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The Effect of Covid-19 on Economic Growth: Cross-Country Determinants
Juřena, Matyáš ; Havránek, Tomáš (advisor) ; Bertoli, Paola (referee)
Not only does the COVID-19 pandemic threaten the health of millions of people worldwide, it has also thrown the global economy into a recession. Moreover, differences in the expected decline of countries' economic output exist. Thus, the objective of this thesis is to identify the cross-country determinants of the economic downturn caused by the pandemic. An extensive dataset of 34 explanatory variables describing the characteristics of 145 countries is analyzed. To address the inherent model uncertainty present in the cross-country analysis of such magnitude, we apply the econometric method of Bayesian Model Averaging (BMA). Consequently, we have identified the best regression model, which includes five explanatory variables with reasonable interpretations. To our knowledge, this thesis is the first work studying the cross-country differences in the output decline caused by the coronavirus pandemic. However, a more detailed analysis of the effects of policy measures on the duration of a recession and the speed and size of the expected future recovery is suggested, once data is available.
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Forecasting Election Results in the Czech Republic
Doskočilová, Kateřina ; Havránek, Tomáš (advisor) ; Čech, František (referee)
Forecasting Election Results in the Czech Republic Kateřina Doskočilová In this thesis, a forecasting model for the 2017 legislative election in the Czech Republic is built. As the Czech Republic has a multi-party system, the outcomes of the model are the expected vote shares for each party. There are two types of forecasts calculated. Firstly, a poll-based forecast using a dynamic linear model and Kalman filter to weigh the information in the polls. Secondly, the prices on betting markets are translated into probabilistic forecasts for the expected vote shares. This is a novel approach as prediction markets were previously used to forecasts only the probabilities of winning an election. Finally, the two types of forecasts are combined into one and weighed by their variance. Comparing the forecasts, we conclude that the betting market is able to predict the exact vote shares the most accurately right before the election.
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Central Banks' Gold Holdings and Independence
Kamenská, Monika ; Havránek, Tomáš (advisor) ; Teplý, Petr (referee)
In this thesis, we aim to unveil potential relation between gold in the reserves of central banks and the independence of these institutions. As a reaction to several statements of central bank representatives, we assume that gold might be a determinant of central banks' independence. Following these statements, the key contribution of this thesis was defined: to verify these declarations and the general belief of gold's role within central banks' reserves in the relation to their independence, using empirical data. For that purpose, we examine panel data consisting of information from 145 countries between years 1970 and 2012. As for the control variables, economic variables such as GDP per capita, inflation, exchange rate regime, current account to GDP and broad money and political variables from the range of word governance indicators are employed. The regression results of basic model obtained by fixed effects estimation suggest that, indeed, there might be a significant effect of share of gold on the central bank independence index. However, as the results imply negative relation, we cannot confirm if the effect is real due to endogeneity problem. Moreover, the effect of gold reserves on the central bank independence was not confirmed when employing a different estimation technique -...
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The Economic Costs of Unfinished Highways in the Czech Republic
Prokop, Pavel ; Havránek, Tomáš (advisor) ; Paulus, Michal (referee)
This thesis attempts to introduce between economists overlooked topic of highway effects to a wider audience in the hope of promoting discussion about the efficiency of infrastructure investment. It is also believed to be the first academic writing to question, verify, update and extend the offi- cial Czech guidelines used for highway cost and benefit analyses through a wide literature review, making it useful to road transport experts. The main focus is on the unit prices and quantities estimation of various costs and benefits, whereas the software calculation is not analyzed in such detail. Literature review, centered around the European recommendations and related academic research, a brief description of the cost and benefit evaluation of road infrastructure in the Czech Republic, and proposed changes in time costs, accidents, air pollution, climate change, landscape, biodiversity and time indexation are presented. Abstrakt Tato práce se snaží širšímu publiku představit ekonomy přehlížené téma efektů dálnic a posílit diskuzi o efektivitě investic do infrastruktury. Velmi pravděpodobně je první akademickou pub- likací, která ověřuje, aktualizuje a rozšiřuje oficiální českou metodiku používanou pro analýzu přínosů a nákladů dálniční infrastruktury, za pomoci širší literatury a může být užitečnou...
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Demand for Cash and Negative Interest Rates
Slouková, Eliška ; Havránek, Tomáš (advisor) ; Čornanič, Aleš (referee)
The literature related to both money demand and negative interest rates is rich in general. However, a piece of work covering the intersection of those two topics is missing. Thus, this thesis focuses on differences in the demand for cash once NIRP is implemented. Using data of real GDP, inflation, interest rates and currency in circulation for economies functioning under negative rates - Denmark, Sweden, Switzerland, The Euro Area, and Japan - VAR models and respective impulse response functions (IRFs) are estimated. Then we compare the response of real money balances to an exogenous one standard deviation shock to interest rate before and after NIRP is implemented. Furthermore, we carried out Johansen test for cointegration, suggesting the existence of cointe- grating relations. Thus, VECMs are employed. Consequently, cumulative IRFs and long-run relations are investigated. Due to only limited sample size avail- ability resulting from still very recent implementation of NIRP, the analysis is rather indicative. Nevertheless, our results suggest that the reaction of real money balances to one standard shock in interest rate might be more substantial in the environment of negative rates. Moreover, all long-run money demands estimates using VECM suggest an increase in the magnitude of interest rates elasticity...
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Trading volume and expected stock returns: a meta-analysis
Bajzík, Josef ; Havránek, Tomáš (advisor) ; Červinka, Michal (referee)
I investigate the relationship between expected stock returns and trading volume. I collect together 522 estimates from 46 studies and conduct the first meta-analysis in this field. Use of Bayesian model averaging and Frequentist model averaging help me to discover the most influential factors that affect the return-volume relationship, since I control for more than 50 differences among primary articles such as midyear and type of data, length of the primary dataset, size of market, or model employed. In the end, I find out that the relation between expected stock returns and trading volume is rather negligible. On the other hand, the contemporaneous relation between returns and volume is positive. These two findings cut the mixed results from previously written studies. Moreover, the investigated relationship is influenced by the size of country of interest and the level of its development. Besides the primary studies that employ higher data frequency provide substantially larger estimates than the studies with data from longer time periods. On the contrary, there is no difference among different estimation methodologies used. Finally, I employ classical and modern techniques such as stem-based methodology for publication bias detection, and I find evidence for it in this field. 1
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Beauty and Productivity: A Meta-Analysis
Bortnikova, Kseniya ; Havránek, Tomáš (advisor) ; Pertold-Gebicka, Barbara (referee)
This thesis conducts a quantitative synthesis of 418 estimates of the effect of beauty on productivity as reported in 37 studies. We test the estimates of beauty effect for publication selection, using informal testing of the funnel plot as well as formal testing methods. We find solid evidence of selective reporting: positive estimates of the beauty effect are preferred in literature. To determine the sources of heterogeneity in the reported estimates, we collect the set of 21 explanatory variables. We take the model uncertainty into account and employ the Bayesian model averaging; the Frequentist model averaging is used as a robustness check. The results indicate that differences in the reported estimates appear to be driven by choice of study design and sources of real heterogeneity, such as geographical regions and individual characteristics of respondents (age, education and cognitive skills). The type of occupation and gender of respondents have no impact on the estimates of beauty effect in relation to productivity. The average beauty effect is probably much lower than commonly believed based on the available empirical literature. JEL Classification C83, J3,J7, M51 Keywords meta-analysis, beauty bias, productivity, dis- crimination, publication bias Author's e-mail xenia.bortnikova@gmail.com...
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Corporate Acquisitions and Expected Stock Returns: A Meta-Analysis
Parreau, Thibault ; Havránek, Tomáš (advisor) ; Kukačka, Jiří (referee)
This thesis aims at investigating the puzzling relationship between cor- porate acquisitions and expected stock returns by reviewing numerous studies on this topic through the use of state of the art meta-analysis tools. Such an analysis is required because many papers examined this relationship but their results varied. We therefore collected 421 estimates from 20 papers and led multiple regressions to test for the presence of publication bias. Throughout this analysis we indeed found evidence supporting the existence of publication bias. Furthermore, we decided to apply Bayesian Model Averaging to reduce the model uncertainty and find out why our abnormal returns estimates greatly vary across stud- ies. Our results suggest that one of the most important drivers are the standard-error terms. This subsequently proves that publication bias is the most responsible for the heterogeneity amongst our estimates. Our analysis fails to demonstrate any positive effects from M&A activity on a firm post-acquisition performance. We suggest that other motives are under-represented in the underlying theory that aims to assess M&A outcomes. Keywords Mergers and Acquisitions, Stock Returns, Abnormal Re- turns, Meta-Analysis, Publication bias Author's e-mail thibault.parreau@gmail.com Supervisor's e-mail...
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Stock Return Predictability and Model Uncertainty: A Frequentist Model Averaging Approach
Pacák, Vojtěch ; Havránek, Tomáš (advisor) ; Špolcová, Dominika (referee)
The model uncertainty is a phenomenon where general consensus about the form of specific model is unclear. Stock returns perfectly meet this condition, as extensive literature offers diverse methods and potential drivers without a clear winner among them. Relatively recently, averaging techniques emerged as a possible solution to such scenarios. The two major averaging branches, Bayesian (BMA) and Frequentist (FMA) averaging, naturally deal with uncertainty by averaging over all model candidates rather than choosing the "best" one of them. We focus on FMA and apply this method to our data from U.S. market about S&P 500 index, that I help to explain with the set of eleven explanatory variables chosen in accordance with related literature. To preserve a real-world applicability, I use rolling window scheme to regularly update data in the fitting model for quarterly based re- estimation. Consequently, predictions are obtained with the use of most recent data. Firstly, we find out that simple historical average model can be beaten with a standard model selection approach based on AIC value, with variables as Dividend Yield, Earnings ratio, and Book-to-Market value proving consistently as most significant across quarterly models. With FMA techniques, I was not able to consistently beat the benchmark...
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Gold in Central Bank Reserves and Price Stability
Melnychuk, Olena ; Havránek, Tomáš (advisor) ; Dědek, Oldřich (referee)
There is a traditional view that central banks should hold enough gold in their reserves to be considered financially secure and keep low inflation. However, after the fall of the Bretton-Woods system, many central banks have been decreasing its gold reserves by converting gold into other assets and still they do not experience high inflation. This thesis aims to answer the question if gold reserves of central banks indeed positively affect price stability. We use the panel data for 110 countries for the period from 2000 to 2016. We find that there is a significant negative effect of central banks' gold reserves on inflation but only if we control the proxy variables for the financial strength of central banks. Furthermore, the significance holds only for the inflation-targeting countries, there are no significant effects for the whole data sample. JEL Classification: E31, E52, E58, F41, G11, G21 Keywords: Gold reserves, Central Banks, Inflation rate, Price Stability Author's e-mail: 73099909@fsv.cuni.cz Supervisor's e-mail: tomas.havranek@fsv.cuni.cz
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