Original title: Can the stock markets predict changes in macroeconomic variables?
Translated title: Can the stock markets predict changes in macroeconomic variables?
Authors: Vařeka, Marek ; Krištoufek, Ladislav (advisor) ; Hayat, Arshad (referee)
Document type: Bachelor's theses
Year: 2017
Language: eng
Abstract: [eng] [cze]
A bstract There is a consensus in the literature, that the stock market can predict the Gross domestic product on quarterly base or the industrial production, which is good proxy for GDP, on monthly basis and that the causal rela­ tionship between stock market and GDP should work both ways. However, using Vector autoregression model on US data since 1950, model shows that the stock market can not only predict the Industrial production on monthly basis, but also ISM non-manufacturing index, which is a good proxy for services in the economy. Furthermore I have managed to prove, that the unemployment can be predicted by past realizations of the stock market and managed to explain almost one third of all variations in change in un­ employment using S&P500 and oil prices during last 20 years. The Granger causality test concluded that stock market does cause the unemployment but not vice versa, at least during last 20 years. V odborné literatuře existuje konsensus, ze akciový trh může předvídat hrubý domacl produkt na čtvrtletní bazi a průmyslovou výrobu, ktera se casto používa pri odhadovani HDP, na mesíční bazi, a take že kauzainí vz­ tahy mezi akciovým trhem a HDP by mely fungovat obema smery. Pouzitím vektorove autoregrese na amerických datech od roku 1950 ukazuji, ze akciový trh muze nejen predvýdat prumyslovou vyrobu na mestém býzi, ale take ISM non-manufacturing index, který slouzý jako dobrý odhad pro sluzby v ekonomice. Dale se mi podarilo prokazat, ze nezamestnanost muze být predvýdana minulymi realizacemi akcioveho trhu a podarilo se mi vysvetlit temer tretinu vsech zmen ve nezamestnanosti pomocý S&P500 a ceny ropy behem posledných 20 let. Grangerav kauzalný test ukazal, ze akciový trh zpusobuje nezamestnanost, ale ne naopak, prinejmensým behem posledných 20 let.
Keywords: econometrics; macroeconomic variables; predictions; stock markets; akciové trhy; ekonometria; makroekonomické premenné; predikcie

Institution: Charles University Faculties (theses) (web)
Document availability information: Available in the Charles University Digital Repository.
Original record: http://hdl.handle.net/20.500.11956/85998

Permalink: http://www.nusl.cz/ntk/nusl-357280


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Universities and colleges > Public universities > Charles University > Charles University Faculties (theses)
Academic theses (ETDs) > Bachelor's theses