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Finance and Growth: A Bayesian Model Averaging Evidence
Mareš, Jan ; Horváth, Roman (advisor) ; Seman, Vojtěch (referee)
The question whether financial development is conducive to economic growth has entered the debate with new intensity following the financial crisis of 2007-2008. We use standardized dataset on economic growth established by the literature and Financial Development Database by World Bank to inspect the relationship. Unlike other studies, we employ Bayesian Model Averaging (BMA) to address model uncertainty inherent to modelling of economic growth. Apart from dealing with omitted variable bias it also allows us to compare relative importance of banking sector and financial markets along with their varying characteristics. Examining real economic growth rates 1960-2011 in 68 countries, we find little evidence in favour of traditional financial development proxy - financial depth - to affect economic growth. Our initial results point to the importance of banking sector efficiency, approximated by net interest margin, as essential growth determinant. Moreover, we use financial indicators to construct overall measure of financial development and find it highly relevant to economic growth. The results are robust to different parameter and model priors in BMA, but not to specifications dealing with potentially endogenous nature of the finance-growth correlation.
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Forecasts of the public debt for the Czech Republic
Sentivany, Daniel ; Janský, Petr (advisor) ; Seman, Vojtěch (referee)
Main goal of this thesis is to forecast future trajectory of the public debt level of the Czech Republic when taking into account ongoing fiscal reforms of the government and the after- math of the global financial crisis. A short survey of existing literature concerning fiscal austerity is presented in the first part, followed by the further motivation for the forecast- ing of the public debt level. Second part of thesis focuses mainly on the most important question, which is sustainability of the debt. We found out, that the public debt of the Czech Republic is clearly unsustainable, we also calculated so called fiscal gap to determine the amount needed to sustain it. The last third part contains numerous scenarios showing the future development of the public debt of the Czech Republic starting the year 2003, up to the year 2060. According to our results when assuming that no strict fiscal reforms will be introduced by the government in the following decades, we found that the level of the debt in the year 2060 will exceed 260% of GDP. Keywords: public debt; fiscal gap; public deficit; public budgets; public debt forecast; sustainability; debt consolidation; debt management Author's e-mail: sentivany.daniel@seznam.cz Supervisor's e-mail: jansky@fsv.cuni.cz
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Testing the Effects of Parameter Changes in the Bornholdt's Model
Chrz, Štěpán ; Krištoufek, Ladislav (advisor) ; Seman, Vojtěch (referee)
In this work we thoroughly analyze Bornholdt's version of Ising model of ferromagnetism, with emphasis on its ability to mimic some basic stylized facts of financial series. Initially, we provide a breakdown of model definition and analysis of underlying dynamics. Subsequently, we examine and confirm model's ability to mimic stylized facts of financial series. To examine robustness of this ability to parameter change, we conduct simulations over a set of parameter combinations. We conclude that there is a wide set of combinations that yields acceptable simulation results. We also note that the seemingly best results are obtained at parameter values close to border of this set. Powered by TCPDF (www.tcpdf.org)
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Testing the Effects of Parameter Changes in the Bornholdt's Model
Chrz, Štěpán ; Krištoufek, Ladislav (advisor) ; Seman, Vojtěch (referee)
In this work we thoroughly analyze Bornholdt's version of Ising model of ferromagnetism, with emphasis on its ability to mimic some basic stylized facts of financial series. Initially, we provide a breakdown of model definition and analysis of underlying dynamics. Subsequently, we examine and confirm model's ability to mimic stylized facts of financial series. To examine robustness of this ability to parameter change, we conduct simulations over a set of parameter combinations. We conclude that there is a wide set of combinations that yields acceptable simulation results. We also note that the seemingly best results are obtained at parameter values close to border of this set. Powered by TCPDF (www.tcpdf.org)
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Efficiency of Public Procurement in Transport Infrastructure
Pátek, Dalibor ; Skuhrovec, Jiří (advisor) ; Seman, Vojtěch (referee)
The aim of this paper is to evaluate impact of European Union membership and selected institutions on efficiency of public procurement in road and railroad infrastructure. We asses both output efficiency (growth of road and railroad network in relation to investments) and purposefulness of funds expended (by experience reported by its business users). We also focus on distribution of funds between maintenance expenditures and investments and influence of accession to European Union on this ratio and try to determine efficient level of maintenance expenditures per kilometer of network.
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Time-frequency analysis of technology IPOs
Kuš, Martin ; Vácha, Lukáš (advisor) ; Seman, Vojtěch (referee)
In our work, we focus on the dynamics of the volatility and co-movement during the first year of public trading. We use the wavelet analysis to investigate the return volatility of the technology stocks an their co-movement with the market in the time-frequency space. We employ the data sampled on multiple frequencies, ranging from 1 second high-frequency to daily data. We present three main findings. First, we identify gradual decline of the return volatility on all but the shortest investment horizons. Second, we do not find a convincing evidence that the technology stocks synchronize with the rest of the market as they get mature. Third, the different nature of the synchronization with the NASDAQ and S&P 500 indices is also not confirmed. JEL Classification C22, C32, C58, G19 Keywords IPO, technology stocks, wavelet analysis Author's e-mail martin.kus@outlook.com Supervisor's e-mail vachal@utia.cas.cz
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Finance and Growth: A Bayesian Model Averaging Evidence
Mareš, Jan ; Horváth, Roman (advisor) ; Seman, Vojtěch (referee)
The question whether financial development is conducive to economic growth has entered the debate with new intensity following the financial crisis of 2007-2008. We use standardized dataset on economic growth established by the literature and Financial Development Database by World Bank to inspect the relationship. Unlike other studies, we employ Bayesian Model Averaging (BMA) to address model uncertainty inherent to modelling of economic growth. Apart from dealing with omitted variable bias it also allows us to compare relative importance of banking sector and financial markets along with their varying characteristics. Examining real economic growth rates 1960-2011 in 68 countries, we find little evidence in favour of traditional financial development proxy - financial depth - to affect economic growth. Our initial results point to the importance of banking sector efficiency, approximated by net interest margin, as essential growth determinant. Moreover, we use financial indicators to construct overall measure of financial development and find it highly relevant to economic growth. The results are robust to different parameter and model priors in BMA, but not to specifications dealing with potentially endogenous nature of the finance-growth correlation.
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The monetary policy and financial stress: the empirical analysis
Štimpl, Marek ; Horváth, Roman (advisor) ; Seman, Vojtěch (referee)
This work is concerned with interrelations between monetary policy instrument - policy rate, key macroeconomic control variables - GDP, inflation, and financial stress. As a proxy for financial stress we consider composed financial stress index for the Czech Republic. We estimate the SVAR model, which allows for more than one variable to be endogenous and also for contemporaneous relations. Resulting from the SVAR analysis we conclude that financial stress is definitely a relevant factor for policy-making decisions. In the long term, rising levels of financial stress is decreasing the policy rate, on the other hand increase in policy rate is significantly stressful event for financial markets. Financial stress is significantly a negative factor in terms of real output.
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Forecasts of the public debt for the Czech Republic
Sentivany, Daniel ; Janský, Petr (advisor) ; Seman, Vojtěch (referee)
Main goal of this thesis is to forecast future trajectory of the public debt level of the Czech Republic when taking into account ongoing fiscal reforms of the government and the after- math of the global financial crisis. A short survey of existing literature concerning fiscal austerity is presented in the first part, followed by the further motivation for the forecast- ing of the public debt level. Second part of thesis focuses mainly on the most important question, which is sustainability of the debt. We found out, that the public debt of the Czech Republic is clearly unsustainable, we also calculated so called fiscal gap to determine the amount needed to sustain it. The last third part contains numerous scenarios showing the future development of the public debt of the Czech Republic starting the year 2003, up to the year 2060. According to our results when assuming that no strict fiscal reforms will be introduced by the government in the following decades, we found that the level of the debt in the year 2060 will exceed 260% of GDP. Keywords: public debt; fiscal gap; public deficit; public budgets; public debt forecast; sustainability; debt consolidation; debt management Author's e-mail: sentivany.daniel@seznam.cz Supervisor's e-mail: jansky@fsv.cuni.cz
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