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Convergence analysis of selected financial indicators for CR and EU
Verner, Jan ; Pánková, Václava (advisor) ; Čížek, Ondřej (referee)
This thesis deals with the nominal and real convergence for Czech Republic and the Euro zone. It also includes analysis of synchronization of economic development in Czech and European economies for identifying potential risks associated with introducing the euro in the CR. The thesis describes different types of convergence and the relevant indicators with their historical evolution and hypothesis about future trends. The empirical part of the paper analyzes some selected indicators using econometric VAR models and linear and non-linear models of conditional heteroskedasticity. A suitable model for the analyzed data is chosen which gives a comparison of development in the Czech Republic and the EU. Especially time series causality, the existence of cointegration and conditional variance processes are observed. In conclusion there's a summary of all theoretical and modelled outputs with the risk evaluation of joining the monetary union.
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Mundell-Fleming model. Application to the Czech economy.
Bouda, Milan ; Pánková, Václava (advisor) ; Křepelová, Marika (referee)
Interpretation of Mundell-Fleming (M-F) model is very similar to IS -- LM model. The main difference is that M-F model is based on an assumption of small open economy. This openness is making this model more realistic then IS -- LM model. These assumptions are suitable for Czech economy. In this thesis, model is estimated and interpreted. The most important is an application to Czech economy concerning the period 2002 - 2010. There are ex post and ex ante predictions based on the estimated reduced form of the model. The ex post forecast is used for the purpose of evaluating whether the model is suitable for the prediction. After finding relevant suitability, prediction of endogenous variables is performed in the following four seasons.
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Econometric Analysis of Microeconomic Processes. Application on Wages in the Czech Republic
Kalčevová, Jana ; Pánková, Václava (advisor) ; Arlt, Josef (referee) ; Cahlík, Tomáš (referee)
This thesis is focused on wages models on the czech labor market in 1996 and 2002. Wages models are built on non-trivial mathematical background and parameters of given models are estimated by methods based on sum of squared residuals and also not often used quantile regression. The quantile regression theory is described in the thesis together with test statistics. Properties of estimations, demonstration examples and proposal of practical application are also indroduced. The theory was applied to two large-size data-files, recieved results show the difference between years 1996 and 2002; a comparison with European Union countries is also given.
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Empirical Testing of the New Keynesian Phillips Curve in the Czech Republic
Plašil, Miroslav ; Arlt, Josef (advisor) ; Pánková, Václava (referee) ; Komárek, Luboš (referee)
New keynesian Phillips curve (NKPC) has become a central model to study the relation between inflation and real economic activity, notably in the framework of optimal monetary policy design. However, some recent evidence suggests that empirical data are usually at odds with the underlying theory. The model due to its inherent structure represents a statistical challenge in its own right. Since Galí and Gertler (1999) published their seminal paper introducing estimation via GMM techniques, they have triggered a heated debate on its empirical relevance. Their approach has been heavily criticised by later authors, mainly on the grounds of questionable behaviour of GMM estimator in the NKPC context and/or its small sample properties. The common criticism includes sensitivity to the choice of instrument set, weak identification and small sample bias. In this thesis I propose a new estimation strategy that provides a remedy to above mentioned shortcomings and allows to obtain reliable estimates. The procedure exploits recent advances in GMM theory as well as in other fields of statistics, in particular in the area of time series factor analysis and bootstrap. The proposed estimation strategy consists of several consecutive steps: first, to reduce a small sample bias resulting from excessive use of instruments I summarize all available information by employing factor analysis and include estimated factors into information set. In the second step I use statistical information criteria to select optimal instruments and eventually I obtain confidence intervals on parameters using bootstrap method. In NKPC context all these methods were used for the first time and can also be used independently. Their combination however provides synergistic effect that helps to improve the properties of estimates and to check the efficiency of given steps. Obtained results suggest that NKPC model can explain Czech inflation dynamics fairly well and provide some support for underlying theory. Among other things the results imply that the policy of disinflation may not be as costly with respect to a loss in aggregate product as earlier versions of Phillips curve would indicate. However, finding a good proxy for real economic activity has proved to be a difficult task. In particular we demonstrated that results are conditional on how the measure is calculated, some measures even showed countercyclical behaviour. This issue -- in the thesis discussed only in passing -- is a subject of future research. In addition to the proposed strategy and provided parameter estimates the thesis brings some partial simulation-based findings. Simulations elaborate on earlier literature on naive bootstrap in GMM context and study performance of bootstrap modifications of unit root and KPSS test.
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Analysis of the Price Convergence of CR towards EU
Havrlant, David ; Pánková, Václava (advisor) ; Mandel, Martin (referee) ; Singer, Miroslav (referee)
The price level convergence of the transition economies towards the reference economies is linked to the relative price of nontradables, which is explained by the total factor productivity differentials in tradable and nontradable sector. Basic concept is offered by the Balassa Samuelson model and its modifications. Testable equations are derived from these models, and the panel data approach is applied for their estimation. The results indicate faster growth of the relative price of nontradables in transition economies as succession of higher growth rate of the total factor productivity in tradable sector. Hence estimated models confirm the price level convergence of transition economies towards the reference economies. The analyses of price dynamics of the complementary field, i. e. of the tradables, follows, and the basic concept is represented by the rational bubble hypothesis. The stress is putted on the impact of the word prices on the price levels of the Czech Republic. After a cointegration analysis of the time series is carried out, the influence of the word prices of tradable commodities is estimated within a vector error correction model and regression analysis. This cost factors analysis is afterwards related to the export dynamics of the Czech Republic, and models suitable for quantitative analysis of export dynamics as well as its prediction based on vector error correction model and regression analysis are evaluated. Their forecasting ability is assessed within a simulation of ex-post forecasts and a root mean squared error. The aim is to consider the relationship between the price levels and the export dynamics, for the relation of both variables evaluated within the Granger causality seems to be less straightforward then the standard export equations suggest, and the estimated equations confirm significant influence of the export dynamics on the price level.
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Analysis of the effectiveness of the EU economies
Charvátová, Petra ; Pánková, Václava (advisor) ; Křepelová, Marika (referee)
Analysis of technical efficiency can be carried out by several possible approaches, such as a deterministic parametric approach, deterministic non-parametric approach (data envelopment analysis) and stochastic parametric approach. The content of this work is an analysis using stochastic parametric approach and deals with the efficiency computed by the help of production functions. The best known and most commonly used aggregate production function is a Cobb-Douglas production function, which is a modification of the static formulation of a relationship between variables and factors of production. The analysis of efficiency can be explained by using of different factors. In this work, the effectiveness is analyzed by the export value of controlled entities and dependent on GDP and public investment. Technical efficiency is studied comparing twenty-seven European Union economies. The analysis is applied to the universal values of the variables and the values per capita.
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RBC model - application to the Czech Republic
Báča, Petr ; Pánková, Václava (advisor) ; Chrobok, Viktor (referee)
The diploma thesis deals with the basic Real Business Cycle (RBC) model. RBC theory provides pure supply-side explanation of economic fluctuations. Generaly acknowledged contribution of RBC theory is the fact that the model is developed strictly on microeconomic basis. The thesis consists of two basic parts, theoretical and practical. First, historical background of RBC theory is mentioned. Then the basic RBC model is step-by-step derived and all equations are provided with explanations. In the last theoretical part section RBC theory critisism is discussed. In the practical part the derived basic model is applied to the Czech economy. First certain properties of the Czech business cycles are examined. Then, the basic model is calibrated, simulated and the results are commented.
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Demand functions as an econometric model
Horáček, Jan ; Pánková, Václava (advisor) ; Křepelová, Marika (referee)
Topic of this bachelor thesis explores influence of monetary policy and GDP on aggregate demand and differences between USA, Germany and Czech Republic. It uses annual and quarterly data since 1995 and for USA since 1985. The work proves influence of inflation and interest rates on this demand. There is significantly lower influence on Germany and Czech Republic then on USA because these European central banks have more strict monetary policy then FED. Second explored aspect is influence of GDP. It was proved that GDP influences aggregate demand in each country differently. It is partly due to transformation of Czech Republic and East Germany from socialistic system to free market economy and partly due to size and international economic integration.
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The Productivity of Farmland depending on Chosen Elements
Partynglová, Soňa ; Pánková, Václava (advisor) ; Voltr, Václav (referee)
This thesis is focused on analysis of the factors that influence the yields of the wheat. This thesis is divided into three parts. The first part opens the problem of wheat cultivation. The second one concerns the methodologies of creating the econometrics models and the third one solves the problem as a whole. Considering a large data file I have a need to reduce it by the factor analysis. I estimate relevant econometric model by application different econometrics methods. This model will show the influences of technological, soil and climatic factors on the yields of wheat. At the end I confront the observed variables with predicted ones by the graininess of soil, climate and the year of the crops.
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Modelování měnového kursu – parity a česká koruna
Mäsiarová, Jana ; Pánková, Václava (advisor) ; Havrlant, David (referee)
The paper analyses validity of main exchange rate theories in case of the Czech crown. Investigated relationships comprise purchasing power parity, interest rate parity and real interest monetary model. Technical part of the analysis involves cointegration, namely Johansen's method based on vector autoregressive models. Two currency pairs are in the focus: CZK/EUR and CZK/USD. Empirical calculations did not prove the absolute validity of the theories but pointed out to other factors of exchange rate, such as convergence process, impacts on inflation targeting decisions, non-monetarist determinants and the recent financial crisis.
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