Template-Type: ReDIF-Article 1.0
Author-Name: Milan Hrdý
Title: Valuation Standards for Commercial Banks in the Financial Theory and their Analysis
Abstract: This article focuses on bank valuation standards as some recommended steps how to evaluate some concrete commercial bank by the market value. Different approaches, methods and models were analysed and the final recomendations were stated. Basic valuation approaches such as the income approach, the market-based approach and the asset-based approach used for traditional entreprises valuation are recommended also for the commercial banks valuation, but it is necessary to adjust them according to some specifics of banks. After the precise analysis it is possible to recommend the application of Market-Based Valuation or in other words Relative Valuation in the combination with Bond Pricing Model. This is the best choice, but only in case there is some comparable bank or comparable transaction available. In the opposite case it is possible to recommend the application of the income approach based on DDM or DCFE in the combination with Bond Pricing Model or with Excess Return Model. Asset-Based Valuation could be used in case of valuation of different type of bank´s asset or in case of the valuation for accounting or tax purposes. The most important problem lies also in the identification of the coefficient beta that oscillates in case of the large maturity banks according to the “magic one”.
Keywords: valuation, commercial bank, standards models
Classification-JEL: G21, G32
Pages: 541-553
Volume: 2018
Issue: 5
Year: 2018
File-URL: http://www.vse.cz/pep/download.php?jnl=pep&pdf=661.pdf
File-URL: http://www.vse.cz/pep/661
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Template-Type: ReDIF-Article 1.0
Author-Name: Blanka Škrabic Peric
Title: Have More Profitable Banks a More or a Less Risky Lending Policy? Empirical Evidence from CEE Countries
Abstract: This paper investigates the short and long-run relationship between credit risk and two bank profitability indicators ROA and ROE in Central and Eastern European countries during the period from 2000 to 2010. Results from previous research mostly confirm the negative relationship between profitability and credit risk by considering the current or one year lagged value of profitability. Certain crisis indicates that more profitable banks before the crisis became more risky during the time of crisis. These results motivate us to upgrade the model of credit risk by including earlier values of profitability. Results indicate that two or three years are necessary for growth of profitability to increase credit risk. However, the long-run relationship between foreign banks’ profitability and credit risk is positive, for both indicators. For the domestic bank, the longrun effect of ROA on credit risk is positive, while for ROE this relationship is negative.
Keywords: credit risk, profitability, CEE countries, foreign bank
Classification-JEL: C23, G21, G32, P34
Pages: 573-587
Volume: 2018
Issue: 5
Year: 2018
File-URL: http://www.vse.cz/pep/download.php?jnl=pep&pdf=666.pdf
File-URL: http://www.vse.cz/pep/666
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Template-Type: ReDIF-Article 1.0
Author-Name: Lukasz Kurowski
Author-Name: Pawel Smaga
Title: Monetary Policy and Cyclical Systemic Risk - Friends or Foes?
Abstract: We explore the procyclicality of monetary policy decisions towards the financial cycle in the 1995−2015 period on a sample of seven central banks. Using the real interest rate gap and the credit-to-GDP gap, we provide evidence that monetary policy procyclicality is a materiál issue occurring in more than 50% of observations in expansionary phase of financial cycle. It indicates that the central bank faces conflicting objectives of price and financial stability (as proxied by cyclical systemic risk). Nevertheless, taking into consideration all financial cycle phases, complementariness between price and financial stability is more frequent than cases with conflicting objectives in the UK, Euro Area and the US. The occurrence of potential procyclical behaviour of monetary policy (especially in the financial cycle expansion phases) underlines the need for proactive macroprudential policy.
Keywords: monetary policy, financial stability, macroprudential policy, financial cycle
Classification-JEL: E52, E58, E61, G18
Pages: 522-540
Volume: 2018
Issue: 5
Year: 2018
File-URL: http://www.vse.cz/pep/download.php?jnl=pep&pdf=667.pdf
File-URL: http://www.vse.cz/pep/667
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Template-Type: ReDIF-Article 1.0
Author-Name: Michala Moravcová
Title: The Impact of German Macroeconomic News on Emerging European Forex Markets
Abstract: This paper analyses the impact of German macroeconomic news announcements and ECB meeting days on the conditional volatility of the Czech, Polish, and Hungarian Foreign Exchange markets as proxied by CZK/EUR, PLN/EUR, and HUF/EUR exchange rate returns over six years (2010-2015). A currency intervention period (11/2013-2015) in the Czech Republic is examined separately. EGARCH-type models with normal and Student’s t-distributions are employed. The comprehensive analysis shows the following results. (i) The IFO index, Factory Orders increase and the PMI index from the Service Sector, the labour market data decrease conditional volatility of PLN/EUR. (ii) The IFO index and Industrial Production increase conditional volatility of HUF/EUR on the day of the announcement. (iii) Data from the labour market has a calming effect on CZK/ EUR after the central bank launched currency interventions. (iv) IFO index increases and the PMI index from the Manufacturing Sector decreases conditional volatility of CZK/EUR before currency interventions were introduced (2010-11/2013).
Keywords: exchange rate volatility, heteroscedasticity, EGARCH, macroeconomic news announcements
Classification-JEL: C52, F31, F36, G15, P59
Pages: 505-521
Volume: 2018
Issue: 5
Year: 2018
File-URL: http://www.vse.cz/pep/download.php?jnl=pep&pdf=670.pdf
File-URL: http://www.vse.cz/pep/670
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Template-Type: ReDIF-Article 1.0
Author-Name: Fuhmei Wang
Title: The Influences of Fiscal Decentralization on Economic Performance: Empirical Evidence from OECD Countries
Abstract: Based on OECD country experiences over the period from 1990 to 2015, this research rigorously investigates: (1) how fiscal autonomy effects economic growth; (2) whether there is an optimal level of decentralization; and (3) whether and how other factors influence economic performance in a decentralized economy. We find that revenue decentralization does not affect economic performance. The expenditure decentralization dividend in terms of an enhanced economic growth rate can be achieved only when the initial share of local government expenditure is smaller than the growth-maximizing degree through along with tax collection and trade openness.
Keywords: economic growth, decentralization dividend, OECD country experiences
Classification-JEL: C33, H77, O47
Pages: 606-618
Volume: 2018
Issue: 5
Year: 2018
File-URL: http://www.vse.cz/pep/download.php?jnl=pep&pdf=674.pdf
File-URL: http://www.vse.cz/pep/674
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Handle: RePEc:prg:jnlpep:v:2018:y:2018:i:5:id:674:p:606-618
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Template-Type: ReDIF-Article 1.0
Author-Name: Aysa Ipek Erdogan
Title: Cash Flow Sensitivities of Financial Decisions: Evidence from an Emerging Market
Abstract: This study investigates the sensitivity of financing, investment, and distribution decisions to changes in operating cash flow, and whether these sensitivities depend on whether or not firms are financially constrained. Using a sample of 2,650 firm-years of Turkish firms for the period 1996 to 2013, we find that an increase in the short-term cash flows is associated with an increase in cash balances, irrespective of whether or not firms are financially constrained. However, unconstrained firms hold a larger cash balance than constrained firms do. Dividends are positively related to the short-term cash flows of both types of firms. Investments are not sensitive to cash flow for either type of firm. An increase in their short-term cash flow induces the financially constrained firms to reduce debt financing, but makes the unconstrained firms increase their debt financing and reduce equity financing. Although firms in general prefer to use part of the saved cash in the long term, they do not deplete their cash savings. Constrained firms resort to debt financing in response to an increase in their long-term cash flow.
Keywords: capital structure, investment, distribution decisions, financing decisions, financial constraints, cash flow
Classification-JEL: C30, G30, G31, G35
Pages: 554-572
Volume: 2018
Issue: 5
Year: 2018
File-URL: http://www.vse.cz/pep/download.php?jnl=pep&pdf=675.pdf
File-URL: http://www.vse.cz/pep/675
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Template-Type: ReDIF-Article 1.0
Author-Name: Yiming Chang
Author-Name: Shangmei Zhao
Author-Name: Haijun Yang
Author-Name: Jiang He
Author-Name: Fei Hu
Title: Determinants of Deposit Insurance Coverage
Abstract: On a comprehensive duration data set covering 189 countries from 1960 to 2015, we employ a Heckman two-step selection model to investigate determinants of deposit insurance coverage. We find that macroeconomic status, bank structure and regulatory, political institution, legal system and deposit insurance design characteristics have a significant effect on deposit insurance coverage. Moreover, empirical results show that the impact factors are different between developing and developed countries, especially the design characteristics. Specifically, for developing countries, the scheme with the Foreign currency will support a higher coverage. And for developed countries, the Interbank deposits will lead to a lower coverage, but the No coinsurance shows the opposite effect. It is noteworthy that both the Payouts and Backstop from government influence the coverage setting conversely in different samples, which implies that there may be higher banks’ risk-taking incentives in developing countries after setting up explicit deposit insurance system.
Keywords: deposit insurance coverage, political economics, private interest theory, public interest theory, Heckman two-step model
Classification-JEL: G21, G22
Pages: 588-605
Volume: 2018
Issue: 5
Year: 2018
File-URL: http://www.vse.cz/pep/download.php?jnl=pep&pdf=676.pdf
File-URL: http://www.vse.cz/pep/676
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Handle: RePEc:prg:jnlpep:v:2018:y:2018:i:5:id:676:p:588-605
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