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V preteklem desetletju se je med leti 1997 do 2007 nominalna vrednost vseh kreditov evropskih bank podvojila (iz 9.441 milijard CHF na 19.996 milijard CHF). V istem obdobju se je vrednost kreditov v tuji valuti skoraj potrojila (iz 558 milijard CHF na 1.627 milijard CHF). Švicarska nacionalna banka (SNB) ocenjuje, da je bila decembra 2007 vrednost kreditov nominiranih v CHF znotraj evroobmočja 238 milijard CHF, v drugih evropskih državah pa 122 milijard CHF. Krediti v CHF so za slovenske in druge kreditojemalce članic EU posebni iz dveh razlogov. Prvič, kreditojemalci se dodatno soočajo še z valutnim tveganjem. Druga posebnost kredita v CHF se kaže v statusu CHF kot globalne varne valute, ki v času gospodarskega razcveta postopoma depreciira, v času krize pa močno apreciira. Tako je namen našega magistrskega dela, da se predstavijo posledice izpostavljenosti valutnemu tveganju pri kreditu v CHF oz. nasploh pri kreditu v tuji valuti. Iz tega razloga med seboj primerjamo vrednosti anuitet kredita v domači valuti (v našem primeru EUR) in kredita v tuji valuti (CHF). Ker je višina obrestnih mer pri posameznih kreditih zaupen podatek, smo kot obrestne mere pri izračunih kredita v EUR uporabili 6-mesečni EURIBOR, pri kreditih v CHF pa 6-mesečni LIBOR za CHF. Da bi dodatno izpostavili vpliv valutnega tveganja na kredit v sklopu izračunov predstavljamo tudi izračune, kjer uporabimo tako eno izmed notranjih oblik zavarovanja (ščitenje s pomočjo prihodkov v CHF) kot eno izmed zunanjih oblik zavarovanja (valutni terminski posli) pred valutnim tveganjem. Ker je problematika kredita v CHF zaradi valutnega tveganja doletela večino članic EU, predstavljamo tudi regulativne ukrepe in načine, preko katerih so se določene članice, med njimi je tudi Slovenija, soočile z reševanjem težav kreditojemalcev in kreditodajalcev kreditov v CHF. Iz predstavljenih rezultatov in rešitev ugotavljamo, da je valutno tveganje osrednja past kredita v CHF (kredita v tuji valuti). Rešitev ni, da se takšni posli nasploh prepovedo, ampak da regulatorji in kreditodajalci težijo k iskanju načinov, preko katerih bodo kreditojemalci primorani uporabiti eno izmed oblik zavarovanja valutnega tveganja ob sklenitvi kredita v tuji valuti. The nominal value of all the loans in European banks has doubled in the past decade (from 1997 till 2007) from 9,441 billion CHF to 19,996 billion CHF. In the same period the value of loans in foreign currencies has tripled (from 558 billion CHF to 1,627 billion CHF). The Swiss National bank estimates that in December 2007 the value of the loans nominated in CHF in the euro area was 238 billion CHF and 122 billion CHF in other European countries. The loans in CHF are special for two reasons. Firstly, the borrower faces one additional risk, which is the currency risk. Secondly and probably the most important specific of the credit in CHF is that CHF is considered as a safe haven currency. Therefore the value of CHF appreciates in term of economic crises, and depreciates in terms of economic growth. This explanation of the motion of a safe haven currency is the main cause why in 2008, when the crisis broke out, the appreciation of CHF was so high. Based on the described facets the purpose of this paper is to present the consequences of taking a loan in CHF or in general of taking a loan in a foreign currency. Therefore we will compare the annuity of a credit in domestic currency (in our case EUR) with the annuity of the credit in CHF. The actual interest rates o credits in CHF are a confident information, to which we did not have access. Because of this we will use values of the 6-month EURIBOR for the loans in EUR, and the values of the 6-motnh LIBOR for the credits in CHF. Furthermore we would like to show the impact of managing the currency risk with eligible financial instruments (inflows in CHF and currency forwards). The purpose is to show that currency risk is the main trap when taking a loan in a foreign currency. Our investigation showed that the problems with loans in CHF occurred in most of the countries in the EU. It is interesting that each country has presented its own kind of measurements to this problem, which are also presented in this paper. But putting all of our thoughts and conclusions together we found out that currency risk cannot be neglected when taking a credit in a foreign currency and that a proper solution is not to prohibit such kind of a financial product but to higher the standards and conditioning a loan in foreign currency with currency risk securities.

Politika menjalniškega tečaja v moderni mednarodni ekonomiji predstavlja pomembno orožje zunanje trgovinske politike svetovnih gospodarskih velesil predvsem v primerih, ko drugi vzvodi monetarne politike pri reševanju tekočega računa in zunanjega trgovinskega primanjkljaja ali presežka niso uspešni. Pri tem se vsaka od držav mednarodnega finančnega ustroja sooča z vprašanjem načina reševanja zunanje trgovinskega ravnovesja od izbire deviznega režima, prepričevanja nasprotnika v spremembo makroekonomske politike, uravnovešenja medsebojnega menjalniškega tečaja do spremembe lastne monetarne in/ali fiskalne politike. Kitajska kot ekonomska velesila pri oblikovanju menjalniškega tečaja do ameriškega dolarja ni izjema. Diplomsko delo predstavlja različne poglede na oblikovanje menjalniškega tečaja kitajske valute do ameriškega dolarja kot svetovne valute in druge makroekonomske ukrepe za reševanje neravnovesij v tekočem računu kot tudi v zunanjetrgovinski bilanci. The exchange rate policy in the modern international economy represents an important weapon of external trade policy of the world's major economic powers especially in cases where other levers of monetary or fiscal policy are not successful in resolving the external trade deficit or surplus. In doing so, each of the countries of the international financial architecture is faced with the question of how to solve the foreign trade balance. Persuasion in change of macroeconomic policy, accept a change in mutual exchange rate or alter in their own monetary and / or fiscal policy are possible basic choices of conduct. China as an economic superpower in the design of the exchange rate against the US dollar is no exception. The thesis presents different views on the policy of the exchange rate of the Renminbi against the US dollar as a global currency beside other macroeconomic measures to settle current account and trade imbalances.

Izvedeni finančni instrumenti so se razvili, da bi zmanjšali večja tečajna tveganja, spremembe in nihanja obrestnih mer ter večje spremembe na trgu delnic in obveznic. Gre za instrumente, katerih cena je odvisna ali izvedena iz vrednosti osnovnega instrumenta, na katerega je napisana. Osnova je lahko cena tuje valute, vrednostnega papirja, blaga, višina obrestne mere ali tržnega indeksa. Izvedene finančne instrumente razdeljujemo na nestandardizirane valutne terminske pogodbe, standardizirane valutne terminske pogodbe, valutne opcije in valutne zamene. V diplomskem seminarju opredeljujemo le valutno opcijo in valutno zameno. Valutna opcija pri Abanki omogoča pravico nakupa ali prodaje ene tuje valute proti drugi tuji valuti, izbere se lahko opcijo, pri kateri je datum izvršitve v prihodnosti točno določen, ali opcijo, ki se jo lahko izvrši kadar koli do datuma izvršitve. Valutna zamena je zavezujoč dogovor med Abanko in podjetjem o takojšnjem nakupu (prodaji) določenega zneska in hkratni terminski prodaji (nakupu) enakega zneska. Derivative financial instruments have been developed in order to reduce the risk of foreign exchange rate changes, bigger fluctuations in interest rates, and significant changes in the market shares and bonds. Derivative financial instruments are instruments, the price of which is dependent upon or derived from the value of the underlying instrument to which it is written. The base can be the price of foreign currency, security, goods, the amount of the interest rate or market index. Derivative financial instruments are divided into currency forward contracts, currency futures contracts, currency options and currency swap. In this thesis only the currency option and the currency swap are defined. Currency option at Abanka bank allows the right of purchase or sale of one foreign currency against other foreign currencies an option can be chosen whereby the date of the execution in the future is specified, or an option which can be executed at any time by the date of enforcement. Currency swap is a binding agreement between Abanka and a company on immediate purchase (sale) of a certain amount and forward sale (purchase) of the same amount.

Devizni tečaj je cena tuje valute izražena v domačem denarju in omogoča primerjavo domačih cen s tujimi in obratno. Ima zelo pomembno vlogo pri konkurenčnost domačega gospodarstva. V delu diplomskega seminarja je predstavljeno gibanje danske krone od leta 1999 do 2012. Danska krona je vključena v sistem tečajev ERM II, pri čemer ji je dovoljeno odstopanje +/- 2,25%. Tako je bila v opazovanem obdobju danska krona v primerjavi z evrom stabilna in ni bilo opaženih prevelikih nihanj. Prav tako, pa je na podlagi efektivnega deviznega tečaja opaziti dober konkurenčen položaj Danske v primerjavi s državami, s katerimi največ trguje. Tekoči račun plačilne bilance je pomemben makroekonomski pokazatelj delovanja države, določa namreč razvoj stanja obveznosti države do tujine. Država lahko ima primanjkljaj ali presežek na tekočem računu. Velikokrat je razlog za dolgotrajen primanjkljaj posledica neravnovesnega menjalnega tečaja. Danska ima v opazovanem obdobju vse skozi presežek v tekočem računu in je v začetku letošnjega leta dosegel 5,50% BDP. Exchange rate is the price of foreign currency expressed in domestic currency and allows comparison of domestic prices to foreign and vice versa. It has a very important role in the competitiveness of the domestic economy. The part of the thesis presents the movement of Danish krone from 1999 to 2012. Danish krone is included in the ERM II system, where +/- 2,25% is the allowed tolerance. In this way, the Danish krone was stable in comparison to Euro. No major fluctuations were noticed. Good competitive position of Denmark in comparison to countries with which it trades the most, was also observed on the basis of effective exchange rate. Current account in the balance of payments is an important macroeconomic indicator of country’s functioning, as it determines development of state liabilities to foreign countries. A country can have deficit or surplus in the current account. Often the reason for the long-term deficit results from non-equilibrium exchange rate. All through the observed period, Denmark has had a surplus in the current account, which reached 5,50% of GDP at the beginning of this year.

V današnjem času večina gospodarstev za normalno delovanje potrebuje različne energente, kar postavlja energente v privilegiran poloţaj v celotnem gospodarstvu. Slovenija, kot majhno odprto gospodarstvo, je odvisna od uvoza energentov. Cena energentov je eksogeno določena in vpliva na inflacijsko stopnjo v drţavi. Raziskali smo inflacijski vpliv teh cen v Sloveniji v obdobju od 1995 do 2010. Uporabili smo VAR model in input-output analizo cen. Iz rezultatov empiričnega dela je razvidno, da 10 % povečanje cen energentov prispeva k povišanju inflacijske stopnje za pribliţno 0,9 odstotne točke. Kot smo pričakovali, so rezultati obeh metod pokazali podoben vpliv. Nowadays, the majority of economies require different energy commodities for their regular activities. Therefore, energy commodities have granted a privileged position in the whole economic environment. Slovenia, as a small and open economy, is dependent on the import of the energy. Energy prices are exogenously given, and any changes in energy prices influence the inflation in Slovenia. We examine these effects for the period between 1995 and 2010. Our research contains two empirical models, VAR econometric method and input-output price analysis. It can be concluded that 10 % increase in prices of energy commodities leads to 0,9 percentage points increase of inflation level in Slovenia. As we assumed, the results of both methods have shown a similar influence.

Delo diplomskega seminarja z naslovom Devizni tečaj dinarja in konkurenčnost srbskega gospodarstva je razdeljeno na dva dela, teoretični, ki vsebuje že znana dejstva in empirični, ki vsebuje statistične podatke in predstavijo srbsko gospodarstvo. V teoretičnem delu je pomembna opredelitev deviznega tečaja in njegove definicije. Tukaj smo predstavili, nominalni, realni in efektivni devizni tečaj, klasifikacijo (po IMF) in teorije oblikovanja deviznih tečajev, kot so plačilnobilančna teorija, teorija paritete kupne moči, monetarna ali denarna teorija in premoženjska ali portfeljska teorija. Tudi politična situacija v državi močno vpliva na gibanje deviznih tečajev in s tem tudi na konkurenčnost gospodarstva. Prav zato je pomembna tudi predstavitev srbskega gospodarstva, če namreč vemo, kaj se je dogajalo v državi tako na političnem kot na ekonomskem področju, lažje razumemo razmere v državi. Kazalniki, kot so globalna konkurenčnost, konkurenčnost turizma in kreditni ugled še dodatno oblikujejo sliko gospodarstva. V teoretičnem delu smo predstavili še deviznotečajno politiko v Srbiji. Na to smo navezali empirični del, ki predstavlja izračune nominalnega, realnega in efektivnega deviznega tečaja v obdobju od 2003 do 2008. Pri empiričnem delu smo upoštevali največje izvozne partnerice Srbije v tem obdobju. Najprej smo predstavili nominalni devizni tečaj dinarja v primerjavi z vsako izvozno partnerico. Temu so sledili izračuni realnega deviznega tečaja, ki so nam povedali, če je domače (srbsko) gospodarstvo pridobilo ali izgubilo na konkurenčnosti v primerjavi s svojim partnerjem. Na koncu smo izračunali nominalni efektivni in realni efektivni devizni tečaj. Pri nominalnem efektivnem deviznem tečaju smo pogledali, kako se giblje valuta (dinar) v odnosu na tehtano povprečje valut drugih držav, vključenih v košarici. Pri realnem efektivnem deviznem tečaju smo nominalni efektivni devizni tečaj tako prilagodili, da je postal uporaben za merjenje mednarodne konkurenčnosti države. The thesis entitled Exchange rate of dinar and competitiveness of Serbian economy is separated in two parts, theoretical, which includes already known facts and empirical, which includes statistical facts and calculations that show the whole picture of Serbian economy. Determination of exchange rate and its definition are important in theoretical part. There we have presented nominal, real and effective exchange rate, classification (according to IMF) and theories of shaping exchange rates, like balance of payments, purchasing power parity, monetary or cash theory and property or portfolio theory. Political situation also effect exchange rate and competitiveness of economy. Because of that, presentation of Serbian economy is important too, as we can easily understand the conditions in the country. Indicators, like global competitiveness, tourism competitiveness and credit reputation, additionally shape the picture of economy. In theoretical part we also introduced exchange rate policy in Serbia. To that we have connected empirical part, which represents calculations of nominal, real and effective exchange rate since 2003 to 2008. In the empirical part we considered biggest export partners of Serbia in that period. Firstly, we have represented nominal exchange rate for every export partner in comparison with dinar. That is followed by calculations of real exchange rate, which told us, if domestic (Serbian) economy have increased or decreased competitiveness in comparison with its partner. At the end, we have calculated nominal effective and real effective exchange rate. The nominal effective exchange rate present movement of individual currency (DIN) in relation to average movement of other currencies, included in the basket. In real effective exchange rate, we customized nominal effective exchange rate so that it became usable for measuring international competitiveness of the country.

Devizni tečaj je pomemben makroekonomski dejavnik, ki vpliva na konkurenčnost države v mednarodnem prostoru. S pomočjo njega država doseže zunanje ravnovesje, katere merilo je običajno uravnotežena plačilna bilanca. Cilj vsake države je, da hkrati doseže tudi notranje ravnovesje. Notranji makroekonomski dejavniki kot so inflacija, BDP, obrestna mera vplivajo na devizni tečaj. Kako vplivajo, je odvisno tudi od tega, v kateri fazi razvoja se določena država nahaja. Za države, ki so slabše razvite, so značilne višje stopnje rasti produktivnosti in višje stopnje rasti cen. Višje cene na domačem trgu vodijo do znižanja zunanje vrednosti denarja. Realne in nominalne spremembe deviznega tečaja niso enake, prav zaradi razlik v inflaciji med državami. Realno lahko devizni tečaj apreciira kljub nominalni depreciaciji. Eden izmed možnih razlogov v ekonomski teoriji je Balassa-Samuelsonov učinek, ki je bil podvržen številnim empiričnim raziskavam. Značilno je, da učinek bolj drži za države, ki so manj razvite, čeprav lahko na gibanje cen v določeni meri vpliva ne glede na stopnjo razvitosti, na kateri se nahajajo države. The exchange rate is an important macroeconomic factor, which influences the international competitiveness of a country. With its help a country achieves the external balance, which measure usually is the balance of payment. The goal of each country is to achieve the internal balance at the same time. The internal macroeconomic factors, which are the inflation, GDP, interest rate have an impact on the exchange rate. Their affect depends as well on that, in which phase of development each country is. For countries that are less developed, a higher rate of productivity growth and a higher rate of price growth is significant. Higher prices on the domestic market lead to a reduction of the external value of the money. Because of the differences in the inflation between the countries, the real and nominal exchange rate changes are not equal. Despite the nominal depreciation, the real exchange rate can appreciate. In the economic theory one of the possible reasons is the Balassa-Samuelson effect, which is the subject of many empirical studies. It is known that the effect is more typical for less developed countries, although to some extend it can have an impact on the price movements irrespectivly of the development level.

Ekonomska teorija ugotavlja, da je povpraševanje po denarju pozitivno odvisno od realnega dohodka oziroma realnega premoženja ter negativno od obrestne mere, kar pa potrjujejo tudi empirične študije povpraševanja po denarju za Veliko Britanijo. Pri ocenjevanju funkcije povpraševanja po denarju za Veliko Britanijo v obdobju 1970-1999 smo ugotovili, da so ocenjeni regresijski koeficienti v skladu z ekonomsko teorijo, izjema je predznak regresijskega koeficienta pri pojasnjevalni spremenljivki GDP. Pri preverjanju predpostavk metode najmanjših kvadratov smo prišli do sklepa, da dvojno logaritemska funkcija povpraševanja po denarju odstopa od le-teh. Po odpravi avtokorelacije lahko povemo, da se predznaki regresijskih koeficientov novo ocenjene funkcije povpraševanja po denarju skladajo s teorijo. S pomočjo Chowovega testa in z uporabo slamnatih spremenljivk smo pri dvojno logaritemski funkciji ugotovili, da se podvzorca za prvih in drugih petnajst let med seboj razlikujeta. Do spremembe prihaja pri diferencialnem presečiščnem koeficientu in diferencialnem smernem koeficientu pri pojasnjevalni spremenljivki realni bruto domači proizvod. The economic theory establishes, that the demand for money depends positively on real income and real wealth and negatively on interest rates, what is confirmed by empirical studies of money demand for the United Kingdom. In assessing the function of demand for money for the United Kingdom in the period 1970-1999, we found out that the estimated regression coefficients are in accordance with the economic theory, except for the sign of the regression coefficient for the explanatory variable GDP. When checking the assumptions of least squares method, we came to the conclusion that the double logarithmic demand for money function withdrawal from them. After the removal of autocorrelation we can say, that the signs of the new estimated demand for money function consistent with the theory. With the help of the Chow's test and the use of dummy variables we found out, that the double logarithmic function for the sub-sample differences between the first fifteen years and the next fifteen years. Changes come in a differential intercept coefficient and differential slope coefficient for the explanatory variable real gross domestic product.

The dissertation addresses unofficial euroization in European transition economies using the balance sheet effect framework. The balance sheet effect is a response to adverse exchange rate changes, i.e. exchange rate depreciation, and it manifests itself in higher debt servicing costs, driven by high levels of foreign currency denominated liabilities. Analysing the significance, size, and direction of the balance sheet effect, we explore the effects of unofficial euroization on three main sectors of the economy: banking, corporate, and sovereign sector. After the introduction given in Chapter 1, Chapter 2 of the dissertation investigates determinants of deposit euroization in the banking sector for 12 European post-transition economies using both linear and threshold models. Results suggest that exchange rates and interest rate differentials are important for explaining deposit euroization. Results for two countries with highest macroeconomic and institutional credibility and flexible exchange rate regimes, the Czech Republic and Poland, suggest no evidence of threshold effects, while for other countries threshold behavior was found. Threshold vector autoregression results indicate depreciations have a stronger effect on deposit euroization than appreciations, while interest rate spreads widen more after exchange rate depreciations than after appreciations. Moreover, we find evidence that deposit euroization changes more strongly after interest rate differentials increase than after they decrease. These results corroborate our expectations of deposit euroization nonlinear dynamics in the aftermath of exchange rate depreciation, and confirm that central banks carry out a certain “fear of floating” policy. Chapter 3 empirically tests the impact of exchange rate depreciations on sectoral performance proxied by investment or alternatively sales. It measures the balance sheet and the competitiveness effects in a country that records very high levels of liability euroization. Panel data methodology is applied on a dataset of 20 Croatian non-financial sectors combining macroeconomic and sectoral financial information. Results confirm there are strong negative liability euroization effects on both investment and sales. Negative balance sheet effects and very small positive competitiveness effects are found as well, adding up to a negative overall exchange rate depreciation effect on sectoral performance. Moreover, we find evidence that the corporate sector does not hedge against exchange rate exposure and that the domestic financial system is a constraining factor for corporate investment dynamics. We also find proof of size asymmetries related to bank lending relationships. In Chapter 4 we build an empirical model of sovereign spreads and its determinants, relying on recent theories of imperfect capital markets and balance sheet effects. We investigate nine European emerging economies that suffer from “original sin”, over the period 2001-2011, using dynamic panel error correction models proposed by Pesaran, Shin, and Smith (1999). This methodology improves estimation efficiency and model performance, but it also allows differentiation between long-run and short-run spread determinants. We find that in the long-run, sovereign spreads increase in response to a higher share of external debt in GDP, while they move in the opposite direction when the shares of current account and international reserves in GDP rise. In the short-run, sovereign spreads deviate from the long-run equilibrium, with half of the adjustment taking place in eight months. Our results suggest that in the short-run, higher external debt service caused by exchange rate depreciation, i.e. balance sheet effect, and market volatility tend to raise spreads, while higher tax revenues tend to decrease them. Moreover, we prove that the rise in sovereign spread is not due to external debt accumulation itself, but due to pure balance sheet effects.