Browsing by Author "Stavárek, Daniel"
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- ItemThe effect of the exchange rate on industry-level trade flows in Czechia(Technická Univerzita v Liberci, 2015-12-01) Šimáková, Jana; Stavárek, Daniel; Ekonomická fakultaThis paper is the first study to use the disaggregated data of the Czech foreign trade to examine the effect of exchange rate levels and volatility on trade flows. Czechia is the appropriate economy to study this phenomenon because it is heavily involved in foreign trade predominantly owned by international investors and has been applying a floating exchange rate arrangement for many years. We analyze the period from 1993 to 2013 and disaggregate the data according to trading partner and product category. While the effect of exchange rate level is examined by a modified vector error correction model the effect of exchange rate volatility is analyzed through an extended gravity model. The detailed results obtained from empirical estimations clearly show that the relationship between exchange rates and foreign trade in Czechia does not completely correspond with the theoretical assumptions. We revealed that domestic currency depreciation worsens in the long-term trade balance in substantial parts of the Czech foreign trade, such as in the trade of machinery and transport equipment with Germany, Austria and France. The classical J-curve effect was confirmed only for the trading of beverages and tobacco with Italy and for the trading of manufactured goods with Slovakia. We also found that an increased exchange rate volatility does not necessarily reduce foreign trade turnover, as the results for crude materials, fuels, chemical and manufactured products indicate. By contrast, the theoretical expectation of negative impact of volatility was validated for machinery, transport equipment, food and animals. Therefore, although Czechia is a small, open economy, the exchange rate effects on foreign trade significantly differ in magnitude and direction across the trading partners and product groups.
- ItemFactors affecting sensitivity of commercial banks to bank run in the Visegrad Countries(Technical university of Liberec, Czech Republic, 2017-10-02) Klepková Vodová, Pavla; Stavárek, Daniel; Ekonomická fakultaWhile managing liquidity, each bank should be prepared also for unexpected and exceptional events, such as bank runs. The aim of this paper is therefore to determine the maximum volume of deposits that can be withdrawn from individual banks operating in the Visegrad countries and to identify the determinants of their sensitivity to a bank run. The data cover the period from 2000 to 2014. Although bank liquidity, measured by the liquid asset ratio, decreased in all countries during the analyzed period, the level of liquidity differs among countries. We have simulated a bank run as a sudden withdrawal of 20% of client deposits. The ability of individual banks to survive this crisis scenario significantly differs. Nevertheless, as Czech and Hungarian banks were more liquid, they are better prepared for a potential bank run than Polish and Slovak banks. After that, using the panel data regression analysis, we tested seven bank-specific factors and seven macroeconomic factors. The sensitivity of commercial banks from the Visegrad countries to a possible bank run is determined mainly by different aspects of bank liquidity (not only the level of bank liquidity, but also connection to bank lending activity, the way of its financing and also activity on the interbank market). Among the other bank specific factors, profitability, capital adequacy and size of the banks are relevant in some countries. When it comes to macroeconomic factors, interest rate and unemployment rate are important. However, we can conclude that the most important factor is the level of bank liquidity: banks with a sufficient buffer of liquid assets are safer than other banks, particular during periods of financial distress.