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Accuracy of Leading Economic Indicators
Sabol, Michal ; Pištora, Vojtěch (advisor) ; Hausenblas, Václav (referee)
The bachelor thesis deals with the evaluation of the predictive ability and measurement of the forecasting performance that economic indicators display with respect to the upcoming development of the business cycle. It provides overview of the business cycle and of the most commonly used leading indicators. Additionally, measurement methods of the forecasting performance are reviewed. The core of the thesis is the assessment of the forecasting performance of the Czech and German economic indicators intra- and inter-countries. In the first stage of the analysis, the predictive ability of indicators is evaluated according to the Pearson correlation coefficient and the Granger causality. Subsequently, small set of indicators is selected, and through ARIMA and ARIMAX models is their forecasting performance further analysed. The results of the analysis show that the quantitative indicators from the categories such as production, turnover, trade and finance, and qualitative indicators aimed at business climate, economic expectations and different economic sectors display considerable rate of predictive ability for both countries. Moreover, the OECD's CLI and Stock Market Indexes exhibit greater relative importance in the case of the Czech Republic than in that of Germany, whereas, for the Overall...
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Accuracy of Leading Economic Indicators
Sabol, Michal ; Pištora, Vojtěch (advisor) ; Hausenblas, Václav (referee)
The bachelor thesis deals with the evaluation of the predictive ability and measurement of the forecasting performance that economic indicators display with respect to the upcoming development of the business cycle. It provides overview of the business cycle and of the most commonly used leading indicators. Additionally, measurement methods of the forecasting performance are reviewed. The core of the thesis is the assessment of the forecasting performance of the Czech and German economic indicators intra- and inter-countries. In the first stage of the analysis, the predictive ability of indicators is evaluated according to the Pearson correlation coefficient and the Granger causality. Subsequently, small set of indicators is selected, and through ARIMA and ARIMAX models is their forecasting performance further analysed. The results of the analysis show that the quantitative indicators from the categories such as production, turnover, trade and finance, and qualitative indicators aimed at business climate, economic expectations and different economic sectors display considerable rate of predictive ability for both countries. Moreover, the OECD's CLI and Stock Market Indexes exhibit greater relative importance in the case of the Czech Republic than in that of Germany, whereas, for the Overall...
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Is it worth investing in Czech mutual funds?
Sedlačík, Adam ; Křehlík, Tomáš (advisor) ; Pištora, Vojtěch (referee)
In the Czech Republic many people do not invest. Therefore, we try to find out whether Czech mutual funds offer a good opportunity for investment on the Czech market in comparison with American funds. We use Sharpe ratio, Treynor index, Jensen's alpha and Modern portfolio theory to find this out. We conclude that Czech bond mutual funds are safe place to put your money in even though they provide small but almost certain returns. Czech stock funds perform worse than their American counterparts in terms of Sharpe ratio, Treynor index and Jesen's alpha. Applying modern portfolio theory proved to be beneficial in case of mutual funds in the Czech Republic. Powered by TCPDF (www.tcpdf.org)
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Macroeconomic News and Their Impact on Sovereign Credit Risk Premia
Pištora, Vojtěch ; Hausenblas, Václav (advisor) ; Bobková, Božena (referee)
This thesis provides evidence of how macroeconomic surprises, constructed as deviations from market expectations, impact daily spread changes of Czech, Polish and Hungarian (CEEC-3) government bonds and sovereign credit default swaps. Firstly, we carried out series of event studies that inspect the spreads' reactions to the announcements. Subsequently, we employed the general-to-specific modeling approach and arrived at thirty GARCH-type models that consider surprises' impact on both conditional mean and variance. We have found significant impacts on the mean, yet in terms of magnitude, the impact of macroeconomic surprises has not been superior to that of broad financial factors. The impact on spreads' volatility appears more consequential though it lacks a clear pattern: Both good and bad news have been found to affect the volatility in either direction. Our findings suggest that with respect to macroeconomic news, daily changes of the bond spreads are driven rather by inflation expectations than by credit risk considerations. Foreign news proxied by the German surprises seems to affect the CEEC-3 bond spreads mainly through the risk-free proxy - the German Bund yield. Contrary to studies using low-frequency macroeconomic data, we have found no evidence for the "wake-up call" hypothesis.
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Economics of Gambling Behavior
Pištora, Vojtěch ; Skořepa, Michal (advisor) ; Lopušník, Ondřej (referee)
This thesis deals with gambling behavior, both from the point of view of decision theory and with regard to the Czech gambling experience. Gambling at actuarially unfair odds is commonplace, yet the standard model of consumer choice cannot explain this phenomenon owing to the usual assumption of risk aversion. Theories of decision under risk dealing with betting behavior and answering the question why people gamble are surveyed. The phenomenon can be explained by adjustments within the expected utility theory, but non-expected utility models provide an alternative approach that seems to be descriptively more accurate. In the second part fundamental points of the Czech gambling reality are covered with the aim to provide a comprehensive overview as a tool for future researchers. The empirical part proceeds with analysis of socio- economic determinants of gambling participation and expenditure, to our knowledge for the first time based on Czech data. Given the absence of specialized micro-level data, two independent data sources from general expenditure surveys have been used. Strong conclusions for public policy could not be reached but the analysis still provides valuable insights.
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