin, liquidity ratio, and the dummies collection, credit, size, and crisis) using panel vector autoregression during the period 2004-2013 considering data from eight European countries. The results indicate that net trade credit is negatively influenced by crises, forcing firms to use it less due to survival effects but imposing higher trade restrictions. Notwithstanding, net trade credit to sales is positively influenced by the liquidity ratio and profit margin, and vice-versa, but has a negative relationship with credit and collection dummies, imposing credit shortenings and forcing reliance on short-term credit. For the overall period, firms seem to have sold more than having bought on credit due to tightening trade credit, an effect of the financial crisis.

This article investigates the employment development in Czech-based firms in German ownership in the years around the Great Recession of 2008/2009. The intense involvement of German firms in the economy of the neighbouring country via foreign direct investment (FDI) raises a question whether under the conditions of a historically deep global downturn, the Czech employees in multinational companies were confronted with an increased volatility of their jobs. Using a unique firm-level dataset, we contrast the affiliates of German investors with purely Czech-owned enterprises. Our findings indicate that in the years before the crisis, firms with German capital exhibited a noticeably more positive employment development. The results from the year 2008 onwards give reason to the conclusion that the German-owned firms played a stabilizing role for the Czech labour market during the recession.

This study analyses the Czech, Hungarian, and Polish currencies by examining the statistical characteristics of the Swiss franc as well as the ECB monetary policy in order to indicate shocks in these markets between 2002 and 2013. The abundance of monetary easing decisions can be used as a viable sign of market misbehaviour in addition to the low probability of extreme exchange rate fluctuations. Indeed, the temporal distribution of extreme currency fluctuations provides vital information about the nature of the recent crisis. Contagions can be defined as increased correlations during periods of crisis, while divergence means a significant decrease in this regard. Methodologically, common movements in this study were calculated by using DCC-GARCH modelling. The findings of this study underline the special features of the Swiss franc exchange rate, notably that its extreme fluctuations can be managed by using swap agreements and that it tended towards divergences during the crisis era. These results support the idea of avoiding lending in reserve currencies.

The aim of this paper is to find out determinants which affect the commercial banks' decision to lend on the interbank market in the Visegrad countries. The data cover the period from 2000 to 2011. The net interbank position of individual banking sectors significantly differs. Results of the probit model showed that banks' decision to lend in interbank market is determined both by bank-specific and macroeconomic factors. Bank liquidity, capital adequacy and quality of the loan portfolio are important bank-specific factors. Growth rate of the gross domestic products, unemployment rate, financial crisis and level of interest rates matter among macroeconomic factors. Although the Visegrad countries have a lot in common, different factors determined the banks' decision in individual countries. Moreover, the direction of influence of some factors may also differ.

Recent financial crisis has brought to attention the issues of interactions between financial markets and real economy. This paper presents an analysis of the possible explicit effects of various measures of financial markets' risk on real economy based on impulse - response functions within structural vector autoregressive models. As discussed in the paper the riskiness of financial markets is closely related to the more traditional mechanisms based on financial accelerator approach, however, although the issue of financial risk is closely tied with the financial accelerator model, broader effects outside this model may be considered as well. The analysis is carried out for the Czech Republic. The estimates of the responses in the impulse-response analyses typically correspond with the hypothesized effects of the financial risk factors on the real variables; also the interrelations between some of the financial risk factors are obvious. We conclude that increased financial risk seems to be an amplifying element rather than the key driver in the interactions between financial and real economy.

The paper highlights the results of the survey of potential retail customers. The survey emphasizes the relationship between their responses to the chosen marketing pricing strategies and the perception of the introduction of the euro and the crisis. The multi-dimensional techniques were used to implement input data concerning perceptions of the euro introduction and the crisis in order to create a segmentation of respondents dividing them into: optimists, pessimists, crisispessimists, euro-pessimists, profiteers. It was subsequently proven that the responses of the members of these segments to the chosen pricing strategies EDLP (Every Day Low Pricing), Hi-Lo (High Low Pricing) and PMG (Price Matching Guarantees) differ significantly. Furthermore, the relation between the found segmentation and the subjective perception and assignment to the social group from the point of financial security is shown. Moreover, further segmentation of respondents according to their subjective anxiety about their future was carried out. Finally, the emphasis is put on the relation between the perception of the euro introduction in the country during the current influence of the world economic crisis on potential retail customers in the East Slovak Region and their subjective anxiety about their future.

The present paper deals with the development of wage distribution by educational attainment in the Czech Republic in the years 2003-2012, analysing fifty wage distributions as the object of research and the gross monthly wage in CZK as the research variable. It examines the development of wage distribution in time and the gross monthly wage in relation to the level of educational attainment. It also pursues the development of the minimum wage in the monitored period. The author pays special attention to the lowest guaranteed wage levels classified according to wage classes and work capability assessment, comparing the minimum wage to the wage of subsistence. The forecasts of future wage distribution are an integral component of the research, the financial standing of Czech households being evaluated in an international context within the European Union.

The global banking system proved significantly vulnerable to systemic risk during the 2007-2009 financial crisis. In this paper, we construct an agent-based network model of systemic risk to a banking system, and use it for stress-testing of several different regulatory measures. First, our simulations confirm that sufficient capital buffers in individual banks are crucial for protecting the stability of the whole system. Second, we show that the regulatory measures installed as preventive measures to ensure that the banks possess sufficient capital buffers have almost no positive effects on stability when the system is collapsing. Finally, we highlight various data deficiencies which prevent the researchers and regulators from fully understanding the complete range of systemic risk and make it difficult to devise effective and targeted regulatory measures at this time.

This paper is devoted to the estimation of the probability of default (PD) as a crucial parameter in risk management, requests for loans, rating estimation, pricing of credit derivatives and many others key financial fields. Particularly, in this paper we will estimate the PD of US banks by means of the statistical models, generally known as credit scoring models. First, in theoretical part, we will briefly introduce the two main categories of credit scoring models, which will be afterwards used in application part - linear discriminant analysis and regression models (logit and probit), including testing the statistical significance of estimated parameters. In the main part of the paper we will work with the sample of almost three hundred US commercial banks which will be separated into two groups (non-default and default) on the basis of historical information. Subsequently, we will stepwise apply the mentioned above scoring models on this sample to derive several models for estimation of PD. Further we will apply these models to the control sample to determine the most appropriate model.

The current financial crisis has boosted the efforts of international financial institutions to strengthen collaboration in the field of banking supervision, with a particular focus on macro prudential supervision. One of the stated objectives is the creation of a warning system, in which economic and financial vulnerabilities at the regional level will be coupled with the potential for spillovers or contagion between markets and countries. The aim of this study is to design an early warning system in order to highlight, at an earlier stage, the likelihood of deterioration of the Romanian banking system credit portfolio's quality. The paper focuses on the relationship between several macroeconomic and bank-specific variables and overdue and doubtful loans. The warning system developed will be used further to made predictions on the degree of credit portfolio impairment, under the auspices of the actual financial crisis.

The swap market is key segment of the fixed income market due to its liquidity and tight links to other market segments. In our paper we estimate basic parameters of the swap curve and we test the stability of these parameters during the crises period. Our estimate confirms that the Czech swap curve may be represented by three components that track its level, slope and curvature. These parameters were stable during the crises period that culminated in the autumn 2008. On contrary, the basic swap curve characteristics are showing most abnormal behaviour during periods of relative calm development. The traditional determinants of the Czech swap curve remain monetary policy, euro swap rates and risk premiums. Although risk premiums are low in the swap market, the large increase in risk premium in the Czech money market rates had significant impact on the swap curve slope during the crises period.

The aim of this paper is to shed light on Collateralized Debt Obligation (CDO) valuation based on data before and during the 2007-2009 global turmoil. We present the One Factor Gaussian Copula Model and examine five hypotheses regarding CDO sensitivity to entry parameters. For our modelling we used data of the CDX NA IG 5Y V3 index from 20 September 2007 until 27 February 2009 and we appropriately transform its quotes into CDO quotes. Based on the results we discovered four main deficiencies of the CDO market: i) an insufficient analysis of underlying assets by both investors and rating agencies; ii) investment decisions arise from the valuation model based on expected cash flows, they neglected other factors such as mark-tomarket losses; iii) mispriced correlation; and finally iv) obligation of the mark-to-market valuation. Based on the mentioned recommendations we conclude that the CDO market has a chance to be regenerated but in smaller volumes compared to the pre-crisis period. However, it would then be more conscious, driven by smarter motives rather than by pure arbitrage and profit incentives.