20/12/2022 - Management Science
Our students currently have access to Management Science, a world leading journal devoted to quantitative analysis of organizational, managerial, group and individual decision making. The journal covers all aspects of management related to strategy, entrepreneurship, innovation, technology, and organizations as well as all functional areas of business, such as accounting, finance, information systems, marketing, and operations. The articles are primarily based on computer science, economics, mathematics, psychology, sociology, and statistics. In Finance, it ranks among top 5 journals globally. Among others, Management Science offers research in behavioral economics, decision theory, financial markets, corporate finance and other fields of interests in economics and finance.
10/11/2022 - Congratulations to UNCE Doctoral Fellows
We congratulate the following 5 doctoral candidates for receiving research fellowship from the Center for Advanced Economic Studies (HUM/035, a project of excellent research at Charles University, organized jointly by IES and CERGE):
The fellowship is provided for 12 months and serves to support doctoral candidates who work on ambitious research projects and prepare themselves for the international academic job market. The committee deciding on the fellowships consists of Director for Research, Director of Graduate Studies, Director of IES and Head of UNCE Team.
12/10/2022 - Research seminar: Radu Tunaru (University of Sussex)
We would like to invite you to a research seminar by Radu Tunaru, Professor of Finance and Risk Management at the University of Sussex Business School.
Paper: Forward Equity Risk Premium and Its Economic Implications
Authors: Radu Tunaru (University of Sussex)
Abstract: The forward equity risk premium (FERP) is a function of investors' risk aversion and the forward-looking volatility, skewness, and kurtosis of market returns. When estimated from a stochastic volatility model with a mean-reversion variance process, the monthly FERP for the U.S. equity market adequately reflects market conditions and it is always positive. We present evidence that changes in the FERP can predict the growth of real economic activity. The cumulative market excess returns over a period of up to six months are negatively (positively) related to the FERP observed at the beginning of the period in a bear (bull) market. This seesaw effect of FERP on future excess returns has not been discussed before in the asset pricing literature.
The seminar will take place on Thursday, October 20, in Room 314 since 17:00.
The paper is available here.
27/09/2022 - Research seminar: Claudia Curi (Free University of Bozen-Bolzano)
We would like to invite you to a research seminar by Claudia Curi, Associate Professor of Finance at Free University of Bozen-Bolzano.
Paper: Does Digital Finance matter? Evidence from the impact of COVID19 shock on bank stocks
Authors: Claudia Curi (Free University of Bolzano-Bozen), Ana Lozano-Vivas (University of Malaga), Maurizio Murgia (Free University of Bolzano-Bozen)
Abstract: The aim of the present paper is to analyze whether digital finance matter by exploiting the unique event of COVID19 pandemic global shock as a natural experiment to size stock market reaction. The analysis is applied for a sample 361 listed banks in OECD countries. We proxy the degree of digitalization with the number of M&As undertaken by banks in the last 10 years, assuming that a bank is more digital if it has acquired specialized firms in the Technology and Fintech sectors.We gather information of M&As in last 10 years, and we distinguish between Tech M&A (57) and non-tech M&A (304). Our findings support the hypothesis that “advanced digital bank stocks” have been positively affected by their technology strategy. That is, advanced digital bank stocks have been relatively “winners” during the time of a worldwide collapse of stock markets.
The seminar will take place on Monday, October 3, in Room 105 since 12:30.
13/09/2022 - JEM231 Mergers and Acquisitions (Jana Fidrmuc, Warwick)
We invite students to a special 3-day course on mergers and acquisitions taught by Jana Fidrmuc from Warwick Business School, University of Warwick. Jana Fidrmuc is Associate Professor in Finance, with a long experience in teaching corporate finance, mergers and acquisitions, and corporate control. She has published in leading journals in finance, including Journal of Finance and Review of Finance.
This course will introduce the basic issues in mergers and acquisitions (M&As) including value creation in M&As, announcement abnormal returns, merger waves, and takeover defences. Students will also work on a case study concerning a deal valuation.
The course will take place September 19-21, 2022, from 9:00 to 12:30 each day.
The course is available to both Masters and upper-level Bachelors. Basic knowledge of Excel and basics of financial economics is required. This 3-credit course will count into Winter term 22/23.
More details are on the course webpage.
06/06/2022 - Research seminar: Ying Chen (National University of Singapore)
We would like to invite you to a research seminar by Ying Chen, Associate Professor in Department of Mathematics and Joint Appointee in Risk Management Institute, National University of Singapore (NUS).
Paper: Policy Effectiveness on the Global COVID-19 Pandemic and Unemployment Outcomes: A Large Mixed Frequency Spatial Approach
Authors: Xiaoyi Han (Xiamen University), Yanli Zhu (Hohai University), Yijiong Zhang (NUS), Ying Chen (NUS)
Abstract: We propose a mixed frequency spatial VAR (MF-SVAR) modeling framework to measure the effectiveness of policies conditional on the spillover and diffusion effects of the global pandemic and unemployment. We study the effects of two aspects of policy effectiveness, namely policy start date and policy timeliness, from a spatio-temporal perspective. The spatial panel data contain weekly new case growth rates and monthly unemployment rate changes for 68 countries across six continents at mixed frequencies from January 2020 to August 2021. We find that government policies have a significant impact on the growth of new cases, but only a marginal effect on the change in unemployment rates. A policy's start date is critical for its effectiveness. In terms of both immediate impact on the near term and total impact over the following four weeks, starting a policy in the 4th week of a month is most effective at reducing the growth of new cases. At the same time, starting in the 2nd or 3rd week is counterproductive for a one-time policy start date. In addition, our estimates suggest that the spillover and diffusion effects are much stronger than a country's temporal effect during a global pandemic, both for new case growth and changes in unemployment. We also find that new case growth influences changes in unemployment, but not vice versa. Counterfactual experiments provide further evidence of policy effectiveness in various scenarios and also reveal the main risk-vulnerable and risk-spillover countries.
The seminar will take place on Thursday, June 9, in Room 105 since 12:30.
The paper is available here.
16/05/2022 - JEM233 FinTech and Blockchain (open for Bachelors and Masters)
On May 24-26, Prof. Gonul Colak (University of Sussex, Hanken School of Economics) will give a short course on recent developments in the area of financial innovation such as Blockchain, digital currencies, peer-to-peer method of identifying ownership, and smart contracts.
It is expected that participating students have basic knowledge of computer technologies, financial institutions, accounting, and business law. As such, the course is suitable for bachelor and master students.
For details, follow the course webpage.
07/04/2022 - Consulting hours with Visiting Professor Anna Kornyliuk (KNEU and KSE, Kyiv)
This spring, we are happy to host Anna Kornyliuk (Kyiv National Economic University) as a Visiting Professor. Anna Kornyliuk is an expert on corporate finance and public finance, especially on financial modeling and financial management in both companies and public sector. She has vast experience with giving MA and BA classes in financial analysis. For her students, she has recently developed a course in Financial Modelling in cooperation with Ernst&Young Ukraine. She has also recently worked as Analyst at prestigious Kyiv School of Economics (KSE).
Professor Kornyliuk is ready to give consultations on topics in corporate finance and public finance to our students. This includes:
- thesis topics advice
- discussion on class projects
- general advice on career in corporate finance
- research ideas in corporate finance and public finance
Prof. Kornyliuk will be available on Tuesdays 16-18 in Room 206a. (Enter classroom 206 and go to the office room on the left.) We recommend to agree on each appointment by email: anna.kornelli AT gmail.com.
The first consultation will take place on the 5th of April.
28/03/2022 - JEM232 Financial Crisis and Risk Management (D. Tsomocos, Oxford)
We are inviting students to a special course by Dimitrios Tsomocos, Professor of Financial Economics at the University of Oxford. The course will develop the analytical tools necessary to understand crisis prevention and management, and risk management. The course will be held between April 11th to April 13th. For details, visit the course homepage.
03/03/2022 - A short information for students from Ukraine
Dear students from Ukraine, you may expect an email to arrive that explains how we are willing to adjust your study requirements to your individual needs. If you don't receive an email in coming days, please contact coordinator (or program director) of your program.
In particular, if you are from Ukraine but hold a citizenship of a different country (e.g., Czech Republic), and feel affected by the invasion, let the coordinator (or program director) know. We cannot identify you in our lists otherwise.
17/02/2021 - Online classes and Final Exams in Spring 2021
All classes and examinations will be online in Spring 2021.
Only if the pandemic situation is relatively favorable (in the current national epidemiological system, the pandemic level must be 1 or 2 out of maximum 5), lecturers of smaller classes (enrollment up to 50 students) are required to arrange once a month a consulting session for those students want to be in touch with the lecturer. This session will be voluntary.
The form of the Final State Exams will be announced by May 5 (for the exams in June) and by July 28 (for the exams in September). We can also guarantee that the exam will be online for all students who will demonstrate significant mobility or health restrictions (e.g., quarantine or a long-term stay abroad).
13/01/2021 - Prof. Ladislav Krištoufek among the top 10 Czech scientists by citation impact
In the recently published list of the global top 2% of scientists in their respective fields covered by the Scopus database by citation impact, compiled by professor John P.A. Ioannidis from Stanford University in cooperation with Elsevier and SciTech Strategies, our colleague, prof. Ladislav Krištoufek has taken the 8th position among the Czech scientists and 5028th place globally.
Congratulations on the achievement!
01/12/2020 - Tomáš Havránek and Petr Janský got the new grants from GA ČR
We are happy to announce that The Czech Science Foundation (GAČR) has decided to grant its financial support to our colleagues:
- Associate Professor Tomáš Havránek: Meta-Analyses of Returns on Financial Investment Management Strategies
- Associate Professor Petr Janský: Effects of corporate transparency reforms
thus enabling them to focus on their research in the next three years.
The evaluation of the standard project proposals in The Czech Science Foundation (GAČR) has three rounds and involves a total of over 400 experts.
Each project proposal was evaluated by at least four independent experts for the given field of study.
More than half of the best project proposals were subsequently assessed by foreign evaluators - more than 99% of the projects have at least two foreign reports available.
Congratulations on being awarded this prestigious grant support!
30/11/2020 - Job talk: "On the Effects of Financial Secrecy" (Miroslav Palanský, PhD CUNI)
We invite all faculty members and students to a job talk presentation by Miroslav Palanský, a PhD student at Charles University, currently also a data scientist at Tax Justice Network.
Title: On the Effects of Financial Secrecy
Authors: Petr Janský (CUNI), Tereza Palanská (CUNI), Miroslav Palanský (CUNI, TJN)
Secrecy jurisdictions allow residents of other countries to hide their identity and thereby escape their home legislation. Recent leaks of documents from offshore legal firms have underlined the harmful effects of financial secrecy in facilitating corruption, tax evasion, and money laundering. Progress towards financial transparency has been recently made on several fronts – most markedly in the areas of automatic information exchange and beneficial ownership registries. In this paper, we use a newly compiled panel dataset of financial secrecy to examine the effects of its heterogeneous development across countries. Using a trilateral setting, we hypothesize that investors will react to the changing landscape of financial secrecy by relocating their assets to jurisdictions that remain, or newly become, more financially secretive relative to other countries. We indeed find evidence of a significant positive effect of a change in relative secrecy on the value of third-country investors’ assets. Importantly and in line with our theoretical predictions, we find that the elasticity is higher the higher is the change in relative secrecy, pointing to the heterogeneous benefits that different investors gain from using financial secrecy.
The paper is available here.
The talk starts on Wednesday, December 9, at 8:30 in Google Meet.
Everyone is welcome to attend.
02/11/2020 - Petr Janský has received the prestigious GA ČR JUNIOR STAR grant
The Czech Science Foundation (GAČR) has decided to support the project "Taxing multinational corporations in the globalised world (CORPTAX)" lead by our colleague, Associate Professor Petr Janský.
Congratulations on being awarded this prestigious grant!
The JUNIOR STAR grants aim to fund and support excellent young scientists in their early careers, bring them the opportunity to carry out their own research and contribute to a significant development in their fields of science. When defining the conditions, the Czech Science Foundations has also taken inspiration from conditions set out for European Research Council (ERC) projects.
Apart from Petr Janský, two more IES alumni were awarded the grant, namely Vítězslav Titl and Josef Stráský (currently also teaching Mathematical Methods in Macroeconomics at IES).
We wish a successful research to all selected JUNIOR STAR scientists!
07/09/2020 - Prof. Roman Horváth appointed into Academia Europaea
Prof. Roman Horváth has been elected into Academia Europaea, a European-wide scientific organization that seeks to advance and promote excellence in scholarship. In Economics, only two economists from the Czech Republic have been elected to date: Prof. Štěpán Jurajda (CERGE-EI) and prof. Roman Horváth (IES).
Invitations are made only after peer group nomination of the existing members. Election is confirmed by the Council of the Academia.
Congratulations to our colleague Prof. Horváth!
29/03/2020 - Our students received Roger Noll Prize
Our student Jan Liehman has received the 2019 Roger Noll Prize for his undergraduate thesis in sports economics. The purpose of the Noll Prize is to recognize and encourage empirical undergraduate scholarship in sports economics.
The winning thesis Do National Hockey League Players Perform Better During Their Contract Years? was supervised by our colleague Matěj Opatrný.
In 2018, the winner of the prize was our student Jakub Linhart. His thesis US Collegiate Football Analysis: Team’s Success as an Indicator of Academic Performance was completed under supervision of dr. Radek Janhuba.
Congratulations to both winners!
12/02/2020 - Public talk: Kamil Čermák, President, Czech Institute of Directors
We invite you all to a lecture and discussion with Kamil Čermák, President of the Czech Institute of Directors and CEO at ČEZ ESCO.
The talk is part of JEM100 Corporate Governance course and will discuss, among others, joint activities of the Czech Institute of Directors and Corporate Governance (CG) Institute.
Kamil Čermák is CEO and Chairman of the Board of Directors at ČEZ ESCO since 2016. He was Chairman and Acting CEO at Economia a.s., managing the acquisition of Centrum Holdings and merger with Economia. He was also CEO of BM Management, a private equity company.
The talk takes place in Room 314 on February 24, 18:30 pm.
07/02/2020 - 5 UNCE Research Fellowships awarded
We congratulate the following PhD candidates for receiving UNCE research fellowships for the year 2020:
- Nino Buliskeria, Martin Hronec, Josef Kurka, Matěj Nevrla, Miroslav Palanský.
The felllowships are using funds from a joint CERGE-IES University Center of Excellence project at Charles University.
06/02/2020 - Prof. Horváth about Basel III and SME financing on the World Bank blog
In a column for the World Bank blog, prof. Roman Horváth discusses the effects of G20 financial reforms on the financing of small and medium-size enterprises (SMEs).
The column introduces his recent World Bank Policy Paper, where he and his colleagues examine whether Basel III capital requirements, the first and most prominent regulation of the Basel III package, had any short- to medium-term effects on SME access to finance in emerging markets and developing economies.
The policy implications of the discussed study are threefold.
- Well-capitalized and provisioned banking systems could be more successful in improving SME access to finance and, in turn, cushion any short-term, moderately negative effect of Basel III implementation on SME financing.
- Successful macroprudential management that helps avoid financial crises can help advance SME access to financing, by ensuring a stable and risk-tolerant environment in which banks continue providing credit and financially including SMEs.
- Improving contract enforcement could help avoid situations in which banks preemptively restrict lending when faced with growing risk and uncertainty.
See also: Fisera, B., R. Horvath, M. Melecky. 2019. “Basel III Implementation and SME Financing: Evidence for Emerging Markets and Developing Economies.” Policy Research working paper; no. WPS 9069. Washington, D.C.: World Bank Group.
29/01/2020 - Job talk on rising industry concentration: Matěj Bajgar (OECD, PhD Oxford)
We invite all faculty members and students to a job talk presentation by Matěj Bajgar, a graduate of Oxford University, currently an economist at OECD.
Supersize Me: Intangibles and Industry Concentration
Matej Bajgar (OECD), Chiara Criscuolo (OECD, LSE), Jonathan Timmis (IFC - World Bank)
The paper presents new evidence on the growing scale of big businesses in the United States, Japan and Europe. It documents a rising industry concentration across the majority of countries and sectors over the period 2002 to 2014. Industry-level and firm-level econometric analysis indicates that intangibles, particularly innovation, R&D and patents, play a key role in enabling large firms to scale up and increase their market shares. The role of intangibles appears to be stronger in more globalised industries.
The paper is available upon request. Please write to Martin Gregor if interested in the paper in advance.
The talk starts on Friday, February 14, at 10 am in Room 105.
Everyone is welcome to attend.
15/01/2020 - Report on research at IES 2014-2018
In the attached report, you may read a detailed summary of our research activities in the period 2014-2018. The report lists both achievements as well as discussion of our challenges and limitations.
The report is part of a comprehensive research assessment exercise at Charles University which aims to evaluate departments and fields in terms of their research outputs.
03/12/2019 - The World Bank published a policy paper about Basel III by Prof. Roman Horváth
The World Bank has released a paper "Basel III Implementation and SME Financing: Evidence for Emerging Markets and Developing Economies" which has been coauthored by our colleague, Prof. Roman Horváth.
The paper examines the effect of Basel III implementation on the access to finance of small and medium-size enterprises in 32 emerging markets and developing economies. Analyzing rich, repeated cross-sectional data and a panel of matched firm-bank data in a difference-in-differences setting with sample selection adjustment, the authors find a short-term, moderately negative effect of Basel III on small and medium-size enterprises’ access to financing.
The paper is a joint work with Boris Fišera (University of Economics, Bratislava & Charles University, Prague), and Martin Melecký (World Bank).
This paper is a product of the Finance, Competitiveness and Innovation Global Practice at the World Bank. It is part of a larger effort by the World Bank to provide open access to its research and make a contribution to development policy discussions around the world.
22/10/2019 - Four doctoral students received scholarships from the Donatio Prize
Professor Kočenda has awarded four talented doctoral students with special doctoral scholarships. The scholarships are funded by a major research award, called Donatio Universitatis Carolinae, that Prof. Kočenda received from the Rector of Charles University in Spring 2019.
From applications of the first-year students, the following four students with most promising research plans were awarded: Emma Haas, Natalia Lee, Josef Bajzík, and Marek Šedivý.
The support is to help them to progress with their research at fast and solid rate right from the beginning of their studies. Further support is expected for a group of first-year students in the next academic year.
We thank Prof. Kočenda for the award and congratulate the awardees.
24/09/2019 - JEM208 Health Econometrics
We are opening a new Master's course in health econometrics. The course will be given by Dr. Paola Bertoli, an experienced health economist and a new faculty member at IES.
The course introduces a number of microeconometric methods designed to study the behavior of economic agents with a specific focus on topics in applied health economics. For each model, the presentation of theoretical issues will be complemented by critical discussion and applications to a selection of case studies from recent applied health economics research.
The course can be combined with the following closely related courses (all held in Spring):
- JEM206 - Introduction into Health Economics
- JEM007 - Applied Microeconometrics
- JEM203 - Public Economics
05/02/2019 - Prof. Roman Horváth appointed Associate Editor of the Journal of Financial Stability
As of 2019, Professor Roman Horvath has been appointed Associate Editor of the Journal of Financial Stability. The Journal of Financial Stability is a leading outlet on global financial stability issues. It provides an international forum for rigorous theoretical and empirical macro and micro economic and financial analysis of the causes, management, resolution and preventions of financial crises, including banking, securities market, payments and currency crises.
According to the Article Influence Score of the Web of Science, the journal belongs among the top third of journals in Economics and Finance.
08/01/2019 - JEB141 Introduction to Market Design
We are inviting all students to a special course by Jakub Kastl, Professor of Economics at Princeton University. The course on the organization of markets will study matching algorithms: how to match doctors to hospitals, how to design an exchange for organ transplants, how to match students to schools or dormitories etc. The course will run in the last week of January 2019. For details, visit the course homepage.
20/12/2018 - Season's Greetings
We wish you a Merry Christmas and all the best in the new year 2019!
11/12/2018 - Join catch-up lessons market
If you demand catch-up lessons for courses at the IES or if you are willing to provide catch-up lessons, join our informal market with catch-up lessons.
The conditions of provision of the lessons and the compensation are fully upon agreement of the students and instructors.
For details, see the webpage.
03/12/2018 - This week: Practical Applications of Industrial Organization (Vitaly Pruzhansky, RBB Economics)
We invite students for a presentation “Horizontal Mergers and Competition: Practical Application of IO concepts” by Vitaly Pruzhansky (RBB Economics). The main goal of the presentation is to show how the standard microeconomics/IO frameworks can be applied to the area of competition policy.
The students will also have the opportunity to ask about RBB Economics, that specialises on the economics of anti-trust. RBB Economics is a leading economic consultancy specialising on the economics of competition and regulation with over 100 professional staff based in Europe (Brussels, London, Madrid, Stockholm, Dusseldorf, Paris and The Hague) as well as in South Africa and Australia. The team includes economists and econometricians who can work in a range of European languages.
The presentation is intended primarily for more senior students (4th year or more) but is open to anyone interested in the applications of game theory, applied microeconomics, and industrial organization.
The event takes place at CERGE-EI on Wednesday, December 5, from 14:00 in Room 3.
12/11/2018 - Research seminar: Vasileios Pappas (University of Kent)
We would like to invite you to a research seminar by Dr. Vasileios Pappas, a Senior Lecturer in Finance at Kent Business School, University of Kent.
His presentation "Efficiency convergence in Islamic and conventional banks" will take place during the ELBF seminar time slot: Tuesday, November 13, from 18:30 in Room 206.
The paper is available here.
12/11/2018 - Prof. Roman Horvath co-edited a special issue of Journal of Economic Policy Reform
Journal of Economic Policy Reform has just released a special issue about "European Integration in the Aftermath of the Debt Crisis". Professor Roman Horvath served as a co-editor jointly with Christopher A. Hartwell (Bournemouth University), Elias Soukiazis (Coimbra), and Eva Muchová (EUBA Bratislava).
Journal of Economic Policy Reform (published by Taylor & Francis) focuses on papers that offer new empirical or theoretical insight into pressing economic policy issues. Of particular interest are papers that deal with policy working across more than one country, such as a region, a group of countries or internationally. The journal is listed in Web of Science with the recent AIS score 0.265.
31/10/2018 - We contributed to the European Commission report on vaccination
The European Commission has published on its website the report on organization and delivery of vaccination services in the European Union. Our colleague Lucie Bryndová is the author of the Czech Republic country fiche which has been published both as a free-standing document and as an appendix to the overview report.
The study was prepared by the European Observatory on Health Systems and Policies which is our partner in the platform Health Systems and Policy Monitor. The report was edited by Bernd Rechel, Erica Richardson, and Professor Martin McKee from the London School of Hygiene and Tropical Medicine.
The full report is available here.
05/10/2018 - Job talk: Monetary Policy and Household Leverage (Mathias Klein, DIW Berlin)
We would like to invite you to a research seminar (job talk) by Mathias Klein, a Post-Doctoral Researcher at the DIW Berlin.
Paper: Monetary Policy and Household (De-)leveraging
Authors: Martin Harding (DIW Berlin and FU Berlin) and Mathias Klein (DIW Berlin)
Abstract: This study investigates the interrelation between the household leverage cycle, collateral constraints and monetary policy. Using data on the U.S. economy, we find that a contractionary monetary policy shock leads to a large and significant fall in economic activity during periods of household de-leveraging. In contrast, monetary policy shocks only have small and insignificant effects during a household leveraging state. These results are robust to alternative definitions of leveraging and de-leveraging periods, different ways of identifying monetary policy shocks, controlling for the state of the business cycle and controlling for the level of households debt. To provide a structural interpretation for these empirical findings, we estimate a monetary DSGE model with financial frictions and occasionally binding collateral constraints. The model estimates reveal that household de-leveraging periods in the data mainly coincide with periods of binding collateral constraints whereas constraints mainly turn slack during leveraging episodes. Moreover, the model produces an amplification of monetary policy shocks that is quantitatively comparable to our empirical estimates. These findings indicate that the state-dependent tightness of collateral constraints accounts for the asymmetric effects of monetary policy across the household leverage cycle as found in the data.
The seminar will take place on Tuesday, October 9, in Room 601 since 18:30.
01/10/2018 - Job talk: Financial constraints and the Swiss franc peg (Julien Pinter, Paris I Sorbonne)
We would like to invite you to a research seminar (job talk) by Julien Pinter, a Researcher in Monetary Economics and a PhD graduate from Université Paris 1 Panthéon-Sorbonne.
Topic: How can financial constraints force a central bank to exit a currency peg? An application to the Swiss franc peg
Abstract: Recent research recognize that two balance sheet constraints can be of particular matter for an independent central bank: central bank equity cannot go negative without any political and credibility risk, and central banks should avoid going insolvent if they want to keep control on inflation. In this paper we analyze how such constraints can weigh on a central bank decision to exit a temporary currency peg, such as the one put in place in Switzerland between 2011 and 2015. We show that negative equity or insolvency concerns can force a central bank to exit such a peg earlier than it would have done absent such concerns. We detail under which conditions such a reasoning can apply for a traditional inflation-averse central bank. We then build an exchange market pressure model fitting with nowadays peg reality to forecast both the central bank future bond holdings under a peg as well as its future losses. Applying our model to the Swiss franc peg, we show that negative equity concerns could have motivated the Swiss central bank early and puzzling peg exit in 2015, thereby providing a potential explanation for the ”Frankenshock”. ECB QE policy appears as a potential key driver of this decision. The paper adds to the literature on the limits of foreign exchange interventions for the particular case of central banks fighting appreciation pressures, a greatly under-researched area.
The seminar will take place on Wednesday, October 3, in Room 601 since 18:30.
17/09/2018 - Czech Journal of Economics and Finance now ranked by CNRS in France
The French CNRS (The National Center for Scientific Research) has evaluated Czech Journal of Economics and Finance (known also as Finance a úvěr) as a internationally relevant outlet and included the journal in the official list of target journals for French academia. Since July 2018, the journal is included in the category 4 in the field Macroeconomics, international and monetary economics.
Czech Journal of Economics and Finance is a journal that dates back to 1951. Currently, it is published by Faculty of Social Sciences at Charles University and is edited by Prof. Roman Horvath. The journal is focused mainly on monetary economics, public finance, financial economics, and international economics and is covered in Web of Knowledge (Business and Finance).
We congratulate the editorial team to this success!
10/09/2018 - JEB146 Elementary Chinese and JEB150 Intermediate Chinese
Like in the previous semester, we are opening free courses of Chinese for economists, now both at elementary and intermediate levels.
Both courses are taught by Dianju Wang, a lecturer with an experience from teaching at the University of Wisconsin.
JEB146 Elementary Chinese: This course introduces and provides the basic training of elementary Mandarin pronunciation, grammar, reading and orthography (in both Romanized and character forms) to beginners with no or little prior exposure to the language. It emphasizes on the ability to communicate and function accurately and appropriately in modern Chinese.
JEB150 Intermediate Chinese: This is the first semester course designed for students who have finished elementary Chinese learning, or who have a similar learning background (having a good knowledge of Chinese pinyin, character writing, and topics like greeting; family, etc.). The course aims to further develop the learners’ ability to communicate in a wide range of Chinese contexts and appreciation of Chinese culture. It emphasizes on the ability to communicate and function accurately and appropriately in modern Chinese.
Students with high Chinese language proficiency are not eligible for the courses.
27/08/2018 - JEB145 Global Financial Crisis: Responses and Real Effects (2 credits)
In the first week of November (November 5-7, 2018), we are opening a new compact course JEB145 Global Financial Crisis: Responses and Real Effects. The course will be given by Nuria Suárez, Assistant Professor of Finance at the Universidad Autónoma de Madrid. Professor Suarez is an expert on banking, financial regulation, and corporate finance. She has published, among others, in Journal of Financial Stability, Journal of Banking and Finance, Journal of Corporate Finance, and Journal of International Money and Finance.
For undergraduate students, this course is complementary to a new undergraduate course on financial crises, taught by two Moody's economists, Martin Janíčko and Kamil Kovář. The course JEB152 Recent Financial Crises: Theory and Evidence describes two recent financial crises and introduces theoretical models and evidence that explain the crises. Classes of JEB145 will take place in the week starting November 5. To facilitate visits to both course, classes of JEB152 will not be given in that particular week.
04/05/2018 - JEM140 Quantitative Multivariate Finance
We invite students to the special course by Martin Burda, Associate Professor of Economics at the University of Toronto. The primary objective of the course is to provide students with a solid theoretical and practical foundation for the interpretation of empirical evidence in financial economics in the multivariate setting. The course will cover introduction to multivariate analysis with a specific focus on models of stochastic volatility (GARCH, SV). The course will run in the week May 21-25, with a detailed schedule announced later. Enrolment to the course is allowed until the mid of May.
11/04/2018 - Job Talk: Generalized Disappointment Aversion, Learning, and Asset Prices (Mykola Babiak, CERGE-EI)
We invite all faculty members and students to a research seminar by Mykola Babiak (CERGE-EI) who is interested in a position of Assistant Professor in Finance at IES. The seminar is on Wednesday, April 18, at 5 pm in Room 601.
Topic: Generalized Disappointment Aversion, Learning, and Asset Prices
Abstract: This paper provides a generalized disappointment aversion (GDA) interpretation of the variance and skew risk premia in equity returns and the volatility skew in index option prices. The key ingredients are Bayesian learning about the consumption growth rate and the investor's tail aversion induced by GDA preferences which amplify the impact of consumption shocks. This model with disappointment risk reproduces salient properties of the variance and skew risk premia and generates a realistic volatility skew implied by index options, while simultaneously matching the mean and volatility of risk-free rate and equity returns, and the level of the price-dividend ratio.
The paper is available here.