Publikace doktorandů v časopisech indexovaných ve Scopusu

Studenti doktorského studia na KMTP publikovali v letošním roce výsledky své vědecké činnosti v časopisech indexovaných v databázi Scopus:

KRISTINE GEVORGYAN, DEMOGRAPHIC CHANGES AND CURRENT ACCOUNT IMBALANCES, JOURNAL OF ECONOMIC DEVELOPMENT, Volume 46, Number 3, September 2021, pp. 1-22

Abstrakt: This paper shows that international current account imbalances occur to a large degree because of major demographic shifts. We first build a small open economy model with investment and study the current account response to a demographic change. According to the model, an economy with a higher population growth demands more funds from world capital markets and experiences a current account deficit. Data on current account balances and demographics from the OECD confirm the model’s hypothesis. If population growth increases by one percentage point the current account as a fraction of gross domestic product decreases by 0.7 percentage points.

SIMONA MALOVANÁ, ŽANETA TESAŘOVÁ, WHAT IS THE SUSTAINABLE LEVEL OF BANKS‘ CREDIT LOSSES AND PROVISIONS? REVIEW OF ECONOMIC PERSPECTIVES – NÁRODOHOSPODÁŘSKÝ OBZOR. 2021, Volume 21, Number 3, pp. 235–258

Abstrakt: In this paper, we estimate the sustainable level of lifetime expected credit losses and provisions and assess the procyclicality of banks’ credit losses and provisions in the Czech Republic. Further, we discuss the implications of the results for provisioning in stage 3 under the IFRS 9. Based on the estimation results, we can identify periods of insufficient provisioning when the actual values were below the sustainable levels. Additionally, we show that credit losses and provisions behave procyclically (i.e., decrease with a rising output gap and increase with a falling output gap) while banks recognize impaired credit losses and create provisions with a delay of three to four quarters after the output gap starts shrinking. Such a delay may result in a sharp increase in lifetime ex-pected credit losses and provisioning in response to a deterioration in economic condi-tions under the IFRS 9 regime.

VOJTĚCH SIUDA, MILAN, SZABO, MEASURING SOVEREIGN CREDIT RISK OF THE EU COUNTRIES. JOURNAL OF CENTRAL BANKING THEORY AND PRACTICE. 2021, Volume 10, Number 3, pp. 169–192.

Abstrakt: European countries have increased significantly their public debt since the Global Financial Crisis. The increasing trend and the high concentration of public debt in portfolios of financial institutions can lead to a financial turmoil we witnessed during the European Sovereign Debt Crisis. Financial stability authorities therefore look for models to measure the sovereign credit risk and develop“what-if ”scenarios to assess a potential repercussion of a financial institution rescue or of an economic contraction on sover-eign credit risk. The presented article introduces adjustments to the sovereign contingent claims analysis that is based on the Merton ́s Credit Risk Model and the Black-Scholes option pricing techniques. The article proposes adjustments by introducing a new view on a stylised liability side of a central government balance sheet, seniority of its items, and a new proxy for risk measure of junior claims. We show reliable results using derived risk sensitivities for 20 EU countries with decent forward looking ability and propose potential stress-testing framework with an application for the Czech Republic.