Volatility and development of derivative's position among Czech banks

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F47813059%3A19520%2F13%3A%230002161" target="_blank" >RIV/47813059:19520/13:#0002161 - isvavai.cz</a>

Výsledek na webu

<a href="http://www.ekf.vsb.cz/frpfi/cs/rocnik-2013/sbornik-prispevku/" target="_blank" >http://www.ekf.vsb.cz/frpfi/cs/rocnik-2013/sbornik-prispevku/</a>

DOI - Digital Object Identifier

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Jazyk výsledku

angličtina

Název v původním jazyce

Volatility and development of derivative's position among Czech banks

Popis výsledku v původním jazyce

Current study has focused on change of financial derivatives position within balance sheet values of the Czech banking sector. The research is empirically made by using GARCH method with Generalized Error Distribution (GED) parameter. For estimation it is also used dummy variables due to development of derivatives position to positive and negative values. The author has obtained monthly data from statistical database of the Czech National Bank. We can compare development of Czech market interest rates as well as selected exchange rates' development and their impacts on the derivatives position of Czech banks' development. Moreover, from estimation results we can see changes and compare situation in two sub-periods, before the global financial crisis and sub-period within the crisis. Author argues that then it is possible make some policy implications for Czech banks from this paper.

Název v anglickém jazyce

Volatility and development of derivative's position among Czech banks

Popis výsledku anglicky

Current study has focused on change of financial derivatives position within balance sheet values of the Czech banking sector. The research is empirically made by using GARCH method with Generalized Error Distribution (GED) parameter. For estimation it is also used dummy variables due to development of derivatives position to positive and negative values. The author has obtained monthly data from statistical database of the Czech National Bank. We can compare development of Czech market interest rates as well as selected exchange rates' development and their impacts on the derivatives position of Czech banks' development. Moreover, from estimation results we can see changes and compare situation in two sub-periods, before the global financial crisis and sub-period within the crisis. Author argues that then it is possible make some policy implications for Czech banks from this paper.

Druh

D - Stať ve sborníku

CEP obor

AH - Ekonomie

OECD FORD obor

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Projekt

<a href="/cs/project/GA13-03783S" target="_blank" >GA13-03783S: Bankovní sektor a měnová politika: Zkušenosti z nových členských zemí EU po desíti letech členství</a><br>

Návaznosti

P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Rok uplatnění

2013

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název statě ve sborníku

Proceedings of 9th International Scientific Conference Financial Management of Firms and Financial Institution

ISBN

978-80-248-3172-5

ISSN

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e-ISSN

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Počet stran výsledku

7

Strana od-do

242-248

Název nakladatele

MD Communication, s.r.o., Ostrava

Místo vydání

Ostrava

Místo konání akce

Ostrava

Datum konání akce

9. 9. 2013

Typ akce podle státní příslušnosti

EUR - Evropská akce

Kód UT WoS článku

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