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Misallocation of Human Capital: The Austrian Perspective
Skala, Jakub ; Lebovič, Michal (advisor) ; Bobková, Božena (referee)
Higher education is often considered as one of the safest and most profitable investments in human capital. There are, however, signals that this sector has been experiencing unsustainable economic boom in the United States. This study examines the ability of Austrian Business Cycle Theory to explain the possibility of such boom, i.e. to explain the potential systematic errors in the allocation of human capital. We find that respective allocation is driven by the similar market forces as the allocation of physical capital and hence, that it may fall victim to the same, or similar false market signals, thus creating the cycle of boom and bust. Credit expansion in the sector of student loans can be the trigger then. Furthermore, we study the actual development in this sector and find that empirical evidence provides many reasons to believe that there has actually been unsustainable boom i.e. an economic bubble in the sector of post-secondary education in the United States.
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Defence Expenditures in Western Countries: Panel Data Analysis
Sosnovec, Jan ; Gregor, Martin (advisor) ; Bobková, Božena (referee)
The purpose of this thesis is to examine main determinants of military expenditures of NATO members and other Western countries. These determinants are identified and their relations with military expenditures analyzed using regression analysis on an unbalanced data panel of 30 countries during the period 1969-2011. "Military burden' - share of defense expenditures on country's GDP - is used as the explained variable. Explanatory variables include main economic indicators - GDP per capita, population, economic growth, indebtedness etc. - as well as several variables related to security (e.g. the level of threat posed by the Soviet Union) or politics (ideological orientation of the government). The question of behavior within a military alliance (contribution versus free-riding) is also taken into account. The main findings are that there are significant structural differences between major military powers - the US, France and the UK - and the rest of the Western world, and similar differences appear to exist between the Cold War and the post-Cold War periods. Furthermore some evidence is provided for the commonly held belief that smaller NATO members are essentially free-riding on the protection provided by few major powers (especially the US). Powered by TCPDF (www.tcpdf.org)
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Analysis of factors influencing export of Czech republic and Germany
Urban, Michal ; Bobková, Božena (advisor) ; Čech, František (referee)
In this thesis, we analyzed the determinants of export in the Czech Republic and Germany. For this purpose, we used panel data from the years 1995-2013. To estimate our model we followed the literature applying Poisson pseudo-maximum likelihood method and the traditional method of ordinary least squares with logarithmic transformation. We have verified basic assumptions of the gravity model that the most important determinants affecting foreign trade between countries are their GDPs and the distance between them. Some institutional variables and membership of countries in the euro area were found to have also the impact on export. We failed to confirm the influence of countries openness and their trade barriers. Powered by TCPDF (www.tcpdf.org)
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Analysis of the determinants of the entrepreneurship in a country
Palas, Michal ; Bobková, Božena (advisor) ; Brechler, Josef (referee)
This paper aims at explaining the impact of macroeconomic and institutional conditions on cross- country variation in nascent entrepreneurship. Some authors have found significant effects of macroeconomic and institutional variables in their papers. We use data from 56 countries involved in the Global Entrepreneurship Monitor project. We analyse these data from 2006-2012 period using econometric panel data methods. Our results do not confirm the impact of most of the included variables. The results show that the established entrepreneurship rate seems to influence the nascent entrepreneurship rate positively. We also find weak negative effect of amount of paid-in minimum capital associated with starting business. We test the hypothesis of U-shape relation between economic development and nascent entrepreneurship rate. Our results support this hypothesis only in the model without any control variable. The influence of economic development on nascent entrepreneurship rate is insignificant in our full model. Powered by TCPDF (www.tcpdf.org)
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A Panel Data Analysis of Sub-Saharan Africa's Economic Growth
Hostačný, Jakub ; Cahlík, Tomáš (advisor) ; Bobková, Božena (referee)
This thesis examines the relationship between real GDP per capita growth rate of Sub-Saharan Africa countries and various variables suggested by theoretical literature related to Solow model or endogenous growth theories. The set of most commonly used variables is further extended by additional variables which have not been given an ample attention in the context of analysis of SSA countries' economic growth so far. The econometric analysis uses unbalanced panel data set comprising annual observations on 45 SSA countries between 1980 and 2011 applying a simple pooled OLS and FE estimation. We also touch IV estimation to address endogeneity problem. Moreover, we test the sensitivity of parameter estimates. Along with the analysis of total set of SSA countries, we subgroup countries into 4 groups - oil exporters, middle-income countries, non-fragile low-income countries and fragile countries. We present results for each group. The results support the findings of earlier empirical studies related to most commonly variables associated with economic growth, except the negative effect of population growth rate and conditional convergence hypothesis. The analysis of additional factors reveals the strong relevance of latitude, colonial heritage and landlockedness, while no systematic effect of neither...
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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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Hierarchical Structure Analysis with Applications to the EU Member States Convergence
Fučík, Vojtěch ; Krištoufek, Ladislav (advisor) ; Bobková, Božena (referee)
The main objective of this thesis is to summarize and possibly extend the existing methodology on correlation matrix filtering, hierarchical clustering and topological classification in the economic networks. In the thesis we use classical MST/HT approach supplemented by edges stability analysis and centrality measures analysis. Graphical objects MST and HT enable us to find relations among the elements of the network. Centrality measures anal- ysis helps us to find the hubs in the network and stability analysis determines the reliability of the resulting model. Presented methodology is then utilized for convergence analysis in the EU and for analysis of clusters in the EU's MSTs and HTs. We detected large clusters of former communist countries for every economic indicator, clusters based on geographical location such as Nordic, Baltic, BENELUX or former ECSC countries and a cluster of PIGS countries. We also found that Spain plays a role of a central node in debt/deficit indicator analysis which made us to express our concerns about potential future problems. 1
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Robustification of regression model with the fixed and random effects
Raušová, Magdaléna ; Víšek, Jan Ámos (advisor) ; Bobková, Božena (referee)
In case of some influential observations in an econometric analysis, the classical methods, such as ordinary least squares, are likely to fail. The problem of outliers and leverage points can be overcome by the robust methods. This thesis studies the use of robust methods for panel data - specifically, the robustified versions of the methods of fixed and random effects utilizing the least weighed squares are studied. After introducing the theoretical background, results of a numerical study are provided. This numerical study is a Monte Carlo study that shows, how the classical and robust methods work under several levels of contamination and also, how the choice of the weight function can influence the results of the methods that utilize the least weighted squares.
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Comparison of Factors Determining Czech Exports in Different Aggregations: Analysis by means of an Adjusted Gravity Model
Smotlachová, Eva ; Benáček, Vladimír (advisor) ; Bobková, Božena (referee)
The aim of the thesis is to estimate determinants of Czech export. The key novelty of the research consists in estimating export flows at three different levels of aggregation (total, machinery, automobiles) and a subsequent comparison of results. An augmented gravity model is implemented for the empirical research and estimated with the use of Ordinary least squares (including time or country dummies) and Poisson pseudo maximum likelihood estimators. Consequently, we propose the comparison based on the Poisson estimates due to incontestable weaknesses of the OLS estimator. Besides, we emphasize the importance of identifying the panel data structure, as we have obtained different results under the two structures (time series and cross-sectional). The predicted models reveal a substantial impact of home and partner's GDP, distance and the European Union. Total and machinery export seem to follow same tendencies, whereas the development of Czech automobile export differs and evolves on an idiosyncratic path. Therefore, it does not coincide with a path expected by trade theories based on the assumption of perfect competitive markets.
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Exchange Rate Forecasting: An Application with Model Averaging Techniques
Mida, Jaroslav ; Horváth, Roman (advisor) ; Bobková, Božena (referee)
The exchange rate forecasting has been an interesting topic for a long time. Beating the random walk model has been the goal of many researchers, who applied various techniques and used various datasets. We tried to beat it using bayesian model averaging technique, which pools a large amount of models and the final forecast is the average of forecasts of these models. We used quarterly data from 1980 to 2013 and attempted to predict the value of exchange rate return of five currency pairs. The novelty was the fact that none of these currency pairs included U.S. Dollar. The forecasting horizon was one, two, four and eight quarters. In addition to random walk, we also compared our results to historical average return model using several benchmarks, such as root mean squared error, mean absolute error or direction of change statistic. We found out that bayesian model averaging can not generally outperform random walk or historical average return, but in specific setting it can produce forecasts with low error and with high percentage of correctly predicted signs of change.
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