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Analysis of Trade Relations between the European Union and Latin America from 1995-2011
Daza Aramayo, Lourdes Gabriela; Krebs, Vojtěch; Macháček, Jaroslav; Benáček, Vladimír
2009 - English
The Doctoral Thesis "Analysis of Trade Relations between the European Union and Latin America from 1995-2011" focuses on the determination Latin America's potential as a trading partner for the European Union. It will be based on an analysis of the region's trade relationships between 1995 and 2011 through different econometric models and a macroeconomic analysis. It will make recommendations for improving economic relation policies with Latin America and the European Union as well as identify the sectors which could represent great potential for trade between both regions. The research is divided into seven chapters: The first chapter covers international trade theory; this part comprises the theoretical aspects directly related to international trade. The second chapter analyzes the macroeconomic features of Latin American countries and compares them with data from the European Union. A separate, detailed analysis of 17 Latin American countries was performed and the potential of each one to make their importance known to the world and define their geopolitical position is described. The third chapter details the trade policies of the European Union and Latin America. The fourth chapter discusses trade relations between Latin America and the European Union through a look at the trade agreements that have been signed between the European Union and Latin American countries and tries to identify possible causes of failures for agreements not signed. This chapter also studies the sectorial composition of trade between the two regions, emphasizing the asymmetry between these trades flows as they enter the countries studied. The fifth chapter, the heart of this research paper, analyzes the trade relations between the EU and Latin America through a gravity model, identifying the obstacles and barriers to international trade between the two regions. The second part of this chapter discusses institutional factors, which, as a result of the conclusions from the gravity model explained earlier in the chapter, play an important role in international trade between Latin America and the European Union. This section contains a comparative analysis of the situation of the institutional factors in the 29 Latin American countries which were analyzed in the gravity model. This chapter also includes a trade simulation between the Czech Republic and Latin America with the institutional factors in Latin America showing a 10% improvement. In the sixth chapter, the competitiveness of 17 Latin American countries is calculated using the results of the barriers to international trade through a new method based on the comparison of indicators, ranked by dimension and according to the weight thereof for a period of time. The last chapter focuses on the identification of the variables determining foreign direct investment in Latin America, represented by 29 countries and over a period of time from 1995 to 2011. It considers variables traditionally not considered such as the number of patents registered, the tax rate and institutional factors, which have revealed important explanatory variables as well as those traditionally considered such as GDP, inflation, population, the share of GDP by sector, income level, etc. The last part of this research lists the conclusions reached and proposes recommendations for economic relations policy development between Latin America and the European Union. Disertační práce "Analýza obchodních vztahů mezi Evropskou unií a Latinskou Amerikou mezi lety 1995 - 2011" si klade za cíl určit potenciál Latinské Ameriky pro Evropskou unii. Je založena na analýze obchodních vztahů v regionu mezi lety 1995 až 2011 prostřednictvím různých ekonometrických modelů a makroekonomických analýz. Vydává doporučení pro zlepšení hospodářských vztahů mezi Latinskou Amerikou a Evropskou unií a identifikuje sektory, které by mohly představovat potenciál pro obchod mezi oběma regiony. Práce je rozdělena do sedmi kapitol: První kapitola se zabývá hlavními teoriemi mezinárodního obchodu; tato část se skládá z teoretických aspektů, které přímo souvisejí s mezinárodním obchodem. Druhá kapitola analyzuje makroekonomické charakteristiky latinskoamerických zemí a porovnává je s údaji z Evropské unie. V této kapitole byla provedena podrobná analýza 17 latinskoamerických zemí a potenciálu každé z nich, na jejím základě byl popsán potenciál Latinské Ameriky, její význam na globální úrovni, aktuální pozice ve 21. století a ekonomické a politické aspekty, které definují geopolitické postavení tohoto regionu. Ve třetí kapitole jsou analyzovány obchodní politiky Evropské unie a Latinské Ameriky. Ve čtvrté kapitole rozebíráme obchodní vztahy mezi Latinskou Amerikou a Evropskou unií; analyzujeme obchodní dohody, které byly uzavřeny mezi EU a zeměmi Latinské Ameriky, a snažíme se identifikovat možné příčiny neúspěchů podepsaných dohod. Také v této kapitole zkoumáme odvětvovou strukturu obchodu mezi oběma regiony s důrazem na asymetrii obchodních toků mezi zeměmi. V páté kapitole, jedné z nedůležitějších v celé práci, analyzujeme obchodní vztahy mezi EU a Latinskou Amerikou prostřednictvím gravitačního modelu. Tato kapitola popisuje překážky mezinárodního obchodu mezi oběma regiony. Ve druhé části této kapitoly jsou analyzovány institucionální faktory, které podle závěrů z předchozí kapitoly hrají důležitou roli v mezinárodním obchodu mezi Latinskou Amerikou a EU. V této části provádíme srovnávací analýzu institucionálních faktorů ve 29 zemích Latinské Ameriky, které byly analyzovány v gravitačním modelu. Tato kapitola obsahuje simulace obchodu mezi Českou republikou a Latinskou Amerikou pro případ, že by se institucionální faktory v Latinské Americe zlepšily o 10 %. V šesté kapitole je vypočítána konkurenceschopnost 17 latinskoamerických zemí prostřednictvím nové metody založené na porovnávání ukazatelů seřazených podle různých dimenzí a podle jejich váhy v čase. V poslední kapitole jsou identifikovány proměnné určující PZI v Latinské Americe zastoupené 29 zeměmi v době od roku 1995 do roku 2011. Opět uvažujeme proměnné, které tradičně nejsou uvažovány, jako je počet registrovaných patentů, daňová sazba a institucionální faktory, které se ukázaly jako významná vysvětlující proměnná, stejně jako faktory, které se v modelech často objevují, jako například HDP, inflace, populace, podíl HDP podle odvětví a příjmy. V poslední části této práce uvádíme závěry analýzy a navrhujeme doporučení pro zlepšení hospodářské politiky a rozvoj ekonomických vztahů mezi Latinskou Amerikou a EU.
Keywords:
Mezinárodní obchod; Konkurenceschopnost; institucionální faktory; summity EU-LAC; Přímé zahraniční investice; Evropská Unie a Latinská Amerika; Institutional Factors; Competitiveness; Commercial Exchange; EU-LAC Summits; Foreign Direct Investment; European Union and Latin America; International Trade
Available in digital repository of the Library of University of Economics.
Analysis of Trade Relations between the European Union and Latin America from 1995-2011
The Doctoral Thesis "Analysis of Trade Relations between the European Union and Latin America from 1995-2011" focuses on the determination Latin America's potential as a trading partner for the ...
Ex-Dividend Day Share Price Decline and Efficiency of Equity Options Markets
Křížek, Tomáš; Dvořák, Petr; Stádník, Bohumil; Svoboda, Martin
2008 - English
Práce se věnuje analýze pohybu cen burzovních a neburzovních akciových opcí/warrantů kolem ex-dividend dne jejich podkladového aktiva. Nejprve práce analyzuje pokles ceny akcií kolem ex-dividend dne s ohledem na vyplacenou dividendu a závěry následně využívá i při analýze chování cen opcí kolem tohoto dne. V dalších částech se již práce zaměřuje přímo na objemy obchodovaných opcí a změny cen opcí kolem ex-dividend dne podkladového aktiva. Při analýze se využívají data o akciích z evropských trhů a o souvisejících opcí. Data byla sbírána z derivátové burzy EUREX a také z OTC zdrojů, mezi které patřily banky Vontobel, Lang & Schwarz, Erste a Deutsche Börse a jejich platforma xMarkets. Práce si klade za cíl identifikovat neefektivnosti v oceňování a v obchodování s akciovými opcemi kolem ex-dividend dne. Hlavními závěry práce je, že kolem ex-dividend dne probíhá nadstandardní objem opčních obchodů a zároveň call opce statisticky během dne před a po vyplacení dividendy klesají na ceně, přičemž u put opcí je trend opačný. Toto signalizuje nedostatečné zohlednění poklesu akcie kolem ex-dividend dne v oceňovacích modelech ať již obchodníků s cennými papíry nebo investorů/spekulantů. Rovněž byl analyzován dopad neočekávaného poklesu kurzu akcie kolem ex-dividend dne. Očekávaná hodnota poklesu byla zjištěna v první části práce a skutečná ex-post na základě historických dat. Bylo zjištěno, že neočekávaný pokles ceny akcie (ať již příliš malý, nebo příliš velký) nemá jednoznačný vliv na cenu opcí. V práci byly rovněž navrhnuty jednotlivé kroky, jak neefektivnosti v oceňování opcí a obchodování s nimi využít pro ziskové obchody, a to jak ze strany investorů, tak ze strany obchodníků s cennými papíry. This paper analyses options/warrants price behavior around an ex-dividend day of underlying shares. Both equity options as financial instruments traded on options exchanges, and warrants/certificates as OTC financial instruments are analyzed. First, the paper analyzes the ex-dividend day share price drop. Findings of this part are further used to analyze the impact of unexpected share price decline on options prices. Further, the paper focuses on volumes of traded options contracts and changes in options prices around the ex-dividend day. The paper focuses on European shares and related options and warrants. The options data was collected from the options exchange EUREX and also from several OTC sources -- Vontobel, Lang & Schwarz, Erste, and xMarkets by Deutsche Börse. The main aim of the paper is to identify market inefficiencies in trading in and valuation of equity options. There are two main conclusions that around the ex-dividend day there is a significantly increased trading activity and the call options depreciate whereas put options appreciate between the cum-dividend and the ex-dividend day. This shows insufficient implementation of the share price drops into options valuation models of options dealers or investors / speculators. Further an impact of unexpected share price behavior was analyzed but no particular pattern has been identified. The impact of the unexpected share price drop (either too high or too low) has ambiguous implications on the options prices. Finally, ways how to utilize on knowledge of inefficient trading in options around the ex-dividend day were suggested. The suggestions were done both from the perspective of an investor / speculator and of an options dealer.
Keywords:
Tržní neefektivita; Akciové opce; Ex-dividend den; Pokles ceny akcie; Ex-dividend day; Equity options; Share price decline; Market efficiency
Available in digital repository of the Library of University of Economics.
Ex-Dividend Day Share Price Decline and Efficiency of Equity Options Markets
Práce se věnuje analýze pohybu cen burzovních a neburzovních akciových opcí/warrantů kolem ex-dividend dne jejich podkladového aktiva. Nejprve práce analyzuje pokles ceny akcií kolem ex-dividend dne s ...
Performance downside risk models of the post-modern portfolio theory
Jablonský, Petr; Málek, Jiří; Kodera, Jan; Lukáš, Ladislav
2008 - English
Práce se zabývá srovnáním portfoliových modelů a jejich výkonnosti na finančních trzích. Analýza je zaměřena především na srovnání klasické Markowitzovy moderní teorie portfolia a downside risk modelů post-moderní teorie portfolia. Zaměřili jsme se také na další alternativní teorie. Celkově se práce zabývá testováním jedenácti různých portfolio modelů. Jestliže má být výkonnost různých modelů řádně vyhodnocena, musíme použít míru, jež je nestranná vůči kterémukoli testovanému modelu. Práce navrhuje vyřešit tuto otázku skrz nový přístup založený na teorii a funkci užitku. Představujeme novou nestrannou metodu pro porovnání výkonnosti portfolio modelů prostřednictvím užitkové efektivní hranice. Předpokladem teorie je vhodně zvolená užitková funkce. Zvolili jsme asymetrickou funkci, která umožňuje zachytit chování reálných investorů. Markowitzův model je považován stále za vedoucí tržní praxi. Zkoumáme, zda existují okolnosti, za kterých mohou některé z uvažovaných modelů vykazovat lepší výkonnost než Markowitzův model. Náš výzkum je pro tři důvody jedinečný. Zaprvé, poskytuje hluboké srovnání široké třídy různých portfoliových modelů. Zadruhé, srovnání výkonnosti modelů je provedeno na rozvinutých trzích ve Spojených státech a v Německu i rozvíjejících se lokálních trzích v České republice a Polsku. Tyto lokální trhy nebyly ještě nikdy v takovém rozsahu testovány. Zatřetí, empirické testování využívá data za roky 2003 až 2012, která nám umožňují testovat, jak různé portfolio modely fungují v různých makroekonomických podmínkách. The thesis provides a comparison of different portfolio models and tests their performance on the financial markets. Our analysis particularly focuses on comparison of the classical Markowitz modern portfolio theory and the downside risk models of the post-modern portfolio theory. In addition, we consider some alternative portfolio models ending with total eleven models that we test. If the performance of different portfolio models should be evaluated and compared correctly, we must use a measure that is unbiased to any portfolio theory. We suggest solving this issue via a new approach based on the utility theory and utility functions. We introduce the unbiased method for evaluation of the portfolio model performance using the expected utility efficient frontier. We use the asymmetric behavioural utility function to capture the behaviour of the real market investors. The Markowitz model is the leading market practice. We investigate whether there are any circumstances in which some other models might provide better performance than the Markowitz model. Our research is for three reasons unique. First, it provides a comprehensive comparison of broad classes of different portfolio models. Second, we focus on the developed markets in United States and Germany but also on the local emerging markets in Czech Republic and Poland. These local markets have never been tested in such extent before. Third, the empirical testing is based on the broad data set from 2003 to 2012 which enable us to test how different portfolio model perform in different macroeconomic conditions.
Keywords:
Užitková efektivní hranice; Nestranná metoda měření; Post-moderní teorie portfolia; Markowitzova teorie; Výkonnost modelů; Utility efficient frontier; Post-modern portfolio theory; Unbiased measurement method; Model performance; Markowitz theory
Available in digital repository of the Library of University of Economics.
Performance downside risk models of the post-modern portfolio theory
Práce se zabývá srovnáním portfoliových modelů a jejich výkonnosti na finančních trzích. Analýza je zaměřena především na srovnání klasické Markowitzovy moderní teorie portfolia a downside risk modelů ...
Capital Asset Prices Modelling - Concept VAPM
Kuklik, Robert G.; Janda, Karel; Kodera, Jan; Lukáš, Ladislav
2008 - English
The key objective of this thesis is the outline of an alternative capital market modeling framework, the Volatility Asset Pricing Model, VAPM, inspired by the innovative dual approach of Mandelbrot and Hudson using the method based on synthesis of two seemingly antagonistic factors -- the volatility of market prices and their serial dependence determining the capital markets' dynamics. The pilot tests of this model in various periods using the market index as well as a portfolio of selected securities delivered generally satisfactory results. Firstly, the work delivers a brief recapitulation regarding the concepts of a consumer/investor choice under general conditions of hypothetical certainty. Secondly, this outline is then followed by a description of the "classical" methodologies in the risky environment of uncertainty, with assessment of their corresponding key models, i.e. the CAPM, SIM, MIM, APTM, etc., notwithstanding results of the related testing approaches. Thirdly, this assessment is based on evaluation of the underlying doctrine of Efficient Market Hypothesis in relation to the so called Random Walk Model. Fourthly, in this context the work also offers a brief exposure to a few selected tests of these contraversial concepts. Fifthly, the main points of conteporary approaches such as the Fractal Dimension and the Hurst Exponent in the dynamic framework of information entropy are subsequently described as the theoretical tools leading to development of the abovementioned model VAPM. The major contribution of this thesis is considered its attempt to apply the abovementioned concepts in practice, with the intention to possibly inspire a further analytical research. Hlavním cílem této dizertace je představit model fungování kapitálového trhu, VAPM, inspirovaný přístupy, které například popsal Mandelbrot, Hudson, Shiller a další, s úmyslem tuto koncepci aplikovat v praxi s možnostmi dalšího výzkumu a využití. V této souvislosti práce popisuje: Za prvé, průřezový nástin obecných koncepcí modelování pohybu kapitálového trhu jako mechanismu alokace zdrojů, v rámci ekonomické Teorie volby s přihlédnutím k jejich vývoji. Tato část obsahuje stručný popis modelování trhu z "klasického", dobře známého hlediska v podmínkách jistoty a tudíž úplné bezrizikové předvídatelnosti je uveden stručný přehled stochastického pohledu se zavedením prvků rizika a tudíž pravděpodobnosti očekávaného výstupu. Na to též navazuje rámec koncepce Hypotézy efektivního trhu (EMH) a souvisejícího Modelu náhodné procházky (RWM) v podmínkách kritického pohledu equilibria rizika/výnosu, s přehodnocením "klasických" přístupů na bázi nových přístupů; Za druhé, stručný popis a vyhodnocení modelů CAPM, (Ortodoxní model chování kapitálových aktiv, CAPM, Tržní model SIM, Multi- indexní MIM a metoda APT), na základě analýz vybraných autorů, s přihlédnutím k formaci optimálního portfolia a určení Beta koeficientu. Obě uvedené části jsou více méně pouze popisného charakteru a v podstatě slouží k dokreslení úplnosti rámce vývoje procesu tržního modelování; Za třetí, více či méně současné názory na dynamiku trhu opírající se o entropické pojetí s fraktálním pohledem na jeho dynamiku volatility, v souvislosti se setrvačností vlivu minulého hodnotového výkonu; Za čtvrté, za použití těchto i jiných přístupů práce některé výsledky testů tržní efektivity z různých pohledů, na základě analýz vybraného vzorku autorů a jejich hodnocení; Za páté, jak zmíněné současné koncepce posléze vedly k definici a testování Modelu zohledňujícího očekávanou volatilitu tržních cen a jejich závislost, VAPM, na bázi vztahu volatility a sériové závislosti k časovým řadám tržního indexu a portfolia vybraných akciových titulů; Za hlavní přínos této práce je považována charakteristika soudobých koncepčních pohledů na modelování kapitálového trhu navazující na jedné straně na rámcový popis dosavadního vývoje této problematiky s jeho kritickým vyhodnocením a na druhé straně inspirující vývoj modelu VAPM jako pokus aplikovat uvedené koncepce v praxi s možností dalšího výzkumu a využití.
Keywords:
modelování kapitálových trhů; dynamika trhů; CAPM; VAPM; Efficiency Testing; Hurst Exponent; Fractal Dimension; Entropy of the System; SIM; CAPM; The Theory of Choice; Random Walk Model; Efficient Market Hypothesis; Models under Certainty/Uncertainty
Available in digital repository of the Library of University of Economics.
Capital Asset Prices Modelling - Concept VAPM
The key objective of this thesis is the outline of an alternative capital market modeling framework, the Volatility Asset Pricing Model, VAPM, inspired by the innovative dual approach of Mandelbrot ...
Optimization of Harvesting Natural Resources
Chrobok, Viktor; Dlouhý, Martin; Kodera, Jan; Vošvrda, Miroslav
2008 - English
The thesis describes various modifications of the predator-prey model. The modifications are considering several harvesting methods. At the beginning a solution and a sensitivity analysis of the basic model are provided. The first modification is the percentage harvesting model, which could be easily converted to the basic model. Secondly a constant harvesting including a linearization is derived. A significant part is devoted to regulation models with special a focus on environmental applications and the stability of the system. Optimization algorithms for one and both species harvesting are derived and back-tested. One species harvesting is based on econometrical tools; the core of two species harvesting is the modified Newton's method. The economic applications of the model in macroeconomics and oligopoly theory are expanded using the methods derived in the thesis. Práce popisuje různé modifikace modelu dravec-kořist pro případ těžby jedné nebo obou populací. Na začátku je uvedeno řešení základního modelu a jeho citlivostní analýza. První modifikací je procentuální těžba, která může být převedena na základní model. Dále je odvozen model konstantní těžby včetně linearizace systému. Podstatná část práce je věnována regulačním modelům s důrazem na environmentální aplikace a stabilitu systému. V práci jsou popsány a ověřeny optimalizační algoritmy pro případ těžby. Jednodruhová optimalizace je založena na ekonometrických metodách; jádrem dvoudruhové optimalizace je upravená Newtonova metoda. Práce také rozšiřuje ekonomické aplikace modelu v makroekonomii a teorii oligopolu.
Keywords:
matematická bioekonomie; linearizace; model dravec-kořist; nelineární optimalizace; populační dynamika; Lotka-Volterra model; mathematical bioeconomics; predator-prey model; Lotka-Volterra equation; linearization; population dynamics; non-linear optimization
Available in digital repository of the Library of University of Economics.
Optimization of Harvesting Natural Resources
The thesis describes various modifications of the predator-prey model. The modifications are considering several harvesting methods. At the beginning a solution and a sensitivity analysis of the basic ...
Shared financial management of Community programs and its implementation in the EU area
Jedličková, Vladislava; Heřman, Jan; Dvořáček, Jiří; Ondřej, Jan
2008 - English
The issue of migration within the European Union has grown in member countries to considerable size. Management representatives of EU institutions have decided to address this situation. They established community program Solidarity and management of migration flows. The European Commission has decided that for the financial management of this program will be used the principle of shared management. The principle of shared financial management is the delegation of powers and responsibilities for funding and implementing the program from the institutions of the European Commission to the Member State. This decision creates an obligation for a Member State to establish a system of financial management programs in accordance with financial rules of the European Union (not by the financial rules of the Member State). So the general program "Solidarity and management of migration flows" became the first community program in the CR, which is being implemented on the principle of shared financial management. Member states are obliged to create their own theoretical and methodological basis of a new financial management. This method of financial management has three pillars - Responsible Authority, Audit Authority and Certification Authority. The recipient of funds may be non-profit organizations or state or public nonprofit organization. The financial management of the Responsible Authority is responsible for program implementation in the Member State through projects of final beneficiaries. The Audit Authority is the control body. The Certification Authority is the authority for confirmation. It is the last link between the European Commission and Member States. The task of the Certification Authority and at the same time of this dissertation was to develop new theoretical and methodological system of internationally recognized certification of public expenditures for services that are financed from the EU budget. In the past, the issue of certification of the expenditures financed by community programs in the CR was not addressed. The goal set in my work was met. New theoretical and methodological certification system was created. Functionality and effectiveness of the system was checked before being put into practice through expert assessment by experts of the Ministry of Interior and Ministry of Finance. Also theoretical and methodological approach was developed, which was approved by the Minister of the Interior, and which became a mandatory certification standard for all involved organizations in the CR. The system was put into practice and has been used since 2009. Problém migrace v rámci území Evropské unie narostl v členských zemích do značných rozměrů. Zastupitelé řídících orgánů EU se rozhodli tuto situaci řešit. Byl zřízen komunitární program Solidarita a řízení migračních toků. Evropská komise se rozhodla, že pro finanční řízení tohoto programu využije princip sdíleného řízení. Princip sdíleného finančního řízení znamená přenesení pravomocí a odpovědností za financování a realizaci programu z orgánů Evropské komise na členský stát. Pro členský stát z tohoto rozhodnutí vyplývá povinnost vytvořit systém finančního řízení programu podle finančních pravidel Evropské unie (ne podle finančních pravidel členského státu). Tak se stal "Obecný program solidarita a řízení migračních toků" prvním komunitárním programem na území ČR, který je realizován principem sdíleného finančního řízení. Členské státy jsou povinny vytvořit vlastní teoreticko metodologickou základnu nového finančního řízení. Tento způsob finančního řízení má tři pilíře -- Odpovědný orgán, Auditní orgán a Certifikační orgán. Příjemcem finančních prostředků může být nestátní nezisková organizace a nebo státní i veřejnoprávní nezisková organizace. V rámci finančního řízení Odpovědný orgán zodpovídá za realizaci programu v členském státě prostřednictvím projektů konečných příjemců. Auditní orgán je orgán kontrolní. Certifikační orgán je orgán potvrzovací. Je to poslední článek mezi Evropskou komisí a členským státem. Úkolem Certifikačního orgánu a zároveň tématem disertační práce bylo vytvořit nový teoreticko metodologický systém mezinárodně uznávané certifikace veřejných výdajů za služby, které jsou financovány z rozpočtu EU. V minulosti nebyla problematika certifikace výdajů u komunitárních programů v ČR řešena. Vytýčený cíl v práci byl splněn. Nový teoreticko metodologický systém certifikace byl vytvořen. Funkčnost a účinnost systému byla ověřena před uvedením do praxe pomocí expertního posouzení odborníků Ministerstva vnitra ČR a Ministerstva financí ČR. Rovněž byl vypracován teoreticko metodologický postup, který je schválen Ministrem vnitra ČR, a který se stal závaznou certifikační normou pro všechny zúčastněné na území ČR. Systém byl aplikován v praxi, je používán od roku 2009.
Keywords:
neziskové organizace; certifikace; Certifikační orgán; Auditní orgán; Odpovědný orgán; Sdílené finanční řízení; certification authority; Shared financial management; certification; the responsible authority; non-profit organization; audit authority
Available in digital repository of the Library of University of Economics.
Shared financial management of Community programs and its implementation in the EU area
The issue of migration within the European Union has grown in member countries to considerable size. Management representatives of EU institutions have decided to address this situation. They ...
Linking mechanisms for component-based Services and IT Governance
Müller, Carsten; Voříšek, Jiří; Molnár, Zdeněk; Hujňák, Petr
2008 - English
Abstract Academic support in IT Governance focuses static viewpoints on IT Governance. IT Governance in a global context has to cater for intensive competition, cultural diversity, and various fluctuating economic conditions. A static model of IT Governance and organisation cannot adequately address these issues. A major goal of this Dissertation is to develop a Framework for component-based IT Governance using dynamic Linkage Mechanisms to allow the determination of an optimum (resource-) flow. Linkage Mechanisms are dynamic arrangements and IT Governance Service Value Channels between IT Governance Components in the IT Governance Domain and allow communication between them. The (resource-) flow is based on transactions. These dynamic networks of relationships allow for greater flexibility and agility in acquiring, combining and deploying required IT Resources and IT assets. In this new research approach methods of the Object-oriented Modelling and Operations Research are applied to IT Governance disciplines. The result of this Dissertation is a generic, model-based, reusable and expandable 'building block' for the component-based design of an IT Governance Domain. This building block is composed of process oriented models, structured processes, strategies for optimisation and application use cases. It is shown how the architecture for the performance of a concrete IT Governance Domain is instrumented and in this way a component-based IT Governance is performed. Possible addressees of the results of this Dissertation are following: - ITG architects and (software-) developers who would like to implement the components, services or a platform for component-based ITG; - ITG managers or Chief Information Officers (CIO) who would like to construct a better understanding for requirements and relationships in the context ITG; - Auditors who would like to control and audit the conformity of an ITG Domain against a generic requirements catalogue; - Authors of Standards and Best Practice-Frameworks in the ITG area as-well-as scientists who are working with related research questions in the context ITG. Abstract Academic support in IT Governance focuses static viewpoints on IT Governance. IT Governance in a global context has to cater for intensive competition, cultural diversity, and various fluctuating economic conditions. A static model of IT Governance and organisation cannot adequately address these issues. A major goal of this Dissertation is to develop a Framework for component-based IT Governance using dynamic Linkage Mechanisms to allow the determination of an optimum (resource-) flow. Linkage Mechanisms are dynamic arrangements and IT Governance Service Value Channels between IT Governance Components in the IT Governance Domain and allow communication between them. The (resource-) flow is based on transactions. These dynamic networks of relationships allow for greater flexibility and agility in acquiring, combining and deploying required IT Resources and IT assets. In this new research approach methods of the Object-oriented Modelling and Operations Research are applied to IT Governance disciplines. The result of this Dissertation is a generic, model-based, reusable and expandable 'building block' for the component-based design of an IT Governance Domain. This building block is composed of process oriented models, structured processes, strategies for optimisation and application use cases. It is shown how the architecture for the performance of a concrete IT Governance Domain is instrumented and in this way a component-based IT Governance is performed. Possible addressees of the results of this Dissertation are following: - ITG architects and (software-) developers who would like to implement the components, services or a platform for component-based ITG; - ITG managers or Chief Information Officers (CIO) who would like to construct a better understanding for requirements and relationships in the context ITG; - Auditors who would like to control and audit the conformity of an ITG Domain against a generic requirements catalogue; - Authors of Standards and Best Practice-Frameworks in the ITG area as-well-as scientists who are working with related research questions in the context ITG.
Keywords:
IT Governance; component-base Service; linking mechanisms; IT Governance; linking mechanisms; component-base Service
Available in digital repository of the Library of University of Economics.
Linking mechanisms for component-based Services and IT Governance
Abstract Academic support in IT Governance focuses static viewpoints on IT Governance. IT Governance in a global context has to cater for intensive competition, cultural diversity, and various ...
ECONOMIC ASPECTS OF HISTORICAL CONTAMINATION
Aguilar Bobadilla, Silvia E.; Šauer, Petr; Hadrabová, Alena; Dubová, Markéta; Čermáková, Hana
2008 - English
The main scope of the work is to support a wider understanding of the achievements and limitations of economic analysis in historical contamination issues. The work describes how various schools of economics focus their study on environmental problems, specifically on Brownfields redevelopment. It presents the ideas of environmental economics, resource economics, free market environmentalism, institutional economics, political economy and ecological economics. The work includes a case study from the region of Ralsko in North Bohemia.
Keywords:
Brownfields; Historical Contamination; Water Economics; Economics and Environment.
Available in digital repository of the Library of University of Economics.
ECONOMIC ASPECTS OF HISTORICAL CONTAMINATION
The main scope of the work is to support a wider understanding of the achievements and limitations of economic analysis in historical contamination issues. The work describes how various schools of ...
Religion and property rights
Minárik, Pavol; Chalupníček, Pavel; Lipka, David; Berggren, Niclas
2008 - English
Religion and post-communist transition are two of the many issues that have earned attention of economists and social scientist in the recent decades. This dissertation collects three papers dealing with different issues concerning religion and the transition. The first one attempts to assess the role of religion in the transition and its impact on country's success in this process; it also outlines opportunities for research in this field. The second paper tries to uncover the role of religion in formation of economic and social attitudes of the people in post-communist countries. Both papers conclude that religion matters; Western Christianity appears to be more compatible with market economy than Orthodox Christianity and Islam, although these two religions are not necessarily an obstacle. Finally, the third paper deals with religious participation in post-communist countries. It shows that religious behavior is not completely independent of economic conditions and religious revivals in the post-communist era can be interpreted in economic terms. Náboženství a postkomunistické transformace jsou dvě z mnoha otázek, které získaly pozornost ekonomů a sociálních vědců v posledních desetiletích. Tato práce shromažďuje tři články, které se zabývají různými aspekty náboženství a transformace. První z nich se pokouší posoudit úlohu náboženství v transformace a jeho vliv na úspěchu země v tomto procesu. Dále také nastiňuje možnosti výzkumu v této oblasti. Druhý článek se snaží odhalit roli náboženství při tvorbě ekonomických a sociálních postojů lidí v postkomunistických zemích. Oba články docházejí k závěru, že na náboženství záleží; západní křesťanství se zdá být více v souladu s tržním hospodářstvím než ortodoxní křesťanství a islám, i když tato dvě náboženství nejsou nutně překážkou úspěšné transformace. Třetí článek se zabývá náboženskou participací v postkomunistických zemích. Ukazuje, že náboženské chování není zcela nezávislé na ekonomických podmínkách a že náboženská probuzení v postkomunistické éře lze interpretovat z ekonomického hlediska.
Keywords:
instituce; vlastnická práva; postkomunistická transformace; náboženství; religion; institutions; property rights; post-communist transition
Available in digital repository of the Library of University of Economics.
Religion and property rights
Religion and post-communist transition are two of the many issues that have earned attention of economists and social scientist in the recent decades. This dissertation collects three papers dealing ...
Securitization - A critical assessment in the light of the financial crisis
Marinova, Milena; Krupová, Lenka; Marek, Petr; Doubravský, Jiří
2007 - English
My dissertation thesis provides a comprehensive analysis of the principles of securitization techniques, of their attendant shortcomings, their regulatory treatment and the recent proposals for reducing complexity in accounting standards with relevance for securitizations. The explosion of securitization and related innovative credit risk transfer products largely expanded the magnitude and diversity of issuers, investors and securities. With this expansion numerous market participants began to wrongly believe that risk was not only shared more widely, but also that it disappeared from the system altogether. The application, or to be more precise, the misapplication of securitization in the mortgage market had fatal consequences for the financial sector worldwide. Before securitization, sub-prime mortgage lenders retained the loans that they originated on their balance sheets and therefore cared about their credit quality. Securitization techniques and related innovative financial instruments enabled the export of sub-prime mortgage structural problems from the United States globe-wide via the financial intermediaries. More over, securitization techniques and related credit risk transfer products enabled single banks to reduce their individual risk while at the same time transferred new and greater risks to the financial system. Meanwhile a lot was written on the causes for the recent financial crisis. In most cases inadequate ratings provided by the credit rating agencies and different principal agent problems were addressed. I present both for completeness in my work. However, I argue that not only the credit rating agencies are to blame for the inadequate reflection of securitization and related financial innovations and subsequently for the financial turmoil. The international and national financial supervisors in fact supported the credit rating agencies to further establish their businesses. What turned obvious during and after the financial turmoil started mid-2007 is that financial regulation failed to reach its main goal - ensuring stability of the financial system. It failed despite of the "regulatory achievements within Basel II" elaborated over the past ten years. In particular, securitization and related credit risk transfer products were not adequately treated in Basel II. Securitization-related products such as Credit Derivatives on Securitization Underlyings and numerous other complex financial innovations, as presented in my thesis, were not even thought of in Basel II. In fact, Basel II turned to do little to make the financial system more resilient. The need for further revisions in banking regulation is currently more than obvious. Furthermore, it is time to ask if the developments in Basel II are the right way to address the current risks within the financial system and hence if Basel II is the right way of banking regulation and supervision altogether. With the development of both Basel Accords (Basel I and Basel II) capital ratios became the center of banking regulation. However, capital ratios are obviously not sufficient as a measure for a systemic financial stability. These questions arise at least when financial stability and soundness are still the intended objectives and believed to be ensured through Basel II. My merits in this dissertation work root in the multi-facet analysis of securitization techniques that I provide. Up to date a comparable analysis of securitization techniques which addresses the wide spectrum of securitizations' issues - such as (i) their treatment and the related attendant flaws within the regulatory framework Basel II, (ii) the various microeconomic deficiencies related to securitizations, and (iii) the implicit macroeconomic threads of exporting credit risk and de-balancing financial stability through securitization techniques - has not been provided in the comprehensive way I built up my analysis. As a basis for my analysis, I provide a new classification of the characteristics of securitization techniques which were pre-crisis wrongly perceived as benefits. I analyze the reasons for the turmoil in the financial markets in their interplay and complexity and consider securitization techniques as a key driver for the financial crisis. I comprehensively criticize the current regulatory treatment. I present in detail why the recent financial crisis should be considered a clear regulatory failure due to the up to date short-sightedness of financial regulation. Through providing partial solutions and professional author's assessment of selected regulatory and accounting changes to securitizations I deliver an expert's contribution to the topic. My conclusions are that securitization markets, as they have been operating until today, brought a negative net macroeconomic effect which has been largely damaging to the global economy. I argue that international and national financial supervisors established an inadequate framework for financial regulation and supervision, and among other failures, even supported credit rating agencies to further establish their businesses. Further on, I show that early warning indicators of systemic risk in the financial sector and signs of the coming turmoil were irresponsibly ignored at the time they were perceived. What turned obvious during and after the recent financial turmoil is that capital regulation failed to reach its main goal -- ensuring stability of the financial system. In particular, securitization and related credit risk transfer products were adequately treated neither in Basel I nor in Basel II. Finally, I conclude that capital ratios as established with the development of both Basel Accords are not sufficient as a central measure for banking regulation and ensuring systemic financial stability. My dissertation thesis provides a comprehensive analysis of the principles of securitization techniques, of their attendant shortcomings, their regulatory treatment and the recent proposals for reducing complexity in accounting standards with relevance for securitizations. The explosion of securitization and related innovative credit risk transfer products largely expanded the magnitude and diversity of issuers, investors and securities. With this expansion numerous market participants began to wrongly believe that risk was not only shared more widely, but also that it disappeared from the system altogether. The application, or to be more precise, the misapplication of securitization in the mortgage market had fatal consequences for the financial sector worldwide. Before securitization, sub-prime mortgage lenders retained the loans that they originated on their balance sheets and therefore cared about their credit quality. Securitization techniques and related innovative financial instruments enabled the export of sub-prime mortgage structural problems from the United States globe-wide via the financial intermediaries. More over, securitization techniques and related credit risk transfer products enabled single banks to reduce their individual risk while at the same time transferred new and greater risks to the financial system. Meanwhile a lot was written on the causes for the recent financial crisis. In most cases inadequate ratings provided by the credit rating agencies and different principal agent problems were addressed. I present both for completeness in my work. However, I argue that not only the credit rating agencies are to blame for the inadequate reflection of securitization and related financial innovations and subsequently for the financial turmoil. The international and national financial supervisors in fact supported the credit rating agencies to further establish their businesses. What turned obvious during and after the financial turmoil started mid-2007 is that financial regulation failed to reach its main goal - ensuring stability of the financial system. It failed despite of the "regulatory achievements within Basel II" elaborated over the past ten years. In particular, securitization and related credit risk transfer products were not adequately treated in Basel II. Securitization-related products such as Credit Derivatives on Securitization Underlyings and numerous other complex financial innovations, as presented in my thesis, were not even thought of in Basel II. In fact, Basel II turned to do little to make the financial system more resilient. The need for further revisions in banking regulation is currently more than obvious. Furthermore, it is time to ask if the developments in Basel II are the right way to address the current risks within the financial system and hence if Basel II is the right way of banking regulation and supervision altogether. With the development of both Basel Accords (Basel I and Basel II) capital ratios became the center of banking regulation. However, capital ratios are obviously not sufficient as a measure for a systemic financial stability. These questions arise at least when financial stability and soundness are still the intended objectives and believed to be ensured through Basel II. My merits in this dissertation work root in the multi-facet analysis of securitization techniques that I provide. Up to date a comparable analysis of securitization techniques which addresses the wide spectrum of securitizations' issues - such as (i) their treatment and the related attendant flaws within the regulatory framework Basel II, (ii) the various microeconomic deficiencies related to securitizations, and (iii) the implicit macroeconomic threads of exporting credit risk and de-balancing financial stability through securitization techniques - has not been provided in the comprehensive way I built up my analysis. As a basis for my analysis, I provide a new classification of the characteristics of securitization techniques which were pre-crisis wrongly perceived as benefits. I analyze the reasons for the turmoil in the financial markets in their interplay and complexity and consider securitization techniques as a key driver for the financial crisis. I comprehensively criticize the current regulatory treatment. I present in detail why the recent financial crisis should be considered a clear regulatory failure due to the up to date short-sightedness of financial regulation. Through providing partial solutions and professional author's assessment of selected regulatory and accounting changes to securitizations I deliver an expert's contribution to the topic. My conclusions are that securitization markets, as they have been operating until today, brought a negative net macroeconomic effect which has been largely damaging to the global economy. I argue that international and national financial supervisors established an inadequate framework for financial regulation and supervision, and among other failures, even supported credit rating agencies to further establish their businesses. Further on, I show that early warning indicators of systemic risk in the financial sector and signs of the coming turmoil were irresponsibly ignored at the time they were perceived. What turned obvious during and after the recent financial turmoil is that capital regulation failed to reach its main goal -- ensuring stability of the financial system. In particular, securitization and related credit risk transfer products were adequately treated neither in Basel I nor in Basel II. Finally, I conclude that capital ratios as established with the development of both Basel Accords are not sufficient as a central measure for banking regulation and ensuring systemic financial stability.
Keywords:
financial crisis; banking and financial regulation; securitization; financial crisis; accounting for financial instruments; capital adequacy; banking and financial regulation; securitization
Available in digital repository of the Library of University of Economics.
Securitization - A critical assessment in the light of the financial crisis
My dissertation thesis provides a comprehensive analysis of the principles of securitization techniques, of their attendant shortcomings, their regulatory treatment and the recent proposals for ...
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