FFA Working Papers, 2022 (vol. 4)
Original contributions
Macroeconomic implications of oil price shocks to emerging economies: a Markov regime-switching approach
Sophio Togonidze, Evžen Kočenda
FFA Working Papers 4:009 (2022)438 
We investigate an impact of oil-price shocks on GDP and exchange rate dynamics in resource-heterogeneous economies. We employ a Markov regime-switching version of a vector autoregressive (VAR) model to allow for regime shifts, non-linear effects and timevarying parameters of the VAR process. Empirically we use quarterly data series in oil exporting, metal-exporting, and less-resource-intensive economies. On average, real GDP in oil-exporting economies exhibits substantial contraction, while for metal exporters there is a significant real GDP expansion suggesting an offsetting effect of metal exports on oil imports. We find that currency appreciation...
ECB monetary policy and commodity prices
Shahriyar Aliev, Evžen Kočenda
FFA Working Papers 4:008 (2022)1028
We assess the impact of ECB monetary policy on global aggregate and sectoral commodity prices over 2001–2019. We employ a SVAR model and separately assess periods before and after the global financial crisis. Our key results indicate that contractionary monetary policy shocks have positive effects on commodity prices during both conventional and unconventional monetary policy periods, indicating the effectiveness of unconventional monetary policy tools. The largest impact is documented on fuel and food commodities. Our results also suggest that the effect of ECB monetary policy on commodity prices transmits through the exchange rate channel,...
Attractiveness of Chinese Bonds Financing Climate and Environmental Projects.
Karel Janda, Binyi Zhang
FFA Working Papers 4:007 (2022)1127
As facilitated by governmental authorities promising sustainable economic growth, green bonds have gained prominence in China’s capital market to scale up the transition to a climate-resilient economy. Although the issuance volume of the Chinese green bond market has been growing rapidly in recent years, the impact of green label on bond pricing is not adequately studied. Thus, this paper aims to investigate whether this newly developed financial instrument offers investors in China an attractive yield compared to other equivalent conventional bonds. By applying a matching method and subsequently a fixed-effects estimation, our empirical...
Application of the XGBoost algorithm and Bayesian optimization for the Bitcoin price prediction during the COVID-19 period
Jakub Drahokoupil
FFA Working Papers 4:006 (2022)3723
Aim of this paper is to use Machine Learning algorithm called XGBoost developed by Tianqi Chen and Carlos Guestrin in 2016 to predict future development of the Bitcoin (BTC) price and build an algorithmic trading strategy based on the predictions from the model. For the final algorithmic strategy, six XGBoost models are estimated in total, estimating following n-th day BTC Close predictions: 1,2,5,10,20,30. Bayesian optimization techniques are used twice during the development of the trading strategy. First, when appropriate hyperparameters of the XGBoost model are selected. Second, for the optimization of each model prediction weight, in order...
Macroeconomic Responses of Emerging Market Economies to Oil Price Shocks: An Analysis by Region and Resource Profile
Sophio Togonidze, Evžen Kočenda
FFA Working Papers 4:005 (2022)1008
We analyze the impact of oil price shocks on the macroeconomic fundamentals in a panel of emerging economies from three regions and with different resource endowments. The existing literature on emerging economies remains inconclusive on how regional factors and resource characteristics affect the response of macroeconomic variables against oil price shocks. We show that (i) exports in Europe and Central Asia are more oil-driven than East Asia and the Pacific, and that (ii) policy-makers in East Asia and the Pacific should be concerned with real exchange appreciation following a positive oil shock to mitigate loss in non-oil export market. Analysis...
Determinants of NMD Pass-Through Rates in Eurozone Countries
Milan Fičura, Jiří Witzany
FFA Working Papers 4:004 (2022)1928
Non-Maturing Deposit (NMD) pass-through rate represents a key parameter needed in the process of interest rate management of the banking book (IRRBB). NMD interest rates for retail and corporate segments are usually not directly linked to the market interest rates, but depend rather on the bank’s marketing strategy, market competition, liquidity, and possibly on other factors. The ratio in which banks adjust their NMD interest rates to the changes of the interbank market interest rates is known as the NMD pass-through rate. The goal of this paper is to analyse the variability of NMD pass-through rates in the 19 Eurozone countries and identify...
Profit smoothing of European banks under IFRS 9
Oľga Jakubíková
FFA Working Papers 4:003 (2022)1196
The aim of this paper is to examine whether banks engage in profit smoothing using loan loss provisions under the new provisioning rules according to IFRS 9. Due to relatively loose definitions of provisioning principles and use of macroeconomic predictions under IFRS 9, there is certain managerial discretion expected allowing banks to reduce the variability of profits over time using loan loss provisions. The hypothesis that banks use loan loss provisions to smooth their profits under IFRS 9 was tested with panel regression analysis on the panel of 27 EU member countries for period 1Q2015 – 2Q2021. The evidence of profit smoothing was...
Modelling of mortgage debt´s determinants: the case of the Czech Republic
Lukáš Fiala
FFA Working Papers 4:002 (2022)825
This paper deals with the Czech household mortgage debt and its determinants in the 1Q2005 – 2Q2021 period. Our analysis focuses on variables determining the level of mortgage debt from short run and long run perspective. Our contribution is two-fold. First, we examine the relationship between selected variables within cross-correlation analysis. The results confirm positive dependency of household mortgage debt and real GDP, real gross average income and level of house prices. Contrary, negative relation was identified for real interest rates, unemployment rate and inflation rate. Second, we explore ARDL model and identify one cointegration...
Return and volatility spillovers between Chinese and U.S. Clean Energy Related Stocks: Evidence from VAR-MGARCH estimations
Karel Janda, Ladislav Kristoufek, Binyi Zhang
FFA Working Papers 4:001 (2022)1792
Objective of this paper is to empirically investigate the dynamic connectedness between oil prices and stock returns of clean energy related and technology companies in China and U.S. financial markets. Three different multivariate Generalised Autoregression Conditional Heteroscedasticity (VAR-MGARCH) model specifications are used to investigate the return and volatility spillovers among series. By comparing these three models, we find that the VAR(1)-DCC(1,1) model with the skewed Student t distribution fits the data the best. The results of DCC estimation reveal that, on average, a $1 long position in Chinese clean energy companies in the...