National Repository of Grey Literature 47 records found  1 - 10nextend  jump to record: Search took 0.00 seconds. 
Does economic uncertainty spill across countries?
Skákala, Norbert ; Baruník, Jozef (advisor) ; Vácha, Lukáš (referee)
1 Abstract We study economic policy uncertainty spillovers on a panel of ten countries between April 1998 to September 2019. The analysis is performed on the Economic Policy Uncertainty indices data. To measure the spillovers, we utilize forecast error variance decompositions of VAR model. We found that approximately half of the forecast variance can be explained by spillovers shocks across countries. Further, we disentangle the spillover measure to short-, mid- and long-term cycles using frequency domain. Our results suggest that most of the spillovers are caused by shocks into low frequencies, hence with long persistence. Employing quantile regression on equation-by-equation basis to estimate the VAR model, we find that idiosyncratic uncertainty shocks do not propagate strongly at the median but that powerful spillovers occur in the right tail of distribution. Additionally, we perform rolling window estimates of the spillovers. The results indicate strong variation in time, especially during major geopolitical events, such as Iraq War (2003), Global Financial Crisis (2007-09), European debt crisis (2010-12) or Brexit (2016).
Evaluation of Contemporary art as an alternative investment
Havlovicová, Alice ; Vácha, Lukáš (advisor) ; Hronec, Martin (referee)
Bibliographic note HAVLOVICOVÁ, Alice. Evaluation of Contemporary art as an alternative in- vestment Prague 2020. 66 pp. Bachelor thesis (Bc.) Charles University, Faculty of Social Sciences, Institute of Economic Studies. Thesis supervisor Mgr. Lukáš Vácha, Ph.D. Abstract This thesis investigates the investment performance of contemporary art. In order to analyze the risks and returns of the unique art market environment, the reader is presented with the market specifics, trends, and inefficient. The financial performance of contemporary art is estimated by means of extended models of hedonic regression and repeat-sales regression. Both methods allowš for the treatment of volatility of the art market caused by the infrequency of trading, resulting in two monthly contemporary art market indices. The in- dices are estimated based on auction results of contemporary art spanning from 2003 to 2015, including all artworks sold at least once, which presents a general overview of the contemporary art market. In line with the academic literature on the topic of art investment, the results suggest lower returns of contemporary art than traditional financial assets. Volatility and Sharpe ratios differ in the two indices. Based on the resulting price indices, we conclude that contempo- rary art presents moderate returns...
Volatility and Skewness Spillover Effects: Multiresolution Analysis
Frýd, Lukáš ; Vácha, Lukáš (advisor) ; Baruník, Jozef (referee)
The thesis investigates volatility and skewness spillover effects among seven world stock indices and WTI oil under the assumption of the presence of heterogeneous investors. The data sample covers the period from January 1990 to July 2016. The questions addressed in the thesis are twofold: firstly, the dependency of the spillover effect for both the moments-volatility and skewness-on different investments horizons is tested. Further, it is mea- sured whether the inclusion of skewness into has an impact on the volatility spillovers. The decomposition to the different investment horizons is per- formed by the wavelet transformation. Conditional volatility and skewness were estimated by GAS model, which is capable to dynamize static parame- ters from Skewed t distribution. Empirical results suggest significant spillover effects from both volatil- ity and skewness. Another important result is that skewness has a non- significant impact on the volatility spillover effects. Further, it has been found that spillover effects for both the moments are time-scale dependent: the higher investment horizons are associated with higher spillover effects. Additionally, our results support the evidence of the significant impact of the financial crisis in 2008 on the structure of markets. From 2008, there are stronger volatility...
Hedging with interest rate derivatives: Estimation of hedge ratio & hedging effectiveness
Ruberry, Marika ; Gapko, Petr (advisor) ; Vácha, Lukáš (referee)
The thesis investigates the effectiveness of several hedging strategies and inspects whether advanced econometric models contribute to lower portfolio risk and offer advantages over simple constant hedges. Focused on the German bond market, Euro-Bund and Euro-Bobl futures traded at Eurex are employed to determine which hedging strategy performs best in the fixed-income framework. The hedge ratio is estimated with the OLS, VAR, VECM, and GARCH models, as well as with the duration-based approach. The hedging effectiveness is subsequently measured in terms of percentage variance reduction of a portfolio's returns relative to an unhedged bond, while also considering risk-return trade-off. The analysis showed that the hedging strategies are, in almost all cases, effective in risk minimization though the degree of variance reduction does differ. The duration method decreases the variance by as much as 99% while mostly resulting in low or negative returns. Relative to other constant strategies, the time-varying hedge ratio, estimated by the GARCH, limits the variance least, nonetheless, mostly it provided a variance reduction of at least 65% while also delivering one of the highest returns. Whereas the dynamic strategy did not outperform constant hedges in terms of risk protection, the choice of hedge ratio...
Examining the Link between Financial Market Efficiency and Monetary Transmission Mechanism
Krejčí, Tadeáš ; Krištoufek, Ladislav (advisor) ; Vácha, Lukáš (referee)
In an effort to examine role of capital markets' efficiency in transmission of monetary policy, 28 time series of market efficiency development are estimated with use of long-term memory and fractal dimension measures and a panel of 27 inflation targeting countries is constructed to run a random effect regres- sion. The cases of Czech Republic and Austria are thereafter more closely examined with use a vector-autoregressive and threshold vector-autoregressive frameworks on macroeconomic data spanning from 1996:Q3 to 2018:Q4. The evidence obtained through the conducted analyses support the hypothesis, that a more efficiently functioning capital market better contributes to monetary policy pass-through, or conversely, that high transaction costs, barriers to cap- ital market entry, or poor information availability may hinder the effects of central bank's monetary policy. JEL Classification F12, F21, F23, H25, H71, H87 Keywords capital market efficiency, inflation targeting, monetary transmission mechanism Author's e-mail teddy.krejci@gmail.com Supervisor's e-mail LK@fsv.cuni.cz
Herd behavior of investors in the stock market: An analysis of cross-country effects in the CEE
Lerche, Vojtěch ; Kukačka, Jiří (advisor) ; Vácha, Lukáš (referee)
The thesis examines herding behavior of investors towards the market average in 10 CEE stock markets during the period 2000-2018. Least squares and quantile regression methods provide evidence of herding inside the majority of the countries. During the global financial crisis and the Eurozone crisis, the herding mentality was more intense only in Slovenia and Croatia. The thesis finds mixed results in asymmetric herding during days of positive and negative market returns. The main finding, and a contribution to the literature, is that the domestic cross-sectional dispersion of returns in the CEE is affected by the dispersion of returns of the foreign stock markets in the USA, the UK, and Germany. In addition, empirical results suggest that extreme market conditions in the U.K. market have an impact on the formation of herding forces within the CEE stock markets. Short-run arbitrageurs can benefit from collective decisions of investors that in turn drive stock prices away from their fair value, but the presence of herding undermines benefits of portfolio diversification. In the long-run, the contagious international effects may result in a severe instability of the whole region and in market inefficiency.
Frequency Connectedness of Financial, Commodity, and Forex Markets
Šoleová, Juliána ; Baruník, Jozef (advisor) ; Vácha, Lukáš (referee)
This Thesis is dedicated to the variance decompositions from the VAR model un- der the Diebold, Yilmaz (2012) methodology combined with the Baruník, Křehlík (2017) method of frequencies that was used to create traditional and directional spillover tables to be compared under different frequencies. Diverse markets vari- ables were used for the analysis during the period 1/6/1999 to 29/6/2018. The S&P 500 Index represented the financial markets, EUR/USD and YEN/USD rep- resented the Forex markets, and eight types of commodities: Crude Oil, Natural Gas, Gasoline, and Propane represented energy commodities and Corn, Coffee, Wheat, and Soybeans represented food commodities. This analysis contribute to understanding of the dynamic frequency connectedness in case of a differentiated system of markets. The main finding was the strongest short-frequency reaction to shocks in case of all variables, which is opposite behavior than usually observed in banking sector frequency dynamics analyses. JEL Classication: F12, F21, F23, H25, H71, H87 Keywords: connectedness, financial market, forex market, commodity market, systemic risk, spillovers, frequency analysis Author's e-mail: 93414233@fsv.cuni.cz Supervisor's e-mail: barunik@fsv.cuni.cz
Co-jumping of yield curve
Fišer, Pavel ; Baruník, Jozef (advisor) ; Vácha, Lukáš (referee)
The main focus of the thesis is on jumps and co-jumps and their influence on the term structure of the U.S. Treasury bond futures contracts. Using high frequency data I am able to quantify to which extent co-jumps affect the correlation between bond futures pairs with different maturities which is not common in the literature. In order to separate the price process into continuous and discontinuous components represented by jumps and to pre- cisely localize significant co-jumps a new wavelet-based estimator is used for the analyses. Furthermore, I am studying the co-jump behavior in response to scheduled macroeconomic news announcements. Empirical findings re- veal strong influence of co-jumps to the correlation structure of bond futures across all maturity pairs as well as a significant link between Federal Open Market Committee news announcements and higher probability of co-jump occurrence.
Low Interest Rates and Asset Price Fluctuations: Empirical Evidence
Ali, Bano ; Horváth, Roman (advisor) ; Vácha, Lukáš (referee)
The thesis focuses on estimating the effect of expansionary monetary policy concerning asset prices, specifically house and stock prices as they are of pri- mary importance in financial markets. A structural vector autoregressive model is used including data for the Euro Area, the United Kingdom, and the United States from 2007 to 2017. Moreover, instead of short-term nominal interest rate, the shadow policy rate is used to measure the stance of both conventional and unconventional monetary policy. It is useful when policy rates of central banks are at or near zero as it neglects the zero-lower bound. Using both impulse response functions and forecast error variance decomposition, results suggest that higher interest rates are indeed associated with lower asset prices. That is confirmed by including two different estimates of shadow rates into the model and observing the effect for two specific types of assets. More precisely, house prices react almost immediately showing the most substantial decrease for the United Kingdom, while stock prices slightly increase at first and de- crease afterward with similar size of the effect for all areas under consideration. Finally, the discussion of how the monetary authority should react to asset price fluctuations is provided, summarizing the vast amount of literature...

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