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Impact of brexit on Great Britain's foreign trade with the Czech Republic and Slovakia
Brousilová, Taťána ; Hlaváček, Michal (advisor) ; Paulus, Michal (referee)
The United Kingdom is the first country ever to leave European Union. The aim of this bachelor thesis is to analyse the impact of Brexit on the Czech and Slovak Republic. This thesis characterizes the foreign trade of the Czech Republic and Slovakia with the assumption that most of the impact of Brexit will depend on indirect trade links and not only on the foreign trade of the United Kingdom with the Czech Republic and Slovakia. This effect is expected due to Germany being the main trading partner of the Czech Republic and Slovakia. Using Input-Output analysis and two symmetric Input-Output tables for these countries, the direct impact caused by the reduction in exports of the United Kingdom was estimated first. Using the World Input-Output Table, the direct and indirect impact on the Czech Republic and Slovakia was calculated. This impact is caused by the weakening of the trade relationships between the United Kingdom and the Member States of the European Union. The analysis confirms the expected increased impact of Brexit on the Czech Republic and Slovakia through indirect trade links. The analysis further identifies the production of motor vehicles, trailers and semi-trailers as the most affected sector, both in the Czech Republic and in Slovakia.
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The effect of monetary stimulus on housing prices and the relationship of housing and rental prices in European countries
Hönig, Maximilian ; Kalabiška, Roman (advisor) ; Hlaváček, Michal (referee)
iv Abstract As real estate is an important part of the wealth composition of households, this the impact of the financial stimulus that was observed throughout 2020 and how it might have affected housing prices in various European countries. For this the thesis runs a Vector Error Correction Model with the following independent variables: population, exchange rate, inflation, short-term interest rate, unemployment rate and the compensation of employees. The time frame for this regression is restricted to 2000Q1 to 2019Q4 in order to exclude the housing price development throughout 2020 that is already affected by the financial stimulus. These regression results are then used in combination with the 2020 actuals of all independent variables to approximate the expected housing price without financial stimulus. This gives an indication of a potential overpricing in the markets and provides an understanding of how financial stimulus might be connected to housing prices. Another analysis in this thesis then provides an understanding of the leader-follower relationship of housing prices and rental prices and provides an analysis on how this might be connected to the level of home ownership in a particular market. JEL Classification F62, J11, R30 Keywords Real Estate, Covid-19, Financial Stimulus Title The effect...
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Assessment of the Efficiency of QE in Selected Countries - A TVP-VAR Approach
Bandžak, Denis ; Hlaváček, Michal (advisor) ; Horváth, Roman (referee)
This thesis applies time-varying parameter vector autoregression (TVP-VAR) model with stochastic volatility to assess the effectiveness of quantitative easing in time for the Bank of Japan, the European Central Bank, the Bank of England and the Federal Reserve System between the global financial crisis and COVID-19 pandemic. We find pronounced and statistically significant response of GDP and level of implied stock market volatility to a QE shock whereas the response of CPI is feeble and statistically insignificant. We argue that this does not necessarily imply that there is no effect of QE on CPI but rather that our model was not able to detect it. We believe that this may be due to inflation expectations channel which our model did not account for. This can be reassessed with a TVP-FAVAR model which is more suitable for such an analysis as it can encompass a larger set of variables. Moreover, apart from the US, we report increasing effectiveness of QE in time. This is opposed by the researchers who believe that QE has rather decreasing effectiveness in time because it is more efficient during economic distress and then its efficiency tends to decrease during normal times. We explain this deviation by citing other unconventional monetary tools such as credit easing, forward guidance or negative...
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Traditional Real Estate Portfolio Diversification and Risk Measures: Evidence from the Czech Republic and Slovakia
Müller, Erik ; Streblov, Pavel (advisor) ; Hlaváček, Michal (referee)
This thesis evaluates traditional real estate diversification strategy by region and by property type. Additionally, it provides common risk measures - reduction of total risk and tracking error. The main contribution is twofold. First, it extends the coverage of common real estate research to the area of the Czech Republic and Slovakia. To our knowledge, this is the first study of this kind on the local market. Second, this thesis accounts for non-divisibility of ownership. This is a specific attribute of real estate, which may deteriorate investors' efforts for optimal allocation. Researchers' methods depart from Capital Asset Pricing Model. Evaluation techniques include efficient and pseudo-efficient frontiers, quantiles of total risk and tracking error, both as a function of portfolio size and portfolio value. Main findings include: (i) there is no strictly superior strategy, but there is a difference for specific subcategories, (ii) impartible ownership decreases risk-adjusted performance, this might be partially overcome by leverage, (iii) diversification is costly and index tracking is hardly possible. JEL Classification C22, C61, G12, R33 Keywords real estate diversification, direct investments, risk, ownership non-divisibility Title Traditional Real Estate Portfolio Diversification and...
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