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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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Banking and Currency Crises: Differential Diagnostics for Developed Countries
Joy, Mark ; Rusnák, Marek ; Šmídková, Kateřina ; Vašíček, Bořek
We identify a set of “rules of thumb” that characterise economic, financial and structural conditions preceding the onset of banking and currency crises in 36 advanced economies over 1970–2010. We use the Classification and Regression Tree methodology (CART) and its Random Forest (RF) extension, which permits the detection of key variables driving binary crisis outcomes, allows for interactions among key variables and determines critical tipping points. We distinguish between basic country conditions, country structural characteristics and international developments. We find that crises are more varied than they are similar. For banking crises we find that low net interest rate spreads in the banking sector and a shallow or inverted yield curve are their most important forerunners in the short term, whereas in the longer term it is high house price inflation. For currency crises, high domestic short-term rates coupled with overvalued exchange rates are the most powerful short-term predictors. We find that both country structural characteristics and international developments are relevant banking crisis predictors. Currency crises, however, seem to be driven more by country idiosyncratic, short-term developments. We find that some variables, such as the domestic credit gap, provide important unconditional signals, but it is difficult to use them as conditional signals and, more importantly, to find relevant threshold values.
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Forecasting Czech GDP Using Mixed-Frequency Data Models
Franta, Michal ; Havrlant, David ; Rusnák, Marek
In this paper we use a battery of various mixed-frequency data models to forecast Czech GDP. The models employed are mixed-frequency vector autoregressions, mixed-data sampling models, and the dynamic factor model. Using a dataset of historical vintages of unrevised macroeconomic and financial data, we evaluate the performance of these models over the 2005–2012 period and compare them with the Czech National Bank’s macroeconomic forecasts. The results suggest that for shorter forecasting horizons the accuracy of the dynamic factor model is comparable to the CNB forecasts. At longer horizons, mixed-frequency vector autoregressions are able to perform similarly or slightly better than the CNB forecasts. Furthermore, moving away from point forecasts, we also explore the potential of density forecasts from Bayesian mixed-frequency vector autoregressions.
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Cross-Country Heterogeneity in Intertemporal Substitution
Havránek, Tomáš ; Horváth, Roman ; Iršová, Zuzana ; Rusnák, Marek
We collect 2,735 estimates of the elasticity of intertemporal substitution in consumption from 169 published studies that cover 104 countries during different time periods. The estimates vary substantially from country to country, even after controlling for 30 aspects of study design. Our results suggest that income and asset market participation are the most effective factors in explaining the heterogeneity: households in rich countries and countries with high stock market participation substitute a larger fraction of consumption intertemporally in response to changes in expected asset returns. Micro-level studies that focus on sub-samples of rich households or asset holders also find systematically larger values of the elasticity.
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Nowcasting Czech GDP in Real Time
Rusnák, Marek
The prominent measure of the current state of the Czech economy, gross domestic product (GDP), is available only with a significant lag of roughly 70 days. In this paper, we employ a Dynamic Factor Model (DFM) to nowcast Czech GDP in real time. Using multiple vintages of historical data and taking into account the publication lags of various monthly indicators, we evaluate the real-time performance of the DFM over the 2005– 2012 period. The results suggest that the accuracy of model-based nowcasts is comparable to that of the judgmental nowcasts of the Czech National Bank (CNB). Our results also suggest that foreign variables are crucial for the accuracy of the model, while omitting financial and confidence indicators does not worsen the nowcasting performance. Finally, we show how releases of new data can be viewed through the lens of the dynamic factor model.
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