D_TFT Theory of financial markets and their stability analysis

University of Finance and Administration
Summer 2016
Extent and Intensity
2/0. 10 credit(s). Type of Completion: DZk (doctoral examination).
Guaranteed by
prof. Dr. Ing. Jan Frait
Department of Finance – Departments – University of Finance and Administration
Contact Person: Lenka Pokorná
Prerequisites
D_FIR Financial institutions and their management
Course Enrolment Limitations
The course is offered to students of any study field.
Course objectives
The aim of the course is to explain the behavior of financial markets and accumulation processes of risks to financial stability of individual financial institutions and the financial system as a whole. At the end of the course the student will be able to analyze the determination of equilibrium macroeconomic trends leading to vulnerability of financial systems and their vulnerability to crises. Students will be able to explain and deal with the modeling and forecasting of financial market shocks and financial crises, the relationship between monetary policy, credit and asset price dynamics, analysis of financial market integration and regulation of financial markets   emphasis on macroprudential policy.
Syllabus
  • Financial stability, financial crisis and macroprudential policy. The time dimension of systemic risk pro-cyclical behavior of the financial system, financial regulation and its pro-cyclical effects. Cross-sectional dimension of systemic risk - interconnection and mutual exposures between institutions and segments of the financial markets. Indicators of vulnerabilities in the financial system and financial sector stress testing. International regulatory and supervisory architecture and its response to the financial crisis. Theories of financial crises, anticipation and reaction of economic policy. The integration of financial markets and its impact on the behavior of financial markets. Monetary policy, asset prices and risks to financial stability. Property markets and their prices as a significant source of financial risk. Monetary policy, commodity prices, external imbalances and risks to financial stability. Monetary policy response to the financial crisis, aggressive central banks, quantitative easing, and their effects on the financial markets. Sovereign risk - the special status of government bonds in the   regulation of financial markets and operations CentralNic banks, sovereign crisis.
Literature
    required literature
  • BRUNNERMEIER, M. et al.: The Fundamental Principles of Financial Regulation. Geneva Reports on the World Economy 11. International Center for Monetary and Banking Studies, January 2009
  • BANK OF ENGLAND (2011): Instruments of Macroprudential Policy. Discussion Paper, December.
  • FRAIT, J., KOMÁRKOVÁ, Z., KOMÁREK, L. (2011): Monetary Policy in a Small Economy after Tsunami: A New Consensus on the Horizon? Czech Journal of Economics and Finance - Finance a úvěr. Vol. 61, Issue 1, 5-33.
  • FRAIT, J., KOMÁRKOVÁ, Z., (2011): Finanční stabilita, systémové riziko a makroobezřetnostní politika. Zpráva o finanční stabilitě 2010/2011, ss. 96-110
    recommended literature
  • BORIO, C.-DREHMANN, M. (2009), Towards an operational framework for financial stability: fuzzy measurement and its consequences. BIS Working Paper, No. 284, June 2009
  • FRAIT, J., KOMÁREK, L.: Monetary Policy and Asset Prices: What Role for Central Banks in New EU Member States? Prague Economic Papers, 2007, č. 1, s. 3-23
  • GERŠL, A.-SEIDLER, J. (2011): Nadměrný růst úvěrů jako indikátor finanční (ne)stability a jeho využití v makroobezřetnostní politice. Zpráva o finanční stabilitě 2010/2011. Česká národní banka, červen, ss. 111-121
  • KOMÁRKOVÁ, Z., KOMÁREK, L.: Integrace finančního trhu vybraných nových členských zemí EU s eurozónou. Praha: Národohospodářský ústav Josefa Hlávky, Studie č. 1/2008
  • BORIO, C. - WHITE, W. (2004): Whither monetary and financial stability? The implications of evolving policy regimes. BIS Working Paper, No. 147, February 2004. http://www.bis.org/publ/work147.pdf
  • FRAIT, J., KOMÁRKOVÁ, Z. (2009): Instruments for curbing fluctuations in lending over the business cycle. Financial Stability Report 2008/2009, Czech National Bank, pp. 72-81
  • FRAIT, J.-KOMÁREK, L.: Monetary Policy and Asset Prices: What Role for Central Banks in New EU Member States? Prague Economic Papers, Volume XVI, No. 1, 2007, pp. 3-23, ISSN 1210-04
  • HLAVÁČEK, M., KOMÁREK, L. (2009): Housing Price Bubbles and their Determinants in the Czech Republic and its Regions. CNB WP 12/2009
  • WHITE, W. (2009): Should Monetary Policy "Lean or Clean"? Federal Reserve Bank of Dallas, Globalization and Monetary Policy Institute, Working Paper No 34 (August 2009
  • BANK OF ENGLAND (2009): The Role of Macroprudential Policy. Discussion Paper, November 2009. http://www.bankofengland.co.uk/publications/other/financialstability/roleofmacroprudentialpolicy091121.pdf
    not specified
  • Další zdroje
  • www.vsfs.cz/knihovna
  • www.knihovna.vsfs.cz/info/volne_eiz.html
  • IS VŠFS → osobní administrativa → ProQuest
Teaching methods
Teaching consists of lectures in the form of full-time study and group consultations in combined studies. Students who do not meet the requirements for participation in education may be awarded during the semester additional study obligations (to the extent that you demonstrate academic achievement and gained competencies necessary for successful completion of course).
Assessment methods
Course is successfully completed credit. Condition for obtaining credits are essay. Termination is the same for full-time and part-time study. The course is also part of the doctoral examination.
Language of instruction
Czech
Further comments (probably available only in Czech)
The course can also be completed outside the examination period.
General note: Předmět doktorského studia.
Information on the extent and intensity of the course: 12 hodin KS/semestr.
The course is also listed under the following terms Winter 2010, Summer 2011, summer 2012, Summer 2013, Summer 2014, Summer 2015, Summer 2017, Summer 2018, Summer 2019, Summer 2020, Summer 2021, Summer 2022, Summer 2023, Summer 2024, Summer 2025, Summer 2026.
  • Enrolment Statistics (Summer 2016, recent)
  • Permalink: https://is.vsfs.cz/course/vsfs/summer2016/D_TFT