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Macroeconomic Responses of Emerging Market Economies to Oil Price Shocks: Analysis by Region and Resource Profile
Togonidze, S. ; Kočenda, Evžen
This study employs a vector autoregressive (VAR) model to analyse how oil price shocks affect macroeconomic fundamentals in emerging economies. Findings from existing literature remain inconclusive how macroeconomic variables fare towards shocks, especially in emerging economies. The objective of our study is to uncover if analysis by region (Latin America and the Caribbean, East Asia and the Pacific, Europe, and Central Asia) and resource intensity of economies (oil exporters, oil importers, minerals exporters, and less resource intensive). Our unique approach forms part of our contribution to the literature. We find that Latin America and the Caribbean are least affected by oil price shocks, while in East Asia and the Pacific the response of inflation and interest rate to oil price shocks is positive, and output growth is negative. Our analysis by resource endowment fails to show oil price shocks’ ability to explain huge variations in macroeconomic variables in oil importing economies. Further sensitivity analysis using US interest rates as an alternative source of external shocks to emerging economies establishes a significant response of interest rate responses to US interest rate in Europe and Central Asia, and in inflation in Latin America and the Caribbean. We also find that regardless of resource endowment, the response of output growth and capital to a positive US interest rate shock is negative and significant in EMs. Our results are persuasive that resource intensity and regional factors impact the responsiveness of emerging economies to oil price shocks, thus laying a basis for policy debate.\n
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Alleged Chinese Currency manipulation: the case of Yuan in relation to the USD from 2005 to 2020
Belon, Sander ; Semerák, Vilém (advisor) ; Macháček, Vít (referee)
Currency manipulation has been an increasingly infamous studied topic espe- cially since the US accusation of Chinese currency manipulation in the sum- mer of 2019. Such accusations raise the question as to what extend the Chi- nese RMB exchange rate might be considered misaligned. This paper seeks to identify grounds of the accusation of currency manipulation by applying the Behavioural Equilibrium Exchange Rate Model (BEER) to indicate possi- ble misalignment. Annual data from 1980 to 2019 is employed for which this paper will emphasize on the period of 2005 to 2019. The utilised Johansen co-integration test and the Vector Error Correction Model (VECM) suggest a consistent undervaluation of the RMB exchange rate from 1980 to 2019. Such undervaluation ranges from -4.623% to -2.016% with a mean undervaluation from 2005 to 2019 of -2.464%. JEL Classification F12, F21, F23, H25, H71, H87 Keywords Behavioural Equilibrium Exchange Rate, Currency Manipulation, Vector Error Correction Model, China, Renminbi Title Alleged Chinese currency manipulation: the case of the Yuan in relation to the USD from 2005 to 2020. Author's e-mail sander@belon.be Supervisor's e-mail vilem.semerak@fsv.cuni.cz rozmezí od -4,623% do -2,016% s průměrným podhodnocením od roku 2005 do roku 2019 ve výši -2,464%.
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Dutch disease in Russia
Havelka, Robert ; Horváth, Roman (advisor) ; Kukačka, Jiří (referee)
Dutch disease in Russia Robert Havelka Abstract Dutch Disease offers formal explanation to the so-called "Resource curse". Detection of Dutch Disease is divided into individual symptoms. We study the case of Russia, i.e. country which possesses significant reserves of natural resources. Long-term relationship between oil price and Russian real exchange rate was not established (1st symptom), but we find evidence of growth and fall of overall wage level in Russia as predicted by Dutch Disease (2nd symptom). We have been able to find statistically significant long-term relationship between Russian GDP, oil price and crude oil export volumes (3rd symptom). Oil price is found to have positive impact on the output of manufacturing sector, which implies Russian economy is to even larger extent vulnerable to oil price shocks. Last link is in direct contradiction with predictions of our model, but it is likely the result of Russian manufacturing sector not being entirely "non-oil", or that some manufacturing sub-sectors are not producing tradable goods. JEL Classication F30, P28, Q30 Keywords Dutch disease, Russia, exchange rate Author's e-mail robberthz.cz@gmail.com Supervisor's e-mail roman.horvath@gmail.com
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Technical analysis of stock trends using artificial neural networks
John, Pavel ; Petříčková, Zuzana (advisor) ; Pilát, Martin (referee)
Although the discipline has not received the same level of acceptance in the past, the technical analysis has been part of financial practice for centuries. One of the big issues was the absence of widely respected fully rational background that is necessary for the modern science. The presence of geometrical shapes recognized by a human eye in historical data charts remained as one of the most important tools till the last decades. Nowadays, it is possible to find commercial trading software which employs neural networks. However, a freely accessible tool is difficult to obtain. The aim of this work was to investigate the usability of applications of neural networks on the technical analysis and to develop a software tool that would implement the knowledge acquired. An application was created and a new promising trading strategy proposed along with experimental data. The advantages of the program presented include the ease of extensibility and a high variability in trading strategies setting.
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China's Equilibrium Exchange Rate
Hanousek, Milan ; Semerák, Vilém (advisor) ; Kruchynenko, Ihor (referee)
The object of this thesis is to estimate the equilibrium exchange rate of the Chinese currency and to determine how much the actual exchange rate de- viates from the equilibrium value. Throughout the China's central planned period the currency was highly overvalued, but economic reforms have brought it closer to the equilibrium. At the present time, the common perception is that the currency is significantly undervalued. We employ the fundamental equilibrium exchange rate (FEER), which enables to measure overvaluation or undervaluation of the actual real effective exchange rate. The basic require- ments for the calculating the FEER are estimated trade equations, a potential output for China and its main foreign partners and sustainable capital flows. Trade equations are estimated by the Engle-Granger two step estimator and the Johansen methodology. The modified version of trade equations is esti- mated by ordinary least squares. The dataset used in this study is composed of annual observations over the period 1981 and 2010. 1
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