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Portfolio selection based on hierarchical structure of its components
Ševinský, Robert ; Krištoufek, Ladislav (advisor) ; Rusnák, Marek (referee)
This thesis investigate empirical performance of three portfolio selection and covariance matrix models. The goal is to find a strategy that outperform equally weighted portfolio in the long run and survives even in times of finan- cial distress. Two models based on Markowitz approach absolutely failed in this context, however the last approach based on network analysis indeed out- perform the market even after risk adjustment of returns. Moreover this model have sparse transaction matrix throughout time, therefore exhibit excellent properties even in the presence of transaction costs. Results for network based portfolio were obtained from running a back test on 160 member companies of S&P 500 index for 6'000 trading days. JEL Classification G11, G32, C10 Keywords Portfolio selection, Minimum spanning tree, Transaction costs, Covariance matrix Author's e-mail r.sevinsky@gmail.com Supervisor's e-mail kristoufek@ies-prague.org
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The impact of regulation on innovation capacity in the telecommunication sector
Šperková, Lenka ; Cahlík, Tomáš (advisor) ; Rusnák, Marek (referee)
This paper provides an analysis of efficiency and innovation capacity of regulatory measures in two major areas of telecommunication sector: voice telephony and broadband market. In the first part we introduce basic concepts connected with development and performance of voice telephony along with recent European regulatory measures connected to mobile termination rates (MTR) and possible externalities. Impact of introduction LRIC approach on prices of local calls is provided by econometric panel data model covering 17 countries from 2004 till 2011. We have found no significant impact. In the second part we study broadband market segmentation and performance in connection with application "ladder of investments" and "local loop unbundling" approaches. This model is tested on panel dataset of 23 countries in 2004-2010 period of time. Our findings include presence of positive relationship between all three forms of unbundled accesses with different magnitudes of effects. Following test of access payments impact on facility-based competition has detected that: high (average monthly) payments per fully unbundled access do not tend to have positive impact on number of entrants' lines. Despite this result consolidation of our findings supports "ladder of investments" and "local loop unbundling" theory in...
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The influence of shale gas on natural gas markets in Europe and North America
Otradovec, Michal ; Gutiérrez Chvalkovská, Jana (advisor) ; Rusnák, Marek (referee)
This thesis studies the impact of shale gas on the integration of natural gas markets in Europe and North America. In our practical part we examine with hard data to what extent integration of natural gas markets exists in Continental Europe and North America. We suppose that the recent changes in natural gas markets have significantly influenced the international integration between North American and European continents towards less integrated natural gas markets, but have strengthened the inner integration in these areas. Our results proved integration of natural gas market in each of the intra regional levels, what is consistent with the literature done on this topic. On the other hand our methods did not prove mutual integration between these trans-Atlantic natural gas markets, just as we expected in the hypothesis of this thesis. In our modelling we apply several approaches such as the Engle- Granger cointegration test, Johansen cointegration test and Vector error correction model to formally test for cointegration, from which we can state conclusions about mutual or inner integration. We use monthly data for a period of 1997-2011. Our research is unique becuase there are only a few existing studies on this topic to date. Our empirical tests are introduced by a solid overview of shale gas,...
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Efficiency Analysis of Grammar Schools in the Czech Republic
Červenková, Kateřina ; Šťastná, Lenka (advisor) ; Rusnák, Marek (referee)
This thesis aims to assess the technical efficiency of grammar schools in the Czech Republic. We analyze a sample of 263 grammar schools (out of 362) and use data of cohort that graduated in 2012. We adopt a two-stage approach to efficiency analysis. In the first stage, efficiency scores are obtained through the data envelopment analysis under different returns to scale assumptions. The average efficiency of Czech grammar schools is 92% if variable returns to scale are considered. In the second stage, the efficiency is related to school and environmental characteristics using a Tobit regression. Our results suggest that the percentage of female students has a positive effect on efficiency as well as the school size and the share of students attending the 6 or 8 year study program. On the contrary, schools offering a vocational program along with a grammar school program are found to be less efficient. We have not found evidence that the share of not qualified teachers, yearly salary per teacher, state/private status, size of the town in which a school is located or any other environmental variable affect efficiency. 1
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Spread Determinants and Model Uncertainty: A Bayesian Model Averaging Analysis
Seman, Vojtěch ; Rusnák, Marek (advisor) ; Hlaváček, Michal (referee)
The spread between interest rate and sovereign bond rate is commonly used in- dicator for country's probability to default. Existing literature proposes many different potential spread determinants but fails to agree on which of them are important. As a result, there is a considerable uncertainty about the cor- rect model explaining the spread. We address this uncertainty by employing Bayesian Model Averaging method (BMA). The BMA technique attempts to consider all the possible combinations of variables and averages them using a model fit measure as weights. For this empirical exercise, we consider 20 different explanatory variables for a panel of 47 countries for the 1980-2010 period. Most of the previously suggested determinants were attributed high inclusion probabilities. Only the "foreign exchange reserves growth" and the "exports growth" scored low by their inclusion probabilities. We also find a role of variables previously not included in the literature's spread determinants - "openness" and "unemployment" which rank high by the inclusion probability. These results are robust to a wide range of both parameter and model priors. JEL Classification C6, C8, C11, C51, E43 Keywords Sovereign Spread Determinants, Model Uncer- tainty, Bayesian Model Averaging Author's e-mail semanv()gmail()com...
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Spread Determinants and Model Uncertainty: A Bayesian Model Averaging Analysis
Seman, Vojtěch ; Rusnák, Marek (advisor) ; Hlaváček, Michal (referee)
The spread between interest rate and sovereign bond rate is commonly used in- dicator for country's probability to default. Existing literature proposes many different potential spread determinants but fails to agree on which of them are important. As a result, there is a considerable uncertainty about the cor- rect model explaining the spread. We address this uncertainty by employing Bayesian Model Averaging (BMA). The BMA technique attempts to consider all the possible combinations of variables and averages them using a model fit measure as weights. For this empirical exercise, we consider 44 different explanatory variables for a panel of 47 OECD countries for the 1980-2010 pe- riod. Most of the previously suggested determinants, including "public debt" or "budget balance", were attributed low inclusion probabilities. We find a role of variables previously not included in the literature's spread determinants - "unemployment" and "government consumption" which rank high by the in- clusion probability. These results are robust to a wide range of both parameter and model priors. JEL Classification C6, C8, C11, C51, E43 Keywords Sovereign Spread Determinants, Model Uncer- tainty, Bayesian Model Averaging Author's e-mail semanv()gmail()com Supervisor's e-mail marek.rusnak()cerge-ei()cz
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Two Essays on the Modeling of Monetary Policy Transmission Mechanism
Rusnák, Marek ; Horváth, Roman (advisor) ; Svoboda, Svatopluk (referee)
In first essay, we investigate the evolution of monetary policy transmission mechanism in the Czech Republic over 1993:1 - 2009:9 period by employing time varying parameters Bayesian vector autoregression model with stochastic volatility. We document relative stability of monetary policy transmission mechanism over time. However, there is some evidence that the transmission to prices was weakened temporarily during the climax of the financial crisis, but appear to be back to its pre-crisis strength already in the second half of 2009. Further, we augment the estimated system with a financial variable to investigate the significance of financial shocks for the transmission. The results suggest that financial shocks indeed play relatively important role in explaining the fluctuations of the output and prices. Second essay presents a meta-analysis of the effects of a monetary policy shock on prices. First, we present some summary statistics that document the pervasiveness of the price puzzle, which denotes an increase in the price level following a contractionary monetary policy shock, in the results of empirical studies. Next, using meta-regression methods such as funnel asymmetry test, we find the evidence of publication selection bias that increases with the horizon studied. Finally, we use explanatory...
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Two essays on the modeling of monetary policy transmission mechanism
Rusnák, Marek ; Svoboda, Svatopluk (referee) ; Horváth, Roman (advisor)
In first essay, we investigate the evolution of monetary policy transmission mechanism in the Czech Republic over 1993:1 - 2009:9 period by employing time varying parameters Bayesian vector autoregression model with stochastic volatility. We document relative stability of monetary policy transmission mechanism over time. However, there is some evidence that the transmission to prices was weakened temporarily during the climax of the financial crisis, but appear to be back to its pre-crisis strength already in the second half of 2009. Further, we augment the estimated system with a financial variable to investigate the significance of financial shocks for the transmission. The results suggest that financial shocks indeed play relatively important role in explaining the fluctuations of the output and prices. Second essay presents a meta-analysis of the effects of a monetary policy shock on prices. First, we present some summary statistics that document the pervasiveness of the price puzzle, which denotes an increase in the price level following a contractionary monetary policy shock, in the results of empirical studies. Next, using meta-regression methods such as funnel asymmetry test, we find the evidence of publication selection bias that increases with the horizon studied. Finally, we use explanatory...
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The hangar for small planes
Rusňák, Marek ; Šmak, Milan (referee) ; Štrba, Michal (advisor)
The goal of this bachelor’s thesis is the design of steel loadbearing structure of the hangar for small planes, situated at the locality of the airport in Kunovice. As the basic material was chosen steel S355 and for selected elements steel S460. Truss roof of the object was designed as saddle, pitched at 15,9°. The plan of the object is rectangular with the dimensions 51,0 m x 35,0 m and the height of the building in the middle of its span is 16,5 m. Computational model was created by using the software Dlubal RFEM 5.03. The reports were with the exceptions created by following the valid standards and verified by the help of the software.
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Habit Formation in Consumption: A Meta-Analysis
Havránek, Tomáš ; Rusnák, Marek ; Sokolova, Anna
We examine 567 estimates of habit formation from 69 studies published in peer-reviewed journals. In contrast to previous results for most fields of empirical economics, we find no publication bias in the literature. The median estimated strength of habit formation equals 0.4, but the estimates vary widely both within and across studies. We use Bayesian model averaging to assign a pattern to this variance while taking into account model uncertainty. Studies using micro data report consistently smaller estimates than macro studies: 0.1 vs. 0.6 on average. The difference remains large when we control for 21 other study aspects, such as data frequency, geographical coverage, variable definition, estimation approach, and publication characteristics. We also find that estimates of external habit formation tend to be substantially larger than those of internal habits, that evidence for habits weakens when researchers use higher data frequencies, and that estimates differ systematically across countries.
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