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Application of consumption function on CR
Poncar, Jaroslav ; Hušek, Roman (advisor) ; Formánek, Tomáš (referee)
Consumer function is a standard instrument of quantitative economic analysis to examine the relationship between consumer expenditure and income or other influencing factors such as liquid assets, interest rates or various demographic and social factors. In this thesis are presented the most frequently used methods in econometric analysis of consumption function. Attention is paid to the hypothesis of absolute income, relative income, life cycle, permanent income, rational expectations and consumption function based on the error correction model. Furthermore, the suitability of individual models for the current economic situation in the Czech Republic is assessed. Subsequently an empirical model of consumption function for the Czech Republic is designed and tested. Furthermore, the estimates of each consumption function model for the period before and after economic crisis of 2008-2009 are performed and compared. Finally, a short-term prediction of the consumption of Czech households is made.
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Application of the Time Series Analysis for Prediction
Nováčková, Monika ; Hušek, Roman (advisor) ; Formánek, Tomáš (referee)
This thesis attempts to predict daily number of firefighter incidents in the Central Bohemia Region and in the Region of Hradec Králové to improve firefighter shift planning. The analysis is based on a dataset of firefighter incidents from the period between the years 2008 and 2012. Econometric models, capturing yearly and weekly patterns and weather impact were estimated and used for long-term prediction. The first part of the thesis provides a description of tests applied to residuals and other econometric tests used in this study. Then linear regression is applied to model weather impact and effects of days of week and months of year. In the next part regression with AR errors, (S)ARMA models and regression with (S)ARMA errors are estimated. All these models are compared according to properties of residuals and out-of-sample mean absolute percentage error (MAPE). The most accurate models predict daily number of incidents two months ahead with MAPE slightly above 20% which is considerably better than the benchmark Holt-Winters method. Regression models with (S)ARMA errors produce relatively accurate long-term forecasts and its error terms are uncorrelated. Therefore, they can be considered suitable for long-term prediction of firefighter incidents.
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Quantitative marketing
Ráčková, Adéla ; Hušek, Roman (advisor) ; Beck, Jiří (referee) ; Hlaváček, Jiří (referee) ; Tomek, Gustav (referee)
In my dissertation I am interested in the management of marketing cummunication and techniques which make this communication more effective. The main topic of this thesis is the optimization of marketing communication which is discussed from the theoretical point of view at first. Then a social network analysis improving additional and complementary information to predictive models related to customers' behaviour is a part of this thesis. The analysis of social network represents an approach which is used for study of social structure and the analysis of social linkage of individuals in a form of relational data is a subject of its interest. Models of binary choice are used to estimate predictive models, the main attention is dedicated to the logistic regression, further to the logit and probit models including discussion related to the possible use of models of multinomial choice. The mentioned techniques are combined in the application part. The telecommunication market is selected for case studies because it represents a dynamically developing market opened to new and fresh technologies and approaches. Three case studies are discribed in this thesis. The first study is focused on the optimization of proactive telemarketing campaigns realized with foreign telecom operator. The second case study is focused on the optimization of reactive telemarketing campaings what means the optimization of marketing communication in call centers in czech telecom operator. The third case study relates to the important change of czech telecom market which happened in April 2013 and to the role of predictive modelling and optimization in it.
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Models of Analysis and Forecasting of the insolvency of Czech companies
Kuchina, Elena ; Hušek, Roman (advisor) ; Řičař, Michal (referee)
Different scenarios of the financial situation can take place before the company's bankruptcy. There may be long-term trends in the deteriorating financial situation that indicate the impending corporate bankruptcy, or the bankruptcy may occur unexpectedly, even though the company was ranked among prosperous business units. If the economic situation of the company followed the second scenario, when insolvency was quite predictable, static model, i.e. the model which does not take into account the dynamics of changes in the financial indicators, is a good option to capture the probability of bankruptcy. However, the situation becomes different when the financial indicators fail to show a positive trend throughout some years before the insolvency. In this case, the predictive accuracy of the static model could be increased by a dynamic model by taking into account the fact that the development of the financial indicators in the past periods may affect the company's financial health for the period under consideration.
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Dynamické modely inflace
Sodoma, Jan ; Hušek, Roman (advisor) ; Lejnarová, Šárka (referee)
Analýza závislosti inflace na zpožděných hodnotách peněžní zásoby M2 a ceny benzínu Natural 95. Dále vytvoření prognózy modelu inflace na druhé čtvrtletí roku 2008 v ČR oproti prvnímu čtvrtletí roku 2008. Empirické výsledky regresního modelu, jejich interpretace a teoretické řešení problémů multikolinearity a autokorelace.
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Econometric analysis of transmission mechanism in CZ
Plechatá, Zuzana ; Hušek, Roman (advisor) ; Formánek, Tomáš (referee)
This diploma thesis presents results of analysis of monetary policy transmission mechanism in the Czech Republic employing the vector autoregressive (VAR) models. The responsible authority for monetary policy is Czech National Bank that has been using the inflation targeting regime to conduct its monetary policy since 1998. The inflation rate changes, i.e. the changes in repo rate represent a monetary tool for steering actual inflation rate towards the projected or "target" inflation rate. The linear correlation between 2 weeks repo rate and 1 month PRIBOR rate is confirmed. The transmission mechanism is examined within the VAR framework and the relationships between the 1 month PRIBOR rate, gross domestic product and inflation rate are studied. The VAR model including 1 lag is considered as the best performing model. The relationships among variables are analysed by related approaches -- Granger causality, impulse response functions and cointegration. The ability of model to create forecasts is assessed and the ex ante forecasts are produced for one-year horizon. The effects of alternative monetary policies are the subject of scenario analysis.
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Simulation analysis of the impact of alternative rates of VAT
Lacinová, Věra ; Hušek, Roman (advisor) ; Formánek, Tomáš (referee)
This thesis is composed of free main chapters. The first two chapters of is a theoretical part. The first chapter is devoted to the theory of economic policy and analysis of economic indicators. The second chapter concerns the econometric theory and describes vector autoregression models theory and econometric forecasting. In the third, practical part, aims to find out with the help of real data of the Czech economy impacts of alternative VAT rates on selected indicators of the czech economy, these indicators are gross domestic product, unemployment rate and consumer price index. As a tool to determine the impact of using models and vector autoregression method scenarios.
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Inflation analysis and its comparison in the Czech Republic and Germany
Maxa, Jan ; Hušek, Roman (advisor) ; Formánek, Tomáš (referee)
The aim of this paper is to analyse and compare inflation and its dynamics between two countries -- the Czech Republic and Germany -- applying a special kind of econometric models. The first part of this paper is dedicated to economic theory of inflation -- fundamental terms, measuring methods and its targeting. The monetary policy in the Czech Republic and Germany is also shortly introduced. Next chapter tries to describe the econometric concept which is used in this paper -- vector autoregression model (VAR model). In connection with the VAR models, Granger causality, impulse response function, cointegration and error correction model are mentioned as well. The empirical part includes application of selected models on real time series of macroeconomic indicators. Next to the interpretation of results, the forecasts are also implemented.
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Application of dynamic production function
Arzumanov, Robert ; Hušek, Roman (advisor) ; Formánek, Tomáš (referee)
Industry is still one of the most important and key sectors of economy. Optimization and increase in efficiency in the competitive environment are one of the crucial processes in the business development. High-quality and functional analysis of the production processes and their appropriate adjustment are between the key factors of production company's success. Therefore fine models and instruments suitable for such research are gaining importance. They help to make important analysis and toward better understanding the production process including the basis of its right adjustment. One of the commonly accepted models is the production function. This thesis is particularly focused on the dynamic form of Cobb-Douglas production function, which among other measures the innovative influence. Some of the methods of its usage and achieved results are demonstrated, including the deduction of possible verdicts or advice for the concrete company. The discussion on its significance and particularities is also held in the conclusion of the thesis.
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Modelling and forecasting inflation
Nguyen, Tran Anh Tuan ; Hušek, Roman (advisor) ; Formánek, Tomáš (referee)
The aim of the thesis is an analysis of inflation in the Czech Republic in the period 2004 - 2011, using econometric models. This work is divided into two parts, theoretical and practical. The theoretical part describes the definition of inflation, its forms, ways of measuring inflation, positive and negative effects of inflation, causes of inflation and inflation targeting. Subsequently described the historical development of a simple Phillips curve and other modifications. The practical part contains the empirical analysis of inflation in the CR using the models described in the theoretical part, with the help of other alternative forms of the Phillips curve. At the end of their work are selected models to predict inflation. The thesis is the implementation of all the calculations in MS Excel and SAS statistical software program.
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