Svatopluk Kapounek

Mendel University in Brno · Department of Finance

We present a wavelet analysis of retail investor attention and the daily returns of Bitcoin, Ethereum, and Litecoin at five selected crypto exchanges that identifies the fractal dynamics of the short- and long-term persistent processes. The investors’ attention is proxied by the Search Volume Index provided by Google at daily frequency. We detect s...

Here, we investigate the direction of the relationship between economic policy uncertainty (EPU) and stock markets. We focus on time‐variant co‐movements between the EPU index and selected stock market indices (S&P500, UK100, Nikkei225 and DAX30) at different investment horizons. We show that the EPU index lags stock markets at longer investment ho...

In this paper, we examine the sources of the US current account imbalances and discuss the role of the international monetary system in enabling the US in carrying such external deficits. There is evidence that the stochastic properties of the US current account are not compatible with the intertemporal national budget constraint. We argue that thi...

We analyze the exchange rate forecasting performance under the assumption of selective attention. Although currency markets react to a variety of different information, we hypothesize that market participants process only a limited amount of information. Our analysis includes more than 100,000 news articles relevant to the six most-traded foreign e...

We examine daily USD returns for Bitcoin, Ethereum and Litecoin between October 2013 and September 2019 at six separate exchanges employing wavelet methodology. This approach, as compared to the standard time domain analysis, is superior because it tests the existence of cyclical persistencies at different investment horizons. We identify significa...

The banking sector in Central and Eastern European countries is characterized by cross-border mergers and acquisitions. Financial integration improved firm access to international capital markets but also posed a serious challenge in terms of financial vulnerability. We use bank data to analyze the determinants of bank lending between 1998 and 2016...

We investigate economic cycle comovements and identify directions of relationships to discuss the spread of asymmetric shocks across the European Union during the twenty years from the euro adoption. We contribute to traditional wavelet analyses with an updated historical overview of economic cycle comovements in 24 EU countries over 35 years with...

We investigate economic cycle comovements across the European Union after twenty years from euro adoption. We demonstrate the cycle comovement between France and the EU and the decoupling of Germany, the United Kingdom and countries in Southern Europe. We find that the Baltic countries represent a single economic area with common shocks. Using wave...

This paper investigates the impact of behavioural attention on the households’ foreign currency savings as a response to the external macroeconomic shocks. The information that the households acquire via different communication channels is expected to influence their decisions regarding their savings’ allocation into different currencies. This stud...

The paper investigates the link between macroeconomic shocks, the institutional environment and the responses of bank lending activities to the financial crisis. We hypothesize that property rights and the enforcement of rules are crucial for well-functioning markets, especially in transition and emerging market economies where new institutions wer...

We apply Google query data as an alternative indicator of mortgage demand for households and individuals. The novelty of this paper is the employment of wavelet coherence with phase shift to identify the causality direction between the analyzed time series. Moreover, we apply Monte Carlo method to estimate the significance of results. The sample co...

We analyse the bank lending activity after the financial crisis and focus on bank-specific supply factors. Using a rich microeconomic dataset from Bankscope and macroeconomic shocks data, we employ OLS and 2SLS fixed effects models with banking controls, macroeconomic shocks and institutional quality. The banks’ loan-rate spreads increased despite...

What is the households’ saving behavior during different stages of economic cycle? What is the reaction of households’ to the external shocks? Which factors motivate households’ to save in foreign currency rather than in national currency? Are households’ saving decisions rational and based on fundamentals economic indicators or, in contrary, irrat...

European countries, typical bank-based countries, are more reliant on bank credits and bank intermediation of savings, than the rest of the world. The objective of the paper is to identify link between bank lending activity, macroeconomic shocks and banking controls, with a special emphasize on the quality of bank asset. Using instrumental variable...

The pro-cyclical effect of provision is generally agreed and widely discussed in the context of the current financial crisis. The new model of the dynamic provisions applied in Spain showed countercyclical effects on the credit and business cycle. We simulate development of the dynamic provisions during the financial crisis and discuss the possible...

This empirical study investigates the economic andpsychological factors influencing the households’ saving preferences to savings currency focusing on the European Union (EU) countries outside the euro area with their own currencies. This paper focuses onbasic macroeconomic shocks given by International Fisher Effect, capital account and remittance...

This chapter contributes to the OCA endogeneity hypothesis and emphasises the EU countries’ changes in economic growth related to the main milestones of the European Integration Process. Our multiple-steady-state approach substitutes for capital thresholds by euro adoption. Thus, we suppose two specific steady states for two groups of countries: (1...

Using a rich dataset on individual firms in selected EU countries between 2005 and 2012, we document a surprisingly high share of assets tied in highly inefficient firms. Moreover, we discuss different channels through which institutions may affect firm financial developments and thus the long-run growth. Using Bayesian model averaging analysis, we...

The paper deals with the impact of the economic agent sentiment on the return for Apple and Microsoft stocks. We employed text mining procedures to analyze Twitter messages with either negative or positive sentiment towards the chosen stock titles. Those sentiments were identified by developed algorithms which are capable of identifying sentiment t...

Banking institutions play a really important role in the process of providing credit to economic agents and are responsible for recovery after the financial crisis in the Europe. The objective of the paper is to identify the link between the European bank lending activities, main macroeconomic shocks, and institutional variables in the sample of EU...

The main objective of the paper is to identify the link between the European bank lending activities, lending standards, macroeconomic shocks and banking controls. The microeconomic data are provided by the Bankscope database, macroeconomic shocks are drawn from Eurostat and World Bank on-line databases. Our cross-sectional regression models consis...

In this paper we examine the liquidity effects of the unconventional monetary policy of the ECB. We estimated cointegration vector to identify long-term causal effects of nonstandard measures of monetary policy on the long-term interest rates of sovereign bonds in the selected core euro-area member countries. The pass-through from the official open...

The paper deals with the impact of solvency from weakened balance sheet after the financial crisis, selected macroeconomic shocks and institutional determinants. The results show that economic freedom, equity and liquidity indicators have positive impact on the lending activities of the banks in CEE countries. The empirical analysis adopts cross-se...

We apply a disequilibrium model of credit demand and supply to test the credit crunch hy- pothesis. We suppose that firms face credit rationing and a realised outstanding loan will be the minimum desired level of commercial bank loans and bank limit for the firm. We adopted the disequilibrium model which consists of credit supply and credit demand...

We focus on changes in dynamic correlation during the recent fi nancial crisis. The results show different responses to this symmetric shock in V4 countries. We discuss possible specialization if the dynamic correlation increases only at certain of the frequencies. Especially, in case of the Czech Republic where the variability of dynamic correlati...

The paper focuses on the indicators of economic agents’ perceptions in the Czech Republic. We assume that these information are provided by economic sentiment indicator surveys based on the Joint Harmonised EU Programme. The aim of this paper is to offer the alternate methodology of qualitative data transformation (balance statistic data) in relati...

We propose a novel method for econometric time series analysis. This method acts as the comovement-selective filter and is useful to filter out the cycles that are caused by an global event present in the reference time series. We demonstrate its applicability on removing symmetric macroeconomic shock caused by recent financial crisis from the busi...

We provide the wavelet analysis of the economic cycle synchronization during the recent financial crisis. However, the global financial crisis caused economic cycles in most European countries to become more strongly synchronized without increasing of the real convergence process. Our contribution is an application of the singular value decompositi...

We focus on the financial instability hypothesis defined as rapid credit growth accompanied with a significant increase in asset prices. We used contribution of the national banking systems within the euro area and identified significant relationship between the money velocity and asset prices before the financial crisis in the year 2007. Finally,...

A monetary union is classified by several authors as an extreme form of fixed exchange rate arrangement. Analyzing exits from monetary unions is, however, demanding. This paper studies the impact of inflation and interest rate differentials on the nominal exchange rate after leaving a form of peg arrangement and moving to a floating regime, as it m...

The purpose of our paper is to define rules for decision of existence spurious synchronization of countries within the currency area. We devote this new methodological approach from an empirical research based on the variability of a dynamic correlation (correlation in frequency domain). We analyze the dynamic correlation in full range and in the b...

The authors focus on financial stability in the Eurozone and propose alternative indicator for macroprudential policy implementation. Rapid growth of the shadow banking system biases increase in loans to identify financial instability. The velocity of money represented money demand in the economy. The empirical part of the paper applies wavelet ana...

The paper focuses on the economic cycle synchronization of the euro area outsiders: Denmark, Sweden and United Kingdom. The authors discussed openness of the selected economies, their structural similarities and economic cycle synchronization in the years 2000–2011. They applied moving correlation and correlation between the selected countries and...

The financial crises consequences during the last years spread out over the banking market of the whole Europe. Political discussions focus on the often indebted economies, especially on Portugal, Italy, Greece and Spain. However, the financial and trade transactions are related. Consequently, the instability affects nominal and real sector in the...

The endogenous money approach supposes that commercial banks and the central bank are both “passive” players in the money creation process. The central bank can determine money supply indirectly through interest rates which affect economic and investment activity and money demand, to create money supply. Supposing that the causality leads not from...

There is empirical evidence that the introduction of the euro led to a significant increase of perceived inflation in most countries. Such an increase and persistence in the perceived inflation might then have an impact on inflation expectations and other macroeconomic variables. The authors have used expectational errors to describe the difference...

There is significant empirical evidence that the introduction of the euro led to a significant increase of perceived inflation in most countries. Such an increase and persistence in the perceived inflation might then have an impact on inflation expectations and other macroeconomic variables. The authors have used the short-term Phillips curve to de...

The author focuses on the current problems of the common monetary policy implementation in the Eurozone in context of output stabilization function. The author focuses on the money demand function stability and its estimation. The stable money demand function ensures that the money supply would have predictable impact on the macroeconomic variables...

Presented paper focuses on consideration and evaluation of methodical approaches to analyze cyclical structure character of economic activity in transition economy. As a starting point, work in time domain is applied, which is followed in frequency domain approach. Both approaches are viewed from methodical as well as application point of view and...

The author focuses on the money endogeneity in the context of common monetary policy implementation in the euro area. The empirical analysis shows money demand function instability during the financial crisis. The instability is described by decrease in credit money creation and money velocity changes. The cointegration tests identifed long-run pos...

This paper focuses on the business cycle development of Czech and Slovak economies. The main objective is to compare several methodological approaches to identify business cycles with the main theoretical sources of the economic activity movements in the analyzed periods. As both economies are of transition type, the growth business cycle concept w...

The primary target of most central banks in developed economies is to maintain price stability. When there is no threat to the fulfilment of the primary target, the central bank focuses on its secondary target which is defined as support of a sustainable economic growth and full employment. Even though, a substantial part of the discussions regardi...

Current empirical analyses show that Eurozone countries display noticeable heterogeneity in terms of economic development, structure, exposure to exogenous shocks and adjustment mechanism. The single monetary policy implemented by European Central Bank is not optimal for all member states, if there are different inflation rates and the single monet...

Money exogeneity, stable money demand and its interest rates elasticity is basic condition of central banks’ monetary policy implementation and efficiency. The stable money demand function ensures that the money supply would have predictable impact on the macroeconomic variables such as inflation and real economic growth. This article deals with th...

Monetary policy analysis concerns both the assumptions of the transmission mechanism and the direction of causality between the nominal (i.e. the money) and real economy. The traditional channel of monetary policy implementation works via the interest rate changes and their impact on the investment activity and aggregate demand. Altering the relati...

Keywords: central bank independence, monetary policy, european integration costs Background - hypothesis: Most of the theoretical assumptions and empirical analyses of costs of the European Monetary Integration process have concentrated solely on costs connected with loss of autonomous national monetary policy. All this work is based on an idea...

Keywords: monetary integration, perceived inflation, euro, GDP growth, consumption, eurozone Background - hypothesis: There is significant empirical evidence, that introduction of euro led in most of the countries to significant increase of perceived inflation. At the same time there was no rapid increase in prices monitored by official price i...

V příspěvku je testována hypotéza, zda existuje negativní závislost mezi časovou řadouvýnosu z výběru daně z příjmu korporací a časovou řadou výnosu z výběru daně z příjmufyzických osob a domácností v členských státech Hospodářské a měnové unie (HMU) aČeské republice. V rámci provedené kointegrační analýzy nebyla, až na jediné Nizozemí,prokázána u...

The main aim of this article is to find out whether there is a significant relationship between money supply growth and inflation in the Eurozone. For this reason, the monetary policy strategy of the European Central Bank (ECB) has been evaluated. Since the establishment of the ECB in January 1999 to May 2003 the ECB‘s monetary policy strategy cons...

The paper deals with the correlation of the business cycles between the Eurozone member states in the period 1957-2003. The analysed period is divided into the four parts (1959-1972, 1973-1985, 1986-1994, 1995-2003), which correspond to integration waves and relate approximately to the European integration process. The empirical analysis is based o...

The increase in the capital mobility forces the Member States to decrease tax burden on capital. Lower revenues from capital taxation have to be compensated by the increase in tax burden on labor. The aim of the article is verify the hypothesis that increasing capital mobility leads to the decrease in the tax burden on capital and also that decreas...

The aim of the article is to evaluate the preferences of the ECB in monetary policy and to compare them with preferences of the central banks of new EU member countries from Central and Eastern Europe. The ECB's responsibility for the primary objective (price stability) often contrasts with the requirement for economic growth stabilization policy f...

Abstrakt Růst kapitálové mobility na jednotném trhu nutí členské státy snižovat jeho daňové zatížení tak, aby mohly nabídnut atraktivní daňové podmínky. Za předpokladu stabilní úrovně veřejných výdajů a příjmů státních rozpočtů může tato skutečnost vytvářet tlaky na příjmové stránky státních rozpočtů, neboť nižší výběr daně z kapitálu musí být komp...

Tekst częśc. w jęz. ang., fr.

The aim of this article is to highlight a number of problems due to a rather „mechanical“ application of the Hodrick-Prescott Filter and its possible implication for the monetary policy decision-making process. The author concludes that HP filter is not able to estimate the potential output, however it could be used as the efficient tool in monetar...