Interakce a dynamika finančního systému v kontextu reálného ekonomického vývoje

Abstract

The aim of this doctoral thesis is the analysis of systemic risk primarily in cross-sectional dimension and secondarily in the time dimension. Cross-sectional dimension is analyzed by studying mechanisms of contagion in the interbank market and across sectors of the economy. The time dimension, which contributes to the creation and materialization of systemic risk during the financial cycle, is examined through the development of prices in asset markets and their deviations from fundamental values. In the dissertation are theoretically and empirically examined effects resulting from the mutual financial exposure among banks in the interbank system and between sectors of the economy, both for the Czech Republic. The simulations demonstrated that the failure of systemically important institutions will happen rather in case of extreme situation and negative consequences for the system as a whole will become significant. The simulations also saw a decline of non-system institutions, but this was less negative consequences for the system as a whole. Overall, banks connected through interbank relations are resistant bankruptcies caused by the spread of contagion. Also a test of the resilience of the financial system through changes in prices of securities was used. The changes in price of securities have brought greater dynamic into the model of contagion. Also the reaction of economic sectors on negative shock to instruments representing intersectoral linkages was modelled. Simulations have shown that the greatest loss due to a negative shock suffered monetary financial institutions that were the source of shock and non-residents, since they own part of the Czech monetary and financial institutions. The third highest loss suffered the household sector which fully absorbed the loss.