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Business Intelligence in the Laboratory
Musil, Jiří ; Novotný, Ota (advisor) ; Brůha, Jan (referee)
The main objective of this diploma thesis is the implementation of a pilot solution of Business intelligence in the laboratory company. This company is providing tests of samples of blood and urine. The diploma thesis is divided into two main parts. The first part contains theory. It describes the usage and components of the Business intelligence. Additionaly it describes the method Balanced scorecard and its usage in laboratory companies. The second part contains practical solution. At first there is a description of the company where is the solution implemented. In the next step the goals and metrics are determined on basis of the application of the method Balanced scorecard. The strategic map is created based on company goals. The last chapter contains a description of the implementation of the pilot solution and the description of created reports.
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On the Sources of Business Cycles: Implications for DSGE Models
Andrle, Michal ; Brůha, Jan ; Solmaz, Serhat
What are the drivers of business cycle fluctuations? And how many are there? By documenting strong and predictable co-movement of real variables during the business cycle in a sample of advanced economies, we argue that most business cycle fluctuations are driven by one major factor. The positive co-movement of real output and inflation convincingly argues for a demand story. This feature—robust across time and space—provides a simple smell test for structural macroeconomic models. We propose a simple statistic that can compare data and models. Based on this statistic, we show that the recent vintage of structural economic models has difficulties replicating the stylized facts we document.
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Empirical Analysis of Labor Markets over Business Cycles: An International Comparison
Brůha, Jan ; Polanský, Jiří
The goal of this paper is to document and summarize the main cyclical features of labor market macroeconomic data in advanced countries. We report the second moments (correlations, coherences and volatility) of labor market variables for various data transformations (growth rates and cycles). Then we use dynamic factor models to inquire about the number of orthogonal shocks that drives labor market data dynamics. We also investigate the time-varying nature of these features: we ask whether they are stable over time, especially at times of severe crises such as the Great Recession. Finally, we compare these features across countries to see whether there are groups of countries characterized by similar features, such as labor market institutions. We find that certain features are stable over time and across countries (such as Okun’s Law), while others are not. We also confirm that labor market institutions influence selected characteristics, but to a limited degree only. We find that one or at most two orthogonal shocks seem to drive the cyclical dynamics of labor market variables in most countries. The paper concludes with our interpretation of these findings for structural macroeconomic models.
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Dynamics of Linear Forward-looking Structural Macroeconomic Models at the Zero Lower Bound: Do Solution Techniques Matter?
Brůha, Jan
Yes, they do matter, sometimes a lot. In this paper, I compare various solution techniques that can be used to solve structural forward-looking macroeconomic models subject to the zero lower bound as the only non-linearity. I use stylized forward-looking models to compare the solution techniques based on impulse responses, on the implications of forward guidance, on the values of fiscal multipliers, and on solution accuracy. I disprove recent claims in the literature that various solution methods yield identical dynamics. The solutions are equivalent only if the zero lower bound constraint binds for no more than one period, otherwise the implied dynamics can be different. Moreover, I find that large effects of forward guidance and large fiscal multipliers at the zero lower bound are found especially when models are solved using ‘shadow’ shocks. On the other hand, the occasional-binding toolbox and solutions based on a non-linear deterministic solver imply small effects of forward guidance and fiscal multipliers that are not significantly larger at the zero lower bound than during normal times. Moreover, these two types of solutions seem to be the most accurate.
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The Housing Sector over Business Cycles: Empirical Analysis and DSGE Modelling
Brůha, Jan ; Polanský, Jiří
In this paper, we analyse the dynamics of the housing sector over business cycles. First, we provide an empirical analysis of the relationships between housing sector data and the main macroeconomic variables both on Czech data and on a sample of advanced economies. We document that in most countries the housing sector co-moves with the rest of the economy. In the past, the Czech housing market showed temporary episodes during which the housing sector was seemingly disconnected, but since 2005 the housing sector has become more cyclical. Second, we develop a cascade of increasingly complex DSGE models to assess the relative merits of each additional mechanism. Contrary to the popular framework with collateral constraints, we concentrate on the housing sector as an additional production sector via the standard supply and demand mechanisms. Our results confirm that these standard mechanisms are sufficient to replicate the observed comovements of housing market variables.
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The Czech Housing Market Through the Lens of a DSGE Model Containing Collateral-Constrained Households
Tonner, Jaromír ; Brůha, Jan
We incorporate a housing market with liquidity-constrained households into the Czech National Bank’s core forecasting model (g3) to analyze the relationship between housing market and aggregate fluctuations in a small open economy framework. We discuss the historical shock decomposition of house prices and interpret the results in the light of recent empirical work. For a wide range of model calibrations, the interaction between the housing market and the aggregate economy is weak and so the monetary policy implications of house price fluctuations for the Czech Republic are not strong. We interpret this – in line with recent empirical evidence – as an indication that the wealth effects stemming from house ownership are not significant in the Czech Republic. Nevertheless, we show that the collateral mechanism significantly improves the forecasting properties of the extended model, especially for private consumption. This indicates the importance of the collateral effect, which can be caused by assets other than houses.
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Incorporating Judgments and Dealing with Data Uncertainty in Forecasting at the Czech National Bank
Brůha, Jan ; Hlédik, Tibor ; Holub, Tomáš ; Polanský, Jiří ; Tonner, Jaromír
This paper focuses on the forecasting process at the Czech National Bank with an empha- sis on incorporating expert judgments into forecasts and addressing data uncertainty. At the beginning, the core model and the forecasting process are described and it is presented how data and the underlying uncertainty are handled. The core of the paper contains five case studies, which reflect policy issues addressed during forecasting rounds since 2008. Each case study first describes a particular forecasting problem, then the way how the issue was addressed, and finally the effect of incorporating off-model information into the forecast is briefly summarized. The case studies demonstrate that a careful incor- poration of expert information into a structural framework may be useful for generating economically intuitive forecasts even during very turbulent times, and we show that such judgements may have important monetary policy implications.
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Inflation and Output Comovement in the Euro Area: Love at Second Sight?
Andrle, Michal ; Brůha, Jan ; Solmaz, Serhat
This paper discusses comovement between inflation and output in the euro area. The strength of the comovement may not be apparent at first sight, but is clear at business cycle frequencies. We propose a new estimation approach to trimmed mean inflation, determining jointly the upper and lower quantiles to be trimmed, as well as the frequency bandwidth of real output that best aligns inflation with the output cycle. Our results suggest that at business cycle frequency, the comovement of output and core inflation is high and stable, and that inflation lags behind the output cycle with roughly half of its variance. The strong relationship between output and inflation hints at the importance of demand shocks for the euro area business cycle.
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The origins of global imbalances
Brůha, Jan ; Podpiera, Jiří
In this paper writers study the endogenous response of unequally developed regions to a drop in investment and trade costs in a general equilibrium model. The response is characterized by a rise in foreign direct investment in the underdeveloped region and increased consumption in the developed one, leading to trade imbalances between the regions. Writers hereby propose that declining investment and trade costs could have caused this century’s global imbalances.
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