Hello

Assoc. Prof. Svatopluk Kapounek, Ph.D.

Mendel University in Brno
Faculty of Business and Economics

I am senior researcher and lecturer in the field of financial econometrics, international investment management, international finance and monetary economics. Additionally, I am vice-dean of research and program director of Finance and Investment Management at the Faculty of Business and Economics, Mendel University in Brno, Czech Republic, vice-president of the Czech Economic Society, and research fellow of the National Bank of Slovakia.

My research focuses on policy and uncertainty modelling including decision making processes employing Frequentist and Bayesian frameworks, especially:

  • financial system vulnerability, regulatory mechanisms and monetary policy efficiency in the heterogeneous Europe, financial cycle dating and co-movement identification in time, frequency and time-frequency domain;
  • firm access to finance, firm-bank relationships, crowdfunding, ownership structures and its consequences;
  • financial asset pricing and forecasting with respect to anomalies explained by expectations, sentiment, behavioural (in)attention and portfolio optimization.

Professional Path

since 2017

Research fellow at the National Bank of Slovakia

since 2015

Editor in Chief, European Journal of Business Science and Technology

European Journal of Business Science and Technology

since 2014

Vice-dean of Research, Mendel University in Brno, Faculty of Business and Economics

PEF

since 2014

Co-Editor, Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis

ACTA

since 2012

Graduate Program Director, Finance and Investment Management

FIM

since 2010

Associated Professor at the Department of Finance, Mendel University in Brno, Faculty of Business and Economics

Department of Finance

2007 – 2014

Researcher at the Research Centre, Mendel University in Brno, Faculty of Business and Economics

2007 – 2010

Assistant Lecturer, Mendel University in Brno, Faculty of Business and Economics

1997 – 2015

Owner and Executive Director of the PARKHOTEL Brno

Parkhotel

Qualification

2010

Habilitation: Finance

2007

Ph.D.: Finance

2002

Ing.: Finance

Computer Skills

Matlab, Stata, Python, LaTeX and others I need for my research activities

Languages

English (advanced), German (basic), French (basic), Czech (mother tongue)

Other experiences

2017

Bayesian Methods for DSGE models, Kristoffer Nimark, Summer School, Barcelona, Spain

2017

Time-Series Methods for Financial Time Series, Christian Brownlees, Summer School, Barcelona, Spain

2017

Monetary Policy: An Imperfect Knowledge Perspective, Bruce Preston, Euro Area Business Cycle Network Training School, Mannheim, Gemany

2016

Advanced Bayesian Time Series Methods, Dimitris Korobilis, Summer School, Barcelona, Spain

2016

Introductory Bayesian Time Series Methods, Gary Koop, Summer School, Barcelona, Spain

2016

University of Missouri, USA, Sel Dibooglu, Research Visit

2013

Treatment Effects and Panel Data Estimation, Jeff Wooldridge, Summer School, University of Rethymno, Greece

2011

DSGE model estimation in Dynare, DSGE-net Summer School, Paris, France

2007

Economic Growth and Empirics, Steven N. Durlauf, Summer School, Rethymno, Greece

Selected Publications

Selected Work in Progress

  • HORVÁTH, R., KAPOUNEK, S. Measuring Financial Market Uncertainty in the U.S.
  • FIDRMUC, J., KAPOUNEK, S. Risks and Financial Vulnerability of Foreign Bank Ownership in CEECs: Evidence from Exchange Rate Depreciation after the Financial Crisis.
  • KAPOUNEK, S., KUČEROVÁ, Z. Google Trends and Exchange Rate Movements: Much Cry and Little Wool?
  • KAPOUNEK, S., KUČEROVÁ, Z. Herding Behaviour and Information Asymmetries in Crowdfunding.
  • BUKOVINA, J., KAPOUNEK, S. Google Queries as Indicator of Mortgage Demand: Evidence from Wavelet Analysis.

Selected Journal Articles (published and forthcoming)

  • KAPOUNEK, S., KUČEROVÁ, Z. 2018. Historical Decoupling in the EU: Evidence from Time-Frequency Analysis. Forthcoming in International Review of Economics and Finance, IF=1.318 (download pdf)
  • DELTUVAITÉ V., KAPOUNEK, S., KORÁB, P. 2018. Households’ Saving Behaviour in Reaction to the External Macroeconomic Shocks and Behavioral Attention. Forthcoming in Prague Economic Papers: Quarterly Journal of Economic Theory and Policy, IF=0.825 (download pdf)
  • KAPOUNEK, S., KUČEROVÁ, Z., FIDRMUC, J. 2017. Lending Conditions in EU: The Role of Credit Demand and Supply. Economic Modelling, 67, 285–293, IF=1.463. (download pdf)
  • KAPOUNEK, S. 2017. The Impact of Institutional Quality on Bank Lending Activity: Evidence from Bayesian Model Averaging. Finance a úvěr-Czech Journal of Economics and Finance, 67(5), 372–395, IF=0.604 (download pdf)
  • FIDRMUC, J., KAPOUNEK, S., SIDDIQUI, M. 2017. Which Institutions are Important for Firms Performance? Evidence from Bayesian Model Averaging Analysis. Panoeconomicus, 64(4), 383–400, IF=0.444 (download pdf)
  • KAPOUNEK, S., KAŠPAROVSKÁ, V. 2016. Dynamic Provisioning as an Automatic Stabilizer of the Financial Instability. Society and Economy, 38(3), 341–358 (download pdf)
  • FIALA, V., KAPOUNEK, S., VESELÝ, O. 2015. Impact of Social Media on the Stock Market: Evidence from Tweets. European Journal of Business Science and Technology, 1(1), 24–35 (download pdf)
  • MARŠÁLEK, R., POMĚNKOVÁ, J., KAPOUNEK, S. 2014. A Wavelet-Based Approach to Filter Out Symmetric Macroeconomic Shocks. Computational Economics, 44(4), 477–488, IF=0.691 (download pdf)
  • POMĚNKOVÁ, J., KAPOUNEK, S., MARŠÁLEK, R. 2014. Variability of Dynamic Correlation – the Evidence of Sectoral Specialization in V4 Countries. Prague Economic Papers: Quarterly Journal of Economic Theory and Policy, 3, 371–387, IF=0.825 (download pdf)
  • KAPOUNEK, S., POMĚNKOVÁ, J. 2013. The endogeneity of optimum currency area criteria in the context of financial crisis: Evidence from the time-frequency domain analysis. Agric. Econ. – Czech, 59, 389–395, IF=0.482 (download pdf)
  • KAPOUNEK, S., LACINA, L. 2011. Inflation Perceptions and Anticipations in the Old Eurozone Member States. Prague Economic Papers: Quarterly Journal of Economic Theory and Policy, 2, 120–139, IF=0.825 (download pdf)
  • POMĚNKOVÁ, J., KAPOUNEK, S. 2009. Interest Rates and Prices Causality in the Czech Republic – Granger Approach. Agric. Econ. – Czech, 7(55), 347–356, IF=0.482 (download pdf)

 

Full List of Publications (pdf)

Research Projects

2018 – 2021

Reassessment of the Optimum Currency Area in the persistently heterogeneous European Union, coordinator, the Research Council of Lithuania, No. 09.3.3-LMT-K-712

2018 – 2019

SQTrader – asset optimization methods development, team member, Ministry of Industry and Trade, reg. number: CZ.01.1.02/0.0/16_084/0010365.

2017 – 2019

Comparative Study of Crowdfunding Projects: Business Decision-Making Process, Risks and Regulation, team member, Czech Science Foundation, reg. number: 17-25924S

2016 – 2018

Sentiment and its Impact on Stock Markets, coordinator, Czech Science Foundation, reg. number: 16-26353S

2015 – 2018

Cross-Border Contagion Risk: Threats and Implications for the Central and Eastern European Countries, team member, the Research Council of Lithuania, reg. number: MIP-15031

2014 – 2016

Financial Crisis, Depreciation and Credit Crunch in CEECs, coordinator, Czech Science Foundation, reg. number: 14-28848S

2012 – 2014

CEE Banking sector stability after the reform of the European financial supervision, coordinator, Jean Monnet Multilateral Research Group, reg. number: 530069-LLP-1-2012-1-CZ-AJM-RE

2011 – 2012

Time-frequency approach for the Czech Republic business cycle dating, team member, Czech Science Foundation, reg. number: 402/11/0570

2007 – 2008

Study of the impact of Euro on the Czech Economy, team member, Czech Ministry of Finance

Courses

Alternative Investments (since 2018)

Commodities, real estates, currencies, Private equity, Crowdfunding, ETF, hedge funds, Credit derivatives, Structured products, Alternative investments in portfolio

Theory of Finance (for Ph.D. students, since 2017)

Theory of dynamic asset pricing, Financial market volatility, Risk measurement and forecasting, Portfolio optimization employing DCC, Theory of behavioural finance, Asymmetric information and herding behaviour, Rational Expectation theory, Theory of rational (in)attention

Regulation of Financial Markets (for MSc. students, since 2016)

Financial crisis, causes and consequences, Financial instability and macroprudential policy, Basel I-IV, Solvency I-II, Financial market regulation in the Euro-area and US, Banking union in the Europe, Systemic risk measurement

International Investment Management (for MSc. students, since 2014)

Portfolio risk management, Stockpicking strategies, Modern portfolio theory, International asset pricing models (CAPM, ICAPM, APT, IAPT), Value at Risk, Alternative assets and strategies, Portfolio performance evaluation, Ethics at the financial markets,

Capital Markets (for MSc. students, since 2014)

Fundamental analysis of stocks, Technical analysis of stocks, Bond specifics and bond yield curve estimations, Derivatives – advanced level, Structured products, Options for fundraising in the capital markets

International Finance (for MSc. students, since 2013)

Currency markets, capital flows and exchange rate systems, Balance of payments and basic fundamental analysis of exchange rate, Parity conditions and International Fisher Effect, Monetary approach to exchange rate determination, debt-adjusted real exchange rate, Dornbusch’s overshooting model, portfolio rebalancing, rational expectations and risk premium, Exchange rate forecasting employing technical analysis and ARMA processes, Foreign exchange risk management applying operational techniques and derivatives (forwards, options and swaps)

Financial Economics and Econometrics (for talented MSc. students and Ph.D. students, since 2011)

Merging and basic processing of large databases, cluster analysis, basic regressions employing OLS and ML estimators (time series and panel), endogeneity in panel data (instrumental variables and Arellano-Bond estimator), VAR, cointegration and VECM, GARCH, E-GARCH, TARCH, multivariate GARCH, portfolio optimization employing Markowitz theory and DCC, uncertainty and fat data (Bayesian Model Averaging and Dynamic Model Averaging, LASSO), meta-analysis, behavioural attention measuring

Former

Econometrics, Public Finance, Methodology of Science, Theory of Monetary Integration,
Monetary Policy and Central Banking, Financial Markets

Invited Lectures and Keynote Speeches

Implied Volatility Modelling and Portfolio Optimization, Alternative Investments, Efficient Market Hypothesis testing using Wavelet Analysis

University of Florence, Italy, November 8–9, 2018

Alternative Investments and Portfolio Optimization

Zeppelin University in Friedrichshafen, Germany, February 23–May 5, 2018

Applied research challenges and opportunities

Vilnius University, Lithuania, January 3, 2018

Impact of euro adoption on export in heterogeneous Europe

Internal workshop of the National Bank of Slovakia, December 21, 2017

Bayesian model averaging in meta-analysis

MAER-Net Colloquium 2017, Friedrichshafen, Germany, October 12-14, 2017

Depreciation, Liquidity Shocks and Credit Crunch in CEECs

Workshop on Crisis, Economic Governance and Macroeconomic Stability in CEEC, Iasi, Romania, April 18–20, 2013

Financial Econometrics – Problems and Challenges

Conference Metamorphosis of Europe: Simulations of a new Global Political Economy?, Vienna, Austria, December 12–13, 2013