National Repository of Grey Literature 145 records found  1 - 10nextend  jump to record: Search took 0.00 seconds. 
Measurement of Clarity of Financial Stability Reports
Mišák, Vojtěch ; Horváth, Roman (advisor) ; Jakubík, Petr (referee)
The topic of this diploma thesis is to measure and investigate the clarity of Financial stability reports from 27 European central banks. Using unbalanced panel data from 2004 to 2017 we found out variables that determine the level of clarity of Financial stability reports. Clarity indices are calculated by Flesch-Kincaid readability tests. Based on our results, we claim that the clarity of the Financial stability report is affected by the level of independence of the central bank and by non-housing macroprudential policy index. Furthermore, the clarity of Financial stability reports changes among years and especially during the financial crisis. According to spatial models, the distance between central banks really matters in the terms of the clarity of Financial stability reports.
The Trump Sentiment: The Effect of News on the US Stock Market
Pinteková, Aneta ; Kukačka, Jiří (advisor) ; Horváth, Roman (referee)
This thesis examines how the American economy is affected by the market sentiment that arises from the news about actions and decisions of the American President Donald Trump. The news articles are obtained from Reuters for the period between the 1st of May and the 30th of November 2018, based on which a sentiment variable is created using natural language processing methods. Firstly, the impact of Trump sentiment on the returns on the S&P 500 Index is examined. The results show a positive and statistically significant impact of sentiment from the previous day on today's S&P 500 Index return. A statisti­ cally significant effect of the sentiment from a week ago is also found, however, this effect is negative. This result indicates that there is an initial overreaction to the new information, followed by subsequent market correction to the mean. Such result is consistent with the findings of the field of behavioural finance, which incorporates the idea that investor psychology is involved in investment decision making. Secondly, the impact of the news sentiment on the performance of individual sectors of the American economy, as measured by the returns on S&P 500 sector indices, is analysed. A statistically significant effect of sentiment on sector index return is found in the case of Consumer...
Income Shocks and Ethnic Group Bias
Hruban, Jiří ; Bauer, Michal (advisor) ; Horváth, Roman (referee)
Diploma Thesis Abstract JEL Classification Z13, O12, O13, Z91 Keywords income shock, endogeneity, ethnicity, instrumental variables Title Income Shocks and Ethnic Group Bias Author's e-mail 61618416@fsv.cuni.cz Supervisor's e-mail bauerm@fsv.cuni.cz Abstract The thesis explores how individual income shocks impact ethnic group bias using a survey dataset from Uganda and meteorological data. Previous research has shown that the majority of civil conflicts break down along ethnic lines, and that ethnic tribalism harms economic performance of countries. A better understanding of the causal mechanism behind ethnic bias could help alleviate both of those problems. The author finds that income shocks have no measurable effect on ethnic out-group bias, but they might influence ethnic in-group bias. Since the regression of ethnic bias variables on income proxies likely suffers from endogeneity, the author employs the copula endogeneity correction model, which, however, does not prove to perform well with a binary dependent variable. In addition, the author demonstrates that ethnic group bias is most likely not directly influenced by variations in rainfall and that instrumenting for income with rainfall variation leads to non- robust results with even a small violations of model assumptions.
Vliv institucí na přeshraniční rozptyl
Schwarz, Jiří ; Jurajda, Štěpán (advisor) ; Horváth, Roman (referee)
This thesis, building on existing studies on border effect, analyzes price dispersion among cities in the European region over the last twenty years (1990-2009). An extensive overview of the literature reveals that the authors completely neglect the entrepreneurial aspect of the arbitrage process, even though arbitrage is the main power behind the law of one price. Once we understand arbitrage as productive entrepreneurial activity, institutional quality should be one of determinants of arbitrage attractiveness and should, therefore, influence the price dispersion. To test this hypothesis I express the quality of institutions as one of the factors influencing total costs of arbitrage, together with population density in cities used as a proxy for competition intensity, and distance. The regression analysis proves that all three variables explain a part of observed price dispersion - the higher is the density and the better are the institutions, the lower is the predicted dispersion. This result can also be viewed as a small contribution to the emerging literature empirically testing the theory of productive and unproductive entrepreneurship.
Central Bank Communication and Correlation between Financial Markets: Evidence from the Euro Area
Kučera, Milan ; Horváth, Roman (advisor) ; Krištoufek, Ladislav (referee)
The aim of this thesis is to assess the effect of ECB's communication on financial market co- movements between Italy, Spain, Germany and France using MGARCH family of models. Author addresses partially the potential problem of endogeneity of central bank communication by using Composite indicator of systemic stress and excess liquidity. The author estimates the impact of ECB's communication on correlations of government bond yield changes using daily data from 2008 to 2014. For this purpose author employs bivariate diagonal BEKK(1,1) and bivariate scalar BEKK(1,1) with surprises of macroeconomic announcements under control. The results are consistent and robust for all models, the results suggest that communication does not have statistically significant effect on financial market correlations in the Euro area. Furthermore, author defines delta functions which describe and quantify the immediate and full effect of explanatory variables on conditional correlations in bivariate diagonal BEKK(1,1) and bivariate scalar BEKK(1,1). To the best of author's knowledge this thesis is the only one in the literature which examines this effect of ECB's communication by MGARCH models. Keywords: Financial markets, central bank communication, correlation, MGARCH, BEKK Author's e-mail: milankucera1@seznam.cz...
Central Bank Communication and Systemic Stress
Pokorná, Anna ; Horváth, Roman (advisor) ; Jakubík, Petr (referee)
This thesis aims to examine the effect of European Central Bank's (ECB) oral communication on the financial systemic stress in the euro area. It considers ad-hoc speeches and interviews by the members of the ECB Governing Coun- cil as well as official press conferences between July 2008 and January 2014. The empirical analysis tests the effects of communication intensity and senti- ment and whether they differ in different stress regimes. Regression results of ARIMA based models and Threshold auto-regressive model suggest that oc- currence of official press conference increases the systemic stress, sentiment of communication matters only in the case of the ad-hoc speeches and interviews, but mainly that both the official and unofficial oral communication have a con- siderably stronger effect in periods of heightened systemic stress. Although the estimated effects are rather small, this thesis provides support for the hypoth- esis that ECB communication can affect the systemic stress. i
Google Econometrics: Predicting Bond Prices
Krečmer, Marek ; Horváth, Roman (advisor) ; Kočenda, Evžen (referee)
1 Abstract The thesis analysed whether it is possible to improve on time-series forecasting models used to predict prices and volatility of government bonds by adding online search data. Previous research showed that Google trends data are an useful source of an additional information which could improve various fore- casting or nowcasting models. Our research expanded the area into government bonds and tested if the Google trends data could be of any use on this kind of data as well. We have analysed most of the government bond tenors of all the main English speaking countries and the Czech Republic and focused on one-day- ahead forecasting of yields and weighted volatility. To forecast the next day values, we have set up ARIMA-GARCH, GARCH(1,1), AR(1), mean, median and lagged values and compared their performance with the realized values. In addition, we have set-up augmented versions of ARIMA-GARCH, GARCH(1,1) and AR(1) that included online search data. The subsequent findings can be sometimes inconclusive but we have observed quite significant improvements for some of the models and tenors of United States, United Kingdom and Australian government bonds. We have arrived at the conclusion that Google trends data could be used to improve some of the models. It is also possible that the usability depends...
Base erosion and profit shifting by multinational firms: re-estimation of firm-level evidence
Petrouš, Michal ; Janský, Petr (advisor) ; Horváth, Roman (referee)
iv Abstract The thesis focuses on base erosion and profit shifting (BEPS) and resulting corporate income tax gains or losses. I first estimated profit shifting semi-elasticity using database of firm-level financial data. Subsequently I used these estimates to calculate corporate income tax gains or losses for individual countries. I estimate several models to see how much the semi-elasticity depends on specification and what affects it. The evidence suggests that companies do shift profits to countries with lower tax rate. The estimated overall profit shifting semi-elasticity ranges from 1.524 to 3.695 for different specifications of the benchmark model. Semi-elasticity of individual countries increases with financial secrecy score. Using statutory tax rate yields stronger results than using country-level effective tax rates calculated from the financial data. The estimated effect on government revenue ranges from 12% loss to 23% gain of corporate income tax revenues. In the sample of 53 countries with sufficient number of observations this translates to overall loss 48 billion US dollars. JEL Classification F23, F68, G38, H25, H26, H87 Keywords base erosion, profit shifting, corporate income tax, financial secrecy Author's e-mail michal.petrous@gmail.com Supervisor's e-mail jansky@fsv.cuni.cz
Assessing Economic Linkages between the EU and the Eastern Europe Neighbours
Moisei, Daniela ; Horváth, Roman (advisor) ; Komárek, Luboš (referee)
Charles University Faculty of Social Sciences Institute of Economic Studies MASTER'S THESIS Assessing Economic Linkages between the EU and the Eastern Europe Neighbours Author: Bc. DanielaMoisei Supervisor: Prof. Roman Horváth, Ph.D. Academic Year: 2017/2018 Abstract The proposed study analyses the economic linkages between five Central and Eastern European countries (Czech Republic, Romania, Moldova, Georgia and Ukraine) and the euro area, in the period 2006-2017, applying the block-restriction vector autoregression model. It allows evaluating the amplitude and persistence of the domestic vs. euro area shocks on four macroeconomic indicators: real GDP, short-term interest rate, CPI, and FX rate. The main findings emphasize that EU members are more economically synchronized with the euro area, responding to external factors in less than 10 months. Nevertheless, the Central Banks of the East European countries react extensively to the ECB monetary policy shocks, following broadly its short-term interest rate. Eastern Neighbourhood countries and Central EU members demonstrated tight connections with the euro area, in terms of international transmission of price shocks and economic activity synchronization. Thus, Czech Republic and Romania could be relevant models for the Eastern European countries, reaching...
The Effect of Unconventional Monetary Policy of ECB on Housing Prices
Górecki, Vojtěch ; Horváth, Roman (advisor) ; Kučera, Adam (referee)
Thethesisexaminestherelationshipbetweentheunconventional monetary policyofECBandhousing markets. Weconducttheempiricalanalysison quarterlypaneldataconsistingofvariablesfromselectedeuroareacountries overtheperiod2007Q4-2017Q4. Theunconventional monetarypolicyis measuredwiththe Wu-XiaShadowrate. Thepanel VAR modelestimation providesonlyweakevidenceonthepositiveeffectoftheunconventionalmon- etarypolicyonhousingprices. Theevidenceonthe mortgageratesis more convincinginestimatingsignificantresponsethatspansovertwoyearswith peakatoneyearmark.Theresultsoftheindividualcountryanalysisindicate theheterogeneityofresponses,whiletheeffectislesssignificantincountries thatweremoreaffectedbythefinancialandsovereigndebtcrisis. JEL Classification C30,E00,R30, Keywords panel vector autoregression, unconventional monetarypolicy, ECB,housing market,euro area,shadowrate Author'se-mail vojtech.gorecki@gmail.com Supervisor'se-mail roman.horvath@fsv.cuni.cz

National Repository of Grey Literature : 145 records found   1 - 10nextend  jump to record:
See also: similar author names
23 HORVÁTH, Roman
1 Horváth, R.
2 Horváth, Radovan
23 Horváth, Roman
23 Horváth, Roman
1 Horváth, Rudolf
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