G15 - International Financial MarketsReturn

Nowadays, the examination of bond markets is becoming more prominent as there have been significant changes in the financial market and economic policy processes due to the diverse economic shocks. The room for manoeuvre available for monetary policy is no longer a function of base rates, but rather of the growth of central bank balance sheets – which can also have side-effects on bond yield progresses. Also, QE is only the privilege of large central banks, if smaller central banks use these programs the yield premium will be elevated. Six European small open economies (Czechia, Denmark, Hungary, Poland, Switzerland, Sweden) outside the Eurozone were investigated on quarterly basis between 2007 and 2020 with Autoregressive Distributed Lag (ARDL) cointegration technique.  The aim of our research was to identify the effects of the recent economic shocks - the economic crisis of 2008, the subsequent European sovereign debt crisis and the current corona virus epidemic - on the evolution of international bond yield premia time series in the light of monetary policy, macro variables and financial markets. The results were typically in line with expectations, except that no significant bond market impact of portfolio capital flow could be measured on the sample. The main outcome proved that the unconventional monetary policy increased yield premiums in these analysed countries, meaning that QE is not for small and open economies.

Credit default swap spreads can be used as an indicator of the potential situation in a firm or economy. The instruments for credit risk management become popular among investors and together with a boom of financial innovation, a credit default swap index contract was introduced in June 2004. Since credit default swap spreads represent an indicator of credit risk, the investors and other market participants are interested in factors that can affect credit default swap spread. The aim of this paper is to examine the influence of selected determinants of contracts included in iTraxx Europe Senior Financials index on credit default swap spreads using monthly changes. To capture the changing role of the selected determinants, a panel regression is employed in the crisis and the post-crisis periods. The results confirm the findings of previous research and show that the theoretical relationships hold in cases when observed determinants are statistically significant. Furthermore we proved that the determinants are dependent on the prevailing market circumstances.

The aim of the article is to answer a question to what extent the recent crises in international financial markets have confirmed the need for formal regulatory intervention and for official central bank support and subsequently, to what extent transactions in wholesale international financial markets should be subject to official oversight and control or if they can be left to internal market devices. The paper begins with an analysis of major financial disruptions in the last 20 to 25 years from which key findings and conclusions are derived. Subsequently, particular forms of market failure are analyzed with regard to the need of oversight and control of international financial transactions. The author concludes that wholesale international financial markets can be mostly governed by internal market devices. Nevertheless, governments and central banks should have suitable tools of oversight and control of financial transactions and regulatory means of intervention at disposal once the stability of international financial system is at risk.

The article is focused on the portfolio returns modelling, to be specific on the estimation of VaR as a portfolio risk measure. The goal of the article is to discover, how the characteristics of a market evolution influence the accuracy of VaR estimation of the internationally diversified portfolio of stock indices. Returns of portfolio are modelled by NIG model coupled together by Student copula function. The VaR estimation is back tested in different periods. The volatility of returns in each considered period evolves differently. The accuracy of VaR estimation is measured on the basis of the number of observed exceptions and its comparison to expected number of exceptions. It is apparent from the results, that for constant volatility period the model is accurate. When volatility changes in considered period, the model underestimates or overestimates the VaR.

The aim of this paper is to assess with quantity indicators the extent to which credit markets in the Visegrad countries are integrated with euro zone countries. According to the role of foreign branches of credit institutions and the share of cross-border loans, integration of credit markets in the Visegrad countries is increasing. However, financial crisis has slowed the integration a bit. Especially during the crisis, information about creditworthiness of counterparties is highly important. Banks prefer to provide loans to domestic borrowers because better information is available about domestic counterparties.

Insurance is one of the fields of business, which are significantly signing of monetary policy to stabilize the country. The essence lies primarily in the fact that a substantial part of the funds accumulated in the field of business is investment in fixed assets, including government securities, which stabilises the currency movement within the economy. In addition, this fact supports the reinvestment of temporarily free resources, allowing the development of the economy. Contribution aims on the basis of this analysis to assess the fundamental factors affecting the insurance industry in the context of the current crisis development. The comparison and analysis focused on the impact of economic development on the stability of the insurance market, the impact of the financial markets, distribution channels and their role in the availability of insurance products and also the influence of claims in the Czech Republic and in the European Union countries.

Since 2004, the Environmental Liability Directive No. 2004/35/EC is the basic document which has governed liability for damage to the natural environment in the European Union, as amended by subsequent regulation No. 2006/21/EC. The main purpose of the legislation was to ensure that the polluter responsible for the damage pays all costs for rectifying its consequences. If it concerns damage to the natural environment, the operator must undertake measures for rehabilitation, replacement and regeneration of damaged natural resources. Primary replacement, which returns damaged natural resources to their original state, may be differentiated from complementary replacement as compensation in the case in which primary replacement has not provided adequate reparation, and finally compensatory replacement - compensation for temporary loss of natural conditions.
This paper is focused on an analysis of specific presumptions about the insurability of risk as concerns environmental insurance. Scientific paper aims at an analysis of the environmental insurance as a possible mean for eliminating risks due to liability for environmental impairment caused by the actions of an operator whose activities potentially threaten the natural environment and may cause biodiversity damage. There is the EU approach described, and the current demand required by the Directive is explored with respect to its impact on the Czech conditions. Risks are assessed with regard to risk insurability criteria for potential damage to the natural environment. The importance of risk management is stressed in the sophisticated form known as Enterprise Risk Management. Risk management is becoming increasingly important with consistent quantification of obvious, hidden and potential risks.
The paper was written as part of research project MSM 6215648904, carried out by the Faculty of Business and Economics, under the name "The Czech Republic in the processes of integration and globalization, and the development of the agriculture and service sector in the new conditions of the integrated European market", following the goals and methodology of the research project.

The article deals with the basic characteristics of the capital market in Poland, focusing on the stock market. The introduction describes the historical development of the market and subsequently analyzed the historical development of key indicators such as the development of the main stock market index WIG20, market capitalization of companies traded on the stock exchange, etc. The main comparative indicator for the better explanatory power was selected Stock Exchange in Prague including the main index PX.