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Analýza indexů akciových trhů a režimů na komoditních trzích
Kuchina, Elena ; Cahlík, Tomáš (advisor) ; Máša, Petr (referee) ; Lukáčik, Martin (referee)
The thesis focuses on the identification of the typical scenarios of the mutual relations among the stock markets considering different regimes on the commodity markets. For the identified scenarios the investment recommendations have been suggested. Considering different regimes the commodity markets go through and the mutual linkage among the stock markets during different situations on the commodity markets, six scenarios of the stock markets' mutual relations have been analyzed. It was shown that during most unstable period, when highly volatile regime prevails simultaneously on the energy, precious metals and non-energy commodity markets, the whole economy becomes to be more tied: the stock market indices demonstrate stronger interdependence, and as a consequence the benefits of diversification begin to fail. During the simultaneous presence of low volatility on all three analyzed commodity markets the agreement between occurrences of highly volatile state of most stock markets, besides the indices within the European region (DAX, CAC 40, IBEX 35), is rather weak. Similarly the correlation within regions and with other regions is weaker comparing with other situations on the commodity markets, so the standard investment strategy can be kept. It was also shown that the interdependence among the stock markets during the period of high volatility on the energy market differs depending on the source underlying the oil price shocks causing higher volatility. The regimes prevailing on the commodity and stock markets during different time periods have been detected by applying Hidden Markov Model methodology. To examine the similarity between the stock market indices in terms of highly volatile regimes' occurrences, Jaccard's similarity coefficient is employed. The correlation among the stock markets was computed by Spearman correlation coefficient. The final part of research is devoted to the model-based approach used to analyze the dependence of the movement direction of SSEC index on other stock market indices between two trading days during different situations on the commodity markets. The dependency analysis was performed by applying Stochastic Gradient Boosting methodology.
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The Role of Income Tax Progressivity in GDP Smoothening: Empirical Analysis
Žofák, Pavel ; Baxa, Jaromír (advisor) ; Cahlík, Tomáš (referee)
This thesis studies the relationship of income tax progressivity and output volatility. Using our dataset of 31 OECD countries and Bayesian model averaging (BMA) approach to address the model uncertainty issue, we find positive evidence that higher income tax progressivity leads to lower output volatility. This effect is robust to different prior specifications in BMA and to different tax progressivity measures, including our newly constructed measure which is based on the slope of the average tax curve. We also find a strong effect of tax progressivity on the consumption volatility and the volatility of hours worked which we see as the main channels for the reducing effect of tax progressivity on output volatility.
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Selected Aspects of Negative Interest Rates
Repko, Šimon ; Cahlík, Tomáš (advisor) ; Mareš, Jan (referee)
Developed economies have been severely hurt over the last decade. Low inflation and unbalanced growth forced authorities to implement unconventional measures like negative interest rates. The unbalanced environment in financial markets is also visible on the commodity market. The prices of commodities have already experienced second contraction over the last decade. However, according to Frankel (2012) the changes in prices of commodities are heavily determined by real interest rates. This thesis summarizes implications resulting from negative nominal interest rates and then takes a closer look on the connections between changes in interest rates and the movements in commodity market. We use vector error correction model to investigate impact of nominal macroeconomic factors on the set of 16 commodities of different types (metal, energy and industrial commodities). As expected, our findings confirmed that the price changes in the commodity market are in the long run significantly linked with inflation as well as with nominal interest rates. The analysis also supports the claims of considerable correlation among prices themselves but provides no evidence of negative interest rate policy impact on the commodity market.
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The economic development and international trade of North Korea using the factor analysis method
Kim, Ha Eun ; Chytilová, Julie (advisor) ; Cahlík, Tomáš (referee)
In this paper, after reviewing the characteristics of North Korean statistics, I examined how North Korea's trade affects its growth using empirical analyses. There have been many studies that have shown trade has affected economic growth, but there have been few empirical studies on North Korea's case. Cointegration test, regression analysis, and factor analysis were used. The empirical results suggest that even considering economic fluctuations, North Korea's trade has not shown a significant impact on growth. Keywords North Korea, Growth, Trade, Cointegration test, Factor analysis
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Analysis of the impact of possible changes in the parameters of the Czech pension system on its balance
Maivald, Matěj ; Cahlík, Tomáš (advisor) ; Ryska, Pavel (referee)
Pension system in the Czech Republic still heavily relies on a model based on current disbursement method (PAYG), which is largely based on intergenerati- onal solidarity. With expected demographic changes, however, the amount of those who contribute will decrease and the oncoming retirement of populous generations of 70s together with prolonging life expectancy on the other hand will cause expenditure to increase. This thesis takes advantage of two different demographic projections and incorporates the latest macroeconomic data and legislative changes to capture the possible future scenarios. The results of this part suggest that the current system is not sustainable without intense external financing. Further it explores the impact of potential changes in various parameters of the pension system on the final account balance of pension insurance and tries to find their ideal setting that would allow for a balanced budget. Changes that would be required to implement in order to attain this objective are not insignificant and could be negatively reflected in the overall development of the Czech economy. It is therefore inevitable to start a discussion about more comprehensive possible reforms of the Czech pension system. JEL Classification E17, J11, H55 Keywords pension system, pay as you go system,...
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Forecasting Capability of the GDP Components: Granger Causality Approach
Michalec, Jan ; Cahlík, Tomáš (advisor) ; Vozková, Karolína (referee)
This work aims to provide with the procedure of bivariate causality testing based on Granger (1969). We focused on exploration of forecasting capability of GDP components on output itself. We examine, which of five components defined in accordance with the expenditure approach can be useful in forecasting economic growth. Overall, the causal relationship is examined on national accounts data from three member states of the European Union: Austria, France and Germany. For the sake of general inference, the Granger causality tests are executed on panel data, too. We concluded, that consumption and investment possess ability to forecast economic growth. In contrast, GDP was found to be useful in forecasting government expenditures.
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Mapping Institutional Development: An Analysis of Deposit Insurance in Argentina
Lane, Dustin ; Cahlík, Tomáš (advisor) ; Benáček, Vladimír (referee)
72 Abstract This work analyzes the institutional evolution of Argentinian deposit insurance and how this evolution could be explained using the theoretical frameworks proposed by works both Acemoglu and Robinson and the works of Levitsky and Murillo. The study highlights how institutions develop over time within frameworks of political changes. In addition, the work highlights the theoretical gap in new institutional economics in relation to analyzing the development and evolution of institutions through time. In response to this theoretical gap this work proposes the use of new model to conceptualize how institutions interact at multiple levels of the institutional hierarchy and how independent institutional developments can be mapped within the institutional hierarchy as they develop through time. In the end it is the hope that the conceptualized model presented is the first step in developing a more practical and useful model for new institutional economics as it relates to economic development and the construction and implementation of development policies.
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CEE & SEE Markets Macro-Fundamental Analysis
Poštulková, Jitka ; Polyák, Oliver (advisor) ; Cahlík, Tomáš (referee)
The aim of this thesis is to verify and analyse presumed relations between selected macro-fundamentals, namely USD exchange rate, production index, interbank offered rate, inflation, money supply and two exogenous indices ( Standard & Poor's 500 and EURO STOXX 50), and CEE (Austria, Czech Republic, Poland, Hungary) or SEE (Bulgaria, Croatia, Slovenia, Romania) financial markets over the period from December 1995 to December 2015. In order to test the long-run cointegration relationships between studied markets and the set of macroeconomic variables, the Engle-Granger and Johansen tests are applied. The vector error correction model is used to confirm the long-run equilibrium interlinkages and the results show similar trend tendencies between stock indices and some of the macro-fundamentals in Croatia, Czech Republic, Hungary, Poland and Romania. To verify the short-run causal linkages, the Granger causality test is employed. Based on retrieved findings, the efficiency of studied markets with respect to Efficient Market Theory is reviewed. Our findings reveal several pairwise short-run causal impacts between studied macroeconomic indicators and stock indices. The only indicator which does not impact any stock market is the interbank offered rate. Moreover, according to our results, all CEE&SEE stock...
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Panel Data Research on Corruption. Russia's perspective
Pogodina, Ksenia ; Cahlík, Tomáš (advisor) ; Bobková, Božena (referee)
Abstract(( The thesis assesses causes and consequences of public sector corruption, using panel data specification. The model presented in this work extends and updates the existing model, where new studies are incorporated and new methods for empirical evidence are used. Moreover, the analysis is expected to be more accurate and comprehensive than the existing one, since cross-sectional analysis is substituted by panel data analysis, which captures unobserved heterogeneity and country specific effects. The main correlations I am interested in are between the level of public corruption in a country and three other important variables: level of market competitiveness within economy, level of education in a country and the extent of democracy there. Hence, the topic is covered from both points of view: theoretical and empirical. Additionally, the model is applied for different samples of countries (developing and developed) in order to investigate if global tendencies hold for specific groups of countries or not. Furthermore, the work includes an example of Russian economy, where it is studied from theoretical and graphical perspective and only after that the proper inference is made, applying my general model for sample of developing countries. Empirical research shows that corruption and competition are...
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Demand and investment for jewellery at the time of economic crisis
Efimenko, Valeria ; Cahlík, Tomáš (advisor) ; Brechler, Josef (referee)
The consumer demand defines strategy and tactics of the organization of jewelry manufacture. The demand and its forecasting for short-term and long-term prospect is one of the major problems of marketing for the various organizations and firms. The demand size is influenced by price and non price factors which should be traced accurately on a constant basis by special departments of firms. My research question is how the demand for jewelry changes at the time of economic crisis. In this work a number of the major factors are identified which influence almost all buyers to get the jewelry. The concept of elasticity of demand has a direct bearing on the pricing policy of the companies. Therefore, considerable attention in this work is given to this economic category. In real life it is very difficult to obtain reliable and stable data on factors of cross elasticity to use it for pricing. The analysis carried out shows that price elasticity of jewels in most cases is low. Demand for luxury goods linearly depends on the personal income. The demand research accepts a special urgency in the conditions of the economic crises aggravating the competitive struggle between suppliers of jewelry. The world economic crisis has brought a rise in prices for gold and falling incomes of the population. It has led...
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