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Statistical analysis of the dependency time series of the natality and nuptiality in the Czech Republic
Opluštilová, Jolana ; Arltová, Markéta (advisor) ; Blatná, Dagmar (referee)
This diploma thesis is dealing with the study of dependence between birth and marriage in the Czech Republic in 1973-2016, this period is divided into two time point, due to the demographic transition and the new political regime, before 1989 (state regulated economy) and after 1989 (the changeover to a market economy). The basis for multidimensional analysis of time series is the starting point for finding the relationship or dependency between the monitored characteristics. The demographic indicator of birth rate (natality) is characterized by the number of live births and the marriage rate (nuptiality) by the number of marriages in the Czech Republic, available at monthly frequency. In the introduction of this thesis, the hypothesis of the absence of dependence (relationship) between the observed time series is determined, which will be analysed at the end of the analysis for both time series. The results of this thesis can be helpful not only to experts who were engaged with this issue in detail, but also to those interested in demographics or time series, because the prediction of these indicators will be simulated in the end of this paper.
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Population viability analysis of endangered species in Czech Republic
Šťastná, Andrea ; Helman, Karel (advisor) ; Bašta, Milan (referee)
Diploma thesis analyzes the viability of the selected species populations in the Czech Republic. The thesis is divided into two main parts. The first part contains a stochastic model simulating possible scenarios of the Eurasian lynx population size in the Czech Republic. For this model program Vortex was used. The second part is focused on Time series analysis of the Grey Partridge and the Common Kingfisher population, where data was obtained from the Czech Society for Ornithology. This analysis aims on identification of factors that may affect the viability of the two bird species.
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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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Pairs Trading at the Prague Stock Exchange
Nušlová, Alice ; Krištoufek, Ladislav (advisor) ; Křehlík, Tomáš (referee)
Bibliographic entry: NUŠLOVÁ, Alice. Pairs Trading at the Prague Stock Exchange. Prague, 2014. Bachelor thesis, Charles University, Faculty of Social Sciences, Institute of Economic Stud- ies. Supervisor: PhDr. Ladislav Krištoufek Ph.D. Title: Pairs Trading at the Prague Stock Exchange Author: Alice Nušlová Department: Institute of Economic Studies Supervisor: PhDr. Ladislav Krištoufek Ph.D. Supervisor's e-mail address: kristoufek@ies-prague.org Abstract: Since its birth in the 1980s, pairs trading has become a widely used strategy for making profits among hedge funds and institutional investors. This technique identifies pairs of securities whose historical prices show long-run relationship, and takes advantage of their short- term relative mispricing. Profit is generated due to correcting behavior of security prices as they converge towards equilibrium value of their spread. The aim of this thesis is to compare two traditional approaches to pairs trading: cointegration and sum of squared deviations between normalized historical returns, known as distance criterion, within the Prague Stock Exchange equity market. We further investigate whether the two methods, so commonly employed in the US equity market, can be applied with similar success in the PSE. Our results reveal that the strategy using distance...
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Range-based volatility estimation and forecasting
Benčík, Daniel ; Baruník, Jozef (advisor) ; Krištoufek, Ladislav (referee)
In this thesis, we analyze new possibilities in predicting daily ranges, i.e. the differences between daily high and low prices. The main focus of our work lies in investigating how models commonly used for daily ranges modeling can be enhanced to provide better forecasts. In this respect, we explore the added benefit of using more efficient volatility measures as predictors of daily ranges. Volatility measures considered in this work include realized measures of variance (realized range, realized variance) and range-based volatility measures (Parkinson, Garman & Klass, Rogers & Satchell, etc). As a subtask, we empirically assess efficiency gains in volatility estimation when using range-based estimators as opposed to simple daily ranges. As another venue of research in this work, we analyze the added benefit of slicing the trading day into different sessions based on trading activity (e.g. Asian, European and American session). In this setting we analyze whether whole-day volatility measures reliably aggregate information coming from all trading sessions. We are led by intuition that different sessions exhibit significantly different characteristics due to different order book thicknesses and trading activity in general. Thus these sessions are expected to provide valuable information concealed in...
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Fiscal Rules in the European Union
Výprachtická, Terezie ; Šmídková, Kateřina (advisor) ; Schneider, Ondřej (referee)
ABSTRACTS PART I - The EMU and its Fiscal Rules This paper treats the fiscal rules of the European Economic and Monetary Union. It begins by introducing this union's inception and by discussing its set of fiscal rules - the Stability and Growth Pact, including its reform. The rationale for policy coordination and the need for fiscal rules in a monetary union are then investigated. The Stability and Growth Pact is then assessed from this point of view. The most important part of the paper is devoted to the analysis of whether the Stability and Growth Pact could be substituted by the disciplining effect of the financial markets. Our findings suggest that there is certain interaction between the financial markets and the governments' decisions on the fiscal policies and that this reaction has become stronger after the beginning of the latest financial and economic crisis. However, the institutional setup and market conditions in the European Union are such that this interaction is biased and thus we conclude that the Union needs to have fiscal rules. JEL Classification: C23, E44, E61, E62, H62, H87 Keywords: European Economic and Monetary Union, Stability and Growth Pact, Financial markets, Fiscal rules, Policy coordination PART II - The Golden Rule of Public Finance and Productivity of Public Capital This...
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The analysis of Russian economic performance in the light of competitiveness and natural resource curse phenomenon
Kuzmenko, Elena ; Maitah, Mansoor (advisor) ; Smutka, Luboš (referee)
Recent years a lot of debates have been taking place around Russias dependence on natural resources, especially on crude oil and natural gas, and consequent necessity to escape from it through diversification of the Russian economy. The research problem of the present doctoral thesis therefore is to investigate whether Russia demonstrates any success in this process or not. The main goal of the thesis is to analyze Russian economic performance along with Russian producers (representing corresponding economic sectors) relative position towards foreign rivals in external and internal markets and via investigation of the real effective exchange rate of ruble and quality of Russian institutions shed some light on the presence of Natural resource curse phenomenon in the Russian economy. The analysis of Russian economic performance in the light of competitiveness was seen as justified since the results of that analysis may reveal the existence of perspective points of growth in the economy. In the final stage of the research the existence of a long-run interrelationship was checked among the structure of Russian export basket, GDP growth, price of crude oil and the real effective exchange rate of Russian ruble with the use of Johansen cointegration technique.
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Analysis of the relationship between inflation rate, exchange rate, unemployment rate and repo rate
Denisova, Evgeniya ; Kuchina, Elena (advisor) ; Čížek, Ondřej (referee)
In this thesis is made analysis of the relations between inflation rate, unemployment rate, exchange rate and repo rate based on quarterly time series for the Czech Republic from year 2002 till year 2015. In the first part is explained the basic economic theory of inflation rate, unemployment rate, exchange rate and repo rate. The second part is focused on the theory of econometric time series, their models and tests, according to which the analysis is carried out in the practical part. As a preliminary step is compiled VAR model and determined the maximum lag length. After verifying the characteristics of random elements is estimated cointegration relationship. Subsequently, is assembled VEC model and based on statistically significant estimates of the variables are described long and short relations between economical variables.
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Econometric analysis of the economy in game World of Warcraft
Buchníčková, Michaela ; Kuchina, Elena (advisor) ; Formánek, Tomáš (referee)
This thesis analyses the impact of real exchange rate and the official exchange ratio of fiat currencies and in-game golds on the price level in the game World of Warcraft. The work also includes a brief summary of the mechanisms of the in-game economy. The analysis is based on cointegration test and Granger causality test. Individual estimations are model based on the VAR and VEC models theory. The conclusions of this study are made for specific randomly selected pairs of servers with different populations. These results are not easily generalized for the entire regions, but they offer insight into the possible factors affecting the price level in each virtual economy. The results show that the price level on the American server Aegwynn affects the exchange rates of fiat and game currencies as well as that game currency exchange rate in the European region is sensitive to changes in exchange rates of the euro and the yuan. All calculations in this work were implemented in Eviews 8 software.
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