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Alternative Investment in Art Assets
Kruja, Mirela ; Horváth, Roman (advisor) ; Komárek, Luboš (referee)
Tato práce zkoumá vliv tržní nejistoty na investice do alternativních tříd aktiv, konkrétně uměleckých sběratelských předmětů, vína a známek, v období 50 let, které vedly k hospodářskému útlumu roku 2000, od roku 1960 do roku 2007. Zkoumá předpoklad, že takové investice mohou zajistit riziko v době finanční nestability, a tak doplnit tradiční investiční strategie. Cílem studie je poskytnout empirický důkaz o vztahu mezi cenou těchto alternativních tříd aktiv a makroekonomickými proměnnými. Tato práce by měla sloužit jako aktualizace stávajícího souboru literatury o alternativních investicích do sběratelských předmětů a poskytovat cenné poznatky o tom, jak nejistota na trhu utváří investiční chování. Celkově výsledky studie ukazují, že dynamika makroekonomickch proménnch hraje významnou roli při utváření cen na trhu s uměním a potažmo i na dalších alternativních investičních trzích, zatímco analýza této studie zdůrazňuje roli makroekonomických podmínek, jako je úrok sazby, míra inflace a index EPU. Klasifikace D81, G11, Z11 Klíčová slova alternativní investice, index cen umění, index cen vína, index cen známek, investice, kointegrační model, sběratelské předměty Název práce Alternativní investice do uměleckého majetku
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Topics in Yield Curve Modeling
Kučera, Adam ; Kočenda, Evžen (advisor) ; Horváth, Roman (referee) ; Mandel, Martin (referee) ; Berka, Martin (referee)
The aim of the thesis is to examine the interaction of macroeconomic and fi- nancial factors through the lens of yield curve dynamics. The thesis consists of three essays that jointly demonstrate the complexity of information incorporated in the yield curve and the importance of attributing yield curve movements to those factors correctly. The first essay uses news-based approach to identify triggers of the U.S. Treasury yield curve movements and demonstrates shifts in the importance of various causes of the movements. The second essay further evaluates the transmission of fiscal policy shocks to the U.S. Treasury yield curve. The first and the second essay together contribute to the literature by showing that the factors beyond the U.S. economic conditions and monetary policy have been becoming an increasingly important cause of the U.S. yield curve movements. These factors include changes in portfolio allocation, cross-border flight to quality and changes in fiscal policy. The third essay proposes a novel method to apply the up-to-date yield curve models to a government bond yield curve in an economy with a relatively shallow government bond market, using the case of the Czech government bond yield curve. This enables decomposing the yield curve and interpreting its movements while accounting for...
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The impact of Monetary Policy on the Economic Growth of the Czech Republic
Khalilova, Solmaz ; Holub, Tomáš (advisor) ; Horváth, Roman (referee)
This study deals with the impact of monetary policy on the economic growth of the Czech Republic. The subject of this thesis is the examination of monetary policy of the Czech Republic in the period 2001-2022. The main focus of the thesis is based on investigating the potential impact of monetary policy on the economic growth in this country. Quarterly data for the Czech Republic economy for the 2001Q1-2022Q3 period was used in the study. Whether the monetary policy is effective in the Czech Republic has been examined using VAR analysis. According to the results obtained, the effectiveness of monetary policy instruments in the Czech Republic varies periodically. According to the findings, an increase in real GDP was observed after COVID-19. This indicates that monetary policy instruments generally have a positive effect on the economic growth of the country. JEL Classification: Keywords: Title : E31, E42, E50, E52, E58 Monetary Policy, Economic Growth, Czech Republic The Impact of Monetary Policy on The Economic Growth of the Czech Republic
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Geopolitical risk and financial markets: trends, co-movements and effects
Jarina, Vesna ; Horváth, Roman (advisor) ; Vácha, Lukáš (referee)
This thesis explores the impact of geopolitical risk on cross-market co-movements in both global stock markets and regional foreign exchange markets over the period of 1995-2023. Employing two novel approaches, namely the return co- exceedances within the quantile regression framework and the GDCCX-GARCH model, our findings reveal that geopolitical risk has a tendency to weaken ex- treme return co-exceedances and dynamic conditional correlations within these markets, although there are few exceptions from this behaviour. Additionally, we emphasize the significance of considering geopolitical risk when building portfolio strategies by providing evidence for gold's hedging and safe haven properties, the resilience of clean energy investments, and the rise in crude oil prices in response to heightened geopolitical risk.
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Central bank communication and exchange rates: High-frequency evidence
Suntychová, Petra ; Horváth, Roman (advisor) ; Komárek, Luboš (referee)
The GARCH analysis has been used to estimate the effect of central banks' announcements, posted on their official websites, on demands for the curren- cies they are taking care of, with a focus on the type of announcements re- leased. The announcement specifics observed were past-looking statements, and forward-looking statements, whether they were announcing a monetary policy, financial stability, or commenting on a political situation. The results have shown that announcements made by central banks, both European Central Bank and Czech National Bank, mostly have not significantly affected demands for their respective currencies with certain exceptions. Also, the results suggest that demand for the Euro currency is being affected by these announcements with a longer lag, and announcements made by the European Central Bank are having less impact than those of its Czech counterpart. Overall, it has been concluded that announcements posted on official websites are affecting currency demands less than other influencing factors. JEL Classification F12, F21, F23, H25, H71, H87 Keywords central bank, exchange rate, foreign exchange, GARCH Title Central bank communication and currency de- mand: GARCH Analysis
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Alternative Investment in Art Assets
Kruja, Mirela ; Horváth, Roman (advisor) ; Červinka, Michal (referee)
This thesis investigates the influence of market uncertainty on investments in alternative asset classes, specifically art collectibles, wine, and stamps, over a span of 50 years leading up to the economic downturn of the 2000s, from 1960 to 2007. It explores the premise that such investments can hedge risk during times of financial instability, thus complementing traditional investment strategies. The study aims to provide empirical evidence of the relationship between the price of these alternative asset classes and macroeconomic variables. This paper should serve as an update to the existing body of literature on alternative investments in collectibles, providing valuable insights into how market uncertainty shapes investment behavior. Overall, the results of the study show that wealth and income dynamics play a significant role in shaping the prices in the art market, and by extension, other alternative investment markets, while the analysis of this study emphasizes the role of macroeconomic conditions such as interest rates, inflation rate, and the EPU Index more. JEL Classification D81, G11, Z11 Keywords alternative investments, art price index, wine price index, stamp price index, investment, cointegration model, collectibles Title Alternative Investment in Art Assets
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The Effects of Geopolitical Uncertainty on Selected Stock Markets
Černý, Ondřej ; Horváth, Roman (advisor) ; Šíla, Jan (referee)
This thesis examines the impact of geopolitical uncertainty on four selected stock markets. We analyse the effect on stock market volatility and returns using the GARCH and the EGARCH models and daily stock returns and GPR index value. Furthermore, using categorical indices GPA and GPT, we inspect whether the effect of uncertainty caused by threats differs from that caused by acts. Additionally, we examine whether the impact changed between the period before and after 9/11. The main findings from our results suggest that a rise in each of the risk indices, i.e. global GPR, GPA and GPT, increases the volatility of all of the stock markets and the returns of the two. Also, geopolitical threats negatively influence Hong Kong stock returns, whereas geopolitical acts do not impact them. Furthermore, the impact of at least one of the uncertainty on stock return or volatility changed in the case of all the selected stock markets. JEL Classification C22, C51, C52, C58, G10 Keywords GARCH, geopolitical risk, stock market volatil- ity, stock market returns Title The Effects of Geopolitical Uncertainty on Se- lected Stock Markets Author's e-mail 43885002@fsv.cuni.cz Supervisor's e-mail roman.horvath@fsv.cuni.cz
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The Impact of Natural Disasters on Access to Finance
Pavlovská, Markéta ; Horváth, Roman (advisor) ; Janásek, Lukáš (referee)
The intensity and destructiveness of natural calamities has increased in recent years. This thesis examines the causal effect of natural disasters on firm's access to finance across countries. Only largest catastrophes from years from 2003 to 2020 are considered. Data from the International Disaster Database and World Bank databases are matched into two time dimensional panel data set consist- ing of firms from 21 countries. The effects of natural disasters are analyzed by difference-in-differences method and the regression is estimated by Ordinary Least Squares and Fixed effect. The model is then subjected to various robust- ness checks to assess the validity of the results obtained. The overall results suggest positive response of firm's perception of access to finance 1 to 3 years after the occurrence of natural disaster. 1
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Globalization, Rule of Law and Wealth Inequality
Svěchotová, Anežka ; Horváth, Roman (advisor) ; Schwarz, Jiří (referee)
We examine the determinants of wealth inequality using new dataset consisting of a rich set of explanatory variables including rule of law, as well as different measures of globalization. We use the Bayesian Model Averaging (BMA) approach to account for model uncertainty. The BMA methodology allows to thoroughly compare a large number of potential determinants. Due to large differences in wealth inequality across different countries, the variables included reflect countries' various aspects, namely economic, geographical, regulatory, institutional, finance, globalization, political and demographic factors. Examining 39 potential determinants, we find five robustly related variables. Among them there are three financial development indicators, GDP growth and one geographical dummy for countries in Latin America and the Caribbean. On the other hand, some of the measures of globalization are correlated with wealth inequality; however, they are not its determinants. JEL Classification C33, E21, G51 Keywords wealth inequality, globalization, Bayesian Model Averaging (BMA) Title Globalization, Rule of Law and Wealth Inequality
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Uncertainty and House Prices: Empirical Evidence
Kos, Jiří ; Horváth, Roman (advisor) ; Hlaváček, Michal (referee)
This thesis studies the relationship between house prices, economic fundamen- tals and uncertainty using panel data from 10 OECD member countries and time series data from the United States. Traditional techniques, such as coin- tegration testing, are used to find a possible long-run link between house prices and their determinants. Employing both single-equation ARDL and multi- equation VEC models, we find evidence of a possible long-run relationship between house prices and fundamentals in the panel data. The results from the time series analysis are inconclusive, mostly leaning towards no presence of cointegration. A measure of interest rate is a vital determinant in most mod- els., while income does not exhibit a long-run connection with house prices. Moreover, results indicate the importance of uncertainty in determining house price dynamics, exhibiting both negative and positive effects. JEL Classification C22, D80, R20, R21, R28, R30, Keywords house prices, uncertainty, cointegration, eco- nomic fundamentals, interest rate Title Uncertainty and House Prices: Empirical Evi- dence
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