National Repository of Grey Literature 149 records found  1 - 10nextend  jump to record: Search took 0.01 seconds. 
The impact of macroeconomic factors on exchange rate volatility in the Czech Republic
Shahinaj, Ariola ; Kočenda, Evžen (advisor) ; Horváth, Roman (referee)
Směnný kurz je jedním z nejvýznamnějších faktorů hospodářského růstu a jeho stabilita má přímý dopad na konkurenceschopnost země v mezinárodním obchodě. Cílem této práce je prozkoumat vliv míry nezaměstnanosti (UR), míry inflace (INF), úrokové sazby (IR), indexu průmyslové výroby (IPI), vládních výdajů (GE) a čistého vývozu (NX) na volatilitu směnného kurzu. (CZKEUR) v České republice. Za tímto účelem je prognóza volatility kurzu české koruny k euru (CZKEUR) analyzována modely GARCH a MGARCH. Navíc byl použit model autoregresivního distribuovaného zpoždění (ARDL), aby se prozkoumala přítomnost jakéhokoli dynamického krátkodobého nebo dlouhodobého vztahu mezi nominálním směnným kurzem a makroekonomickými proměnnými s využitím měsíčních údajů za časové období od ledna 1999 do prosince 2019. Zjištění naznačují, že existuje krátkodobý vztah mezi mírou nezaměstnanosti, mírou inflace, čistým vývozem a směnným kurzem. Výsledek modelu korekce chyb ukazuje, že směnný kurz má relativně slabé přizpůsobení rovnováze rychlostí úpravy 7,6%, kdykoli dojde k šoku v dlouhodobé rovnováze. Klasifikace F12, F21, F23, H25, H71, H87 Klíčová slova volatilita směnného kurzu, ARDL, GARCH, ECM. E-mail autora 33049215@fsv.cuni.cz E-mail vedoucího práce Evzen.Kocenda@fsv.cuni.cz 2
Asset prices and macroeconomics: towards a unified macro-finance framework
Maršál, Aleš ; Horváth, Roman (advisor) ; Holub, Tomáš (referee) ; Kónya, István (referee) ; Pástor, Luboš (referee)
Asset prices and macroeconomics: towards a unified macro-finance framework Aleš Maršál March 30, 2020 Abstract The dissertation consists of three papers focused on fiscal policy and explaining what determines the dynamics of cross-sectional distribution of bond prices. The connecting factor of the thesis is however not just its main theme but also the used methodology. The valuation of bonds and effects of studied policies are endogenous outcome of the full-fledged macro-finance dynamic stochastic general equilibrium model. The first chapter provides broader context and non-technical summary of the three papers in following chapters. The first paper studies the role of trend inflation in bond pricing. Motivated by recent empirical findings that emphasize low-frequency movements in inflation as a key determinant of term structure, we introduce trend inflation into the workhorse macro-finance model. We show that this compromises the earlier model success and delivers implausible busi- ness cycle and bond price dynamics. We document that this result applies more generally to non-linearly solved models with Calvo pricing and trend inflation and is driven by the behavior of price dispersion, which is i) counterfactually high and ii) highly inaccurately approximated. We highlight the channels be- hind the undesired performance...
Three Essays on Central European Foreign Exchange Markets
Moravcová, Michala ; Horváth, Roman (advisor) ; Komárek, Luboš (referee) ; Baumohl, Eduard (referee) ; Pappas, Vasileios (referee)
This dissertation thesis consists of three essays on new EU foreign exchange markets (FX), i.e. the Czech koruna, Polish zloty and Hungarian forint. In the first two essays, the impact of foreign macroeconomic news announcements and central banks' monetary policy settings on the value and volatility of examined exchange rates is analyzed. In the third chapter, the conditional comovements and volatility spillovers on new EU FX markets is examined. The aim of this thesis is to contribute to the existing empirical literature by providing new evidence of the examined currencies during periods, which have not been examined yet (after the Global financial crisis (GFC), during the EU debt crisis and during currency interventions in the Czech Republic). The first essay (Chapter 2) examines the impact of Eurozone/Germany and US macroeconomic news announcements and monetary policy settings of the ECB and the Fed on the value of new EU member states' currencies. It is a complex analysis of 1-minute intraday dataset performed by event study methodology (ESM). We observe different reactions of exchange rates in pair with the US dollar on the US macroeconomic announcements and Euro-expressed FX rates on Germany macro news during the EU debt crisis and after it. We also provide evidence of leaking news, showing...
Essays on Macro Imbalances, Monetary Policy and Exchange Rates
Hájek, Jan ; Horváth, Roman (advisor) ; Hartwell, Christopher (referee) ; Komárek, Luboš (referee) ; Kapounek, Svatopluk (referee)
The dissertation consists of four empirical papers in the field of monetary economics. The first paper examines the extent of real exchange rate misalignment in the selected euro area countries, the next two papers shed light on macroeconomic spillovers in the remaining EU countries which are not part of the single currency area, while the last paper focuses on the exchange rate pass-through in the Czech Republic.
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

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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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