2022-2024: GAČR, New Methods in Pricing Government Debt: Uncertainty and Policy Implications
The project investigates the role of government policy uncertainty in driving the asset prices. We build our analysis on a variant of macro-finance DSGE model matching both macro and finance stylized facts. We focus on the uncertainty stemming from the future evolution of productivity, preferences, monetary policy and we show that the important role is played by uncertainty coming from the government spending. We also show that the existence and magnitude of convenience yield depends on the type of government policy. We put special emphasis on explaining the attributes of the equilibrium bond prices. In addition, we also examine the impact of uncertainty on institutional environment and transmission of macrofinance shocks by addressing the effects of increasing uncertainty related to the future government debt.
2020-2022: Financial Markets Uncertainty: Measurement, Effects and Policy Implications
Our research focuses on the measurement of uncertainty in financial markets and analysis of the consequenses of this incertainty. Uncertainty increased dramatically during the global financial crisis and deepened the negative effects of the crisis. We will develop a financial uncertainty index (and its sub-indexes for banks, stock market, money market and bond market) based on the textual analysis of millions of articles from main US newspapers and analyze the consequenses of uncertainty for financial stability and real economic fluctuations using a number of empirical and theoretical models.
- 2019–2021:Interactions between the financial sector and the real economy, Czech ScienceFoundation, No.: 19-22488S
We test whether lending behaviour of banks affects borrowing firms’ performance and whether the performance of borrowing firms itself has an impact on the way banks extend loans. We extend the so-called financial accelerator to firm-specific and aggregate information on borrowing costs in relation to bank’s financial health ratios and institutional quality in heterogeneous financial systems. Using microeconomic data we put special emphasis on the link between the external finance premium that a borrower must pay and the strength of the borrower’s financial position, measured by financial distress indices and covenant violations. Furthermore, we deal with the firm-bank relationships and investigate the impact of lending capacity of banks on the borrowings and firms’ investment activity. Finally, using endogenous switching rule we focus on firm behaviour with respect to covenant violation risk.
- 2018–2021:Reassessment of the Optimum Currency Area in the persistently heterogeneous European Union, the Research Council of Lithuania, No. 09.3.3-LMT-K-712
The project aims to enhance and improve the scientific qualification of researchers by conducting independent high-level on reassessing business cycle synchronization using an integrated approach. The aim will be achieved by promoting scientific exchange of ideas on the impact of European integration on business cycle asymmetries (BCA) and providing empirical evidence on the long standing dispute among proponents of endogenous optimal currency area (OCA) theories, on whether integration increases BCA (as argued by Frankel and Rose, 1998) or decreases it (Krugman, 1993). We also promote scientific cooperation with researchers from the following academic institutions – Vilnius University, Vienna University of Economics and Business, Austrian Institute of Economic Research, Mendel University in Brno, and Zeppelin University in Friedrichshafen.
- 2018–2019:SQTrader – asset optimization methods development,Ministry of Industry andTrade, No.: CZ.01.1.02/0.0/16_084/0010365.
Cílem projektu je realizace průmyslového výzkumu, který povede k získání nových poznatků v oblasti machine learning, neural systems, fuzzy logic, artificial intelligence a realizace experimentálního vývoje implementačního software, který vyústí ve vytvoření zcela unikátní obchodní platformy, využitelné na globálních finančních a měnových trzích, fungující na bázi tzv. metastrategií, tedy vrstvy nad samotnou obchodní strategií, která má za cíl definovat, sledovat, vyhodnocovat a reagovat kdy má a kdy nemá obchodní strategie obchodovat. Projekt má pomoci obchodníkům – retailovým klientům, ale i institucionálním investorům (banky, fondy apod.) dosahovat lepších a stabilnějších výsledků, snižovat riziko a také provozní náklady na správu aktiv. Cílem je, mimo jiné, prozkoumat, experimentálně ověřit a implementovat myšlenky a matematické postupy, které jsou zcela nové (v matematické i IT teorii) a vytvořit tak globální jedničku v platformách pro automatické obchodování. Výstupem projektu je unikátní software – obchodní platforma fungující na principech artificial intelligence a machine learning.
- 2017–2019:Comparative Study of Crowdfunding Projects: Business Decision-MakingProcess, Risks and Regulation, Czech Science Foundation, No.: 17-25924S
We will focus on identification of strategies to minimize risks, burdens and limitations of this financig form, and identify the best practices for entrepreneurial decision-making process. By comparing existing regulations across countries we will identify best practices, based on which we will derive policy implications. Finally, we focus on possible relationship between traditional banking and crowdfunding in order to provide a good comparative basis for the decision-making processes.
The empirical strategy will reflect specific problems of crowdfunding. First, we focus on herding behaviour and apply the sequential correlation in funding. Second, we apply cross-section and panel regressions to identify basic determinants of crowdfunding projects with a special attention to regulation. Finally, we will adopt a quantile regressions and treshold analysis, which will identify possible non-linear effects in our models.
- 2016–2018:Sentiment and its Impact on Stock Markets, Czech Science Foundation,No.: 16-26353S
The project deals with the impact of the economic agent sentiment on the stock returns/volatility and related links with economic shocks and market environment. The empirical strategy is based on the multifactor asset pricing model in the field of sentiment analysis by text mining extended with Facebook community reactions on internet postings and news. We hypothesize that the reactions represented by changes in liking and commenting provide quantifiable information about the perception of news and postings at the company profiles pages and groups.
We apply improved dictionaries to identify links between sentiment attributes, Facebook community reactions (liking and commenting), and stock market returns and volatility. We employ GARCH models, cross-sectional, panel data and mixed effects regressions. The empirical analyses will adopt sentiment as a risk or volatility component within the domain of IAPT and provide extended capital asset pricing model at the inefficient markets.
- 2015–2018:Cross-Border Contagion Risk: Threats and Implications for the Central andEastern European Countries, the Research Council of Lithuania, No.: MIP-15031
The aim of the research project – to assess the threats and implications of cross-border contagion risk occurrence on the Central and Eastern European countries (CEECs’) and to develop the strategic monitoring system for cross-border contagion risk. The research on cross-border contagion risk transmission in CEECs’ is divided into three main streams depending on specific cross-border contagion risk channel, i.e. real, financial or financial markets.
- 2014–2016:Financial Crisis, Depreciation and Credit Crunch in CEECs, Czech ScienceFoundation, No.: 14-28848S
We show that depreciations have possibly improved the competitiveness of industrial enterprises but increase the financial vulnerability especially of foreign banks, which used foreign funds for financing their credit expansion in the CEECs. The main objective of the project is to identify the link between macroeconomic shocks, the institutional environment and the responses of the financial sector in CEECs to the financial crisis. We compare the impact of the depreciation shock with the output and inflation shocks. Finally, we provide recommendations for the national and the European regulatory framework of the banking system with respect to the specific conditions in CEECs.
The empirical strategy reflects possible endogeneity problems and non linearities. We will apply dynamic panel models, a difference-in-difference approach for the analysis of the depreciation shock and a threshold analysis which will analyze possible non-linear effects of exchange rate depreciations.
- 2012–2014:CEE Banking sector stability after the reform of the European financialsupervision, Jean Monnet Multilateral Research Group, No.: 530069-LLP-1-2012-1-CZ-AJM-RE
The main objective of this project is to create multilateral research group which provides concrete recommendations to the European Commission and the European central bank. And, to provide wide discussions with banking management, investors and professional public.
We focus on specific risks identification affected banking system stability in CEECs. Especially, we deal with liquidity and solvency risks which concentrate due to the financial crises consequences and changes in the European financial supervisory architecture. Subsequently, we answer the question how have the CEECs bank systems affected on the stability of Western European bank systems.
- 2011–2012:Time-frequency approach for the Czech Republic business cycle dating, CzechScience Foundation, No.: 402/11/0570
Business cycle dating process, i.e. turning points identification, was mostly done in time or frequency domain separately, which is unfortunately insufficient. Thus, the main goal of the project is to suggest the alternative business cycle dating approach using the time-frequency domain to stylization of the data.