Tomáš Heryán

VOLATILITY OF YIELDS OF GOVERNMENT BONDS AMONG GIIPS COUNTRIES DURING THE SOVEREIGN DEBT CRISIS IN THE EURO AREA

The aim of the paper is to estimate, how the volatility of yields of the Greek bonds affects yields’ volatilities of bonds in selected European countries during the period of the sovereign debt crisis in the euro area. We obtained data for 10-year bonds in a weekly frequency from January 2006 till the end of December 2014. To make a comparison of pre-crisis period, we firstly investigate a bond yields’ volatility before 15th September 2008, when U.S. Leman Brothers bankrupted and the global financial crisis had been reflected in full. However, the period of the global financial crisis could also negatively affect the development of government bonds. Therefore, the period after Leman Brothers’ bankruptcy has been excluded and our crisis period starts after 23rd April 2010, when Greece asked the IMF for financial help and the sovereign debt crisis had been reflected in full. Volatility models GARCH (1,1), IGARCH (1,1) and TARCH (1,1) were used as an estimation method. To examine the risk premium of all GIIPS economies (Greece, Ireland, Italy, Portugal and Spain), we also compared the whole investigation with the developments of each spread against the yields of German government bonds. Our results clearly proved not only big differences between pre-crisis and crisis period, but also differences in output with the bond yield spreads. It was concluded that there has been a higher impact of the Greek bond yields, as well as yield spreads volatility in 2010 and 2011, while it is on the lower level in pre-crisis period.

Influence of the Czech Banks on their Foreign Owner's Interest Margin

Abstract The present paper investigates functional relationship between the parent companies and their subsidiaries, the Czech banks. The aim of this study is to examine if there are relationships between net interest margin of foreign parent companies and our selected variables of their Czech subsidiaries. We are using GMM regression with annual data in panels from the period 2005 – 2010. We confirm that there are some significant relationships between net interest income of foreign parents and the both amount of gross loans and total deposits of their subsidiaries. In addition, we show the ways how it is possible for parent«s to get some cash flows from the Czech banking sector. We make also monetary policy implications for the Czech National Bank, then.

Insolvency of the Hotels Among Visegrad-Plus Countries

The paper has focused on the problematic of corporate insolvency among hotels in Visegrad-PLUS countries. Visegrad Group, well known as V4 (Czech Republic, Hungary, Poland and Slovakia), is negotiating with two possible new members, Austria and Slovenia. However, the problem of insolvency affects the hotels as well. The aim of the study is to investigate how is the solvency of the hotels among V4 PLUS countries affected by their liquidity and the relations with their debtors. As the main estimation method it has been used GMM regression with pooled data of hotels from selected countries. It is obtained annual data for the hotels’ balance sheets and the profit and loss statements from Bureau van Dijk’s AMADEUS international statistical database. It is argued that turnover of creditors’ claims is positively affected by turnover of debtors’ receivables among hotels in all selected countries. In some cases even current liquidity has a significant impact on that. The situation is the most obvious in the case of the hotel industry of Hungary and Slovenia, two economies whose companies are considered as the most affected by the corporate insolvency due to Creditreform agency. Finally, there are some ideas for future research in that area.

Oil Spot Prices’ Next Day Volatility: Comparison of European and American Short-Run Forecasts

The aim of the current paper is to estimate spot prices’ next-day volatility of the two largest kinds of crude oil, European Brent oil and American WTI oil, and examine differences due to selected global incidents. Daily data for oil spot prices are from May 1987 till January 2015. The contribution of the study is in a comparison of oil spot prices’ development and impacts of the Euro sovereign debt crises, recent global financial crises, and also the historical affairs as the military conflict in the Persian Gulf in 1990, or particular incidents after the start of the new millennium. The estimation method for short-run forecasting is the volatility model GARCH (1,1). While it has been proven that there was higher volatility during the global financial crisis within American WTI oil prices, higher errors were examined within European Brent oil prices. There was no higher volatility due to the euro crisis in the last 4 years. Nonetheless, both investigated oil prices were affected by highest volatility during military conflict in 1990 in our estimated period. It was clearly concluded that military conflicts can affect oil prices in a much higher way than recent financial crises.

Errors in Short Run Forecasts Next-day Volatility of Equity Risk Premium in the UK and U.S. Market: Empirical Research before and after the Global Financial Crisis☆

Abstract The current article has focused on the comparison of the equity risk premiums’ development in the two largest equity markets in the world, the U.K. and U.S. markets. The investigation has been made through estimating short run forecasts and calculating their errors. Therefore the aim of the study is to estimate errors in short run forecasts next-day volatility of the equity risk premium in the UK and U.S. markets. As the estimation method it used GARCH (1,2). It is obtained daily data for the period from 1999 to March 2014. The results have clearly proved that errors of forecasts are still at a higher level nowadays, than before the global financial crisis. Finally, it created a motivation for a future research in that area due to differences between types of financial systems.

Integration of tourism markets in Australia: An international visitor arrivals’ convergence assessment

By applying the methodological framework of transition modeling and econometric convergence tests introduced by Phillips and Sul, we reveal the existence of convergence clubs and transition convergence paths of international visitor arrivals for Australia. Specifically, by using monthly data of international arrivals over the period of January 1991 to September 2017, we provide evidence that tourism markets can integrate. The analysis suggests the identification of five distinct convergence clubs. This in turn signifies an integration phenomenon of Australia’s tourism market, which is revealed through the different convergence patterns of international visitor arrivals. Finally, it is evident that the revealed integration behavior of Australia’s international tourism market will enable policy makers to target better tourism needs through customized policies.

Impact of Globalization on the Czech Banking

Abstract The current paper has focused on the foreign owned Czech banking sector and potential risks which has been nowadays more and more discussed within the context of past crises. A possible transformation of Czech subsidiaries, Czech banks, to the branch offices of their foreign parent companies in the near future will mean decrease of governments income from taxes that could affect the whole Czech economy. Aim of the current paper is to examine how negatively could change the role of Czech banks’ parent companies whose ownership can impact on the development of the government debt in the Czech Republic. In this study, it was found significant negative relationship between growth rates of the both, government debt and taxes from banks’ earnings. From results of this article it is made future implications for the monetary as well as fiscal policy.

Risk Taking of Czech Banks

Abstract Present study has focused on riskiness of providing loans as well as loans and reserves policies of banks in the Czech Republic. The paper shows how Czech banks are taking more credit risk due to dissolution of credit provisions to their incomes even in global financial crisis times. Higher concentration level of credit market and foreign owners of banks are typical for this small country. Estimated period is from 2002 to 2011. Methodologically it is used panel GMM regression, but on the other hand it is also used basic calculations from annual reports data of Czech major banks in this article. The author has argued that Czech banking sector is more risky, which is affected by foreign parent companies. Higher level of banks’ earnings at the expense of the credit risk then could affect whole Czech economy, if the quality of debtors will decrease. There are also some policy implications based on results of the work. These implications are addressed to commercial banks, but also to the central bank of the Czech Republic.