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Annuity: Regulation, costs and fees in the pay-out phase of the pension fund pillar
Hochmeister, Tomáš ; Bezděk, Vladimír (advisor) ; Schneider, Ondřej (referee)
The growing importance of defined contribution pension arrangements has drawn increased attention to the means by which retired people draw down their assets. Most of countries require annuitisation of at least a fraction of defined contribution plan accumulations. Annuity markets have recently attracted some criticism with respect to pricing and its costs. Requiring individuals to participate in the annuity market can reduce selection effects. Right incentives and conditions created by the government can enhance the effectiveness of annuity market. But excessive requirements and inappropriate regulation can have substantial cost for the individual. We compare the value of life annuity products in an international context emphasizing the case of Chile and Sweden and the role annuities are to play in the new mandatory defined contribution pension plans of Hungary, Poland and Slovakia. Powered by TCPDF (www.tcpdf.org)
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On the predictability of Central European stock returns : "Do neural networks outperform modern econometric techniques?"
Baruník, Jozef ; Schneider, Ondřej (advisor)
In this thesis we apply neural networks as nonparametric and nonlinear methods to the Central European stock markets returns (Czech, Polish, Hungarian and German) modelling. In the first two chapters we define prediction task and link the classical econometric analysis to neural networks. We also present optimization methods which will be used in the tests, conjugate gradient, Levenberg-Marquardt, and evolutionary search method. Further on, we present statistical methods for comparing the predictive accuracy of the non-nested models, as well as economic significance measures. In the empirical tests we first show the power of neural networks on Mackey-Glass chaotic time series followed by real-world data of the daily and weekly returns of mentioned stock exchanges for the 2000:2006 period. We find neural networks to have significantly lower prediction error than classical models for daily DAX series, weekly PX50 and BUX series. The lags of time-series were used, and also cross-country predictability has been tested, but the results were not significantly different. We also achieved economic significance of predictions with both daily and weekly PX-50, BUX and DAX with 60% accuracy of prediction. Finally we use neural network to learn Black-Scholes model and compared the pricing errors of Black-Scholes and...
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Cross-border public procurement
Ducháček, Tomáš ; Skuhrovec, Jiří (advisor) ; Schneider, Ondřej (referee)
The ability to bid for public contracts over the national borders is an inherent part of European Single market. In recent years, there have been efforts to further increase the rates of cross-border tendering by mitigating the administrative obstacles in the process - primarily the implementation of electronic procurement. In this thesis we found out that the effect of this measure is rather limited - evidence suggests that it led to increase in total number of bids, but the rate of cross- border awards remained stable, as well as a cross-border bidding. Furthermore, the fixed effects of European Union member states are analyzed to examine any evidences of domestic protection. The results suggest that the countries who joined the European Union in the last accession waves show the lowest rates of cross-border awards. However, no examples of direct domestic protection have been discovered.
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Essays on labour force and its productivity
Štěpánek, Martin ; Baxa, Jaromír (advisor) ; Schneider, Ondřej (referee) ; Dybczak, Kamil (referee) ; Yerushalmi, Erez (referee)
This doctoral thesis presents four articles analysing labour force and its productivity. It utilises simulation modelling to assess the impacts of demographic changes, migration or shifts in productivity determinants on public finances and the economies in the Czech Republic and the USA, as well as statistical modelling to evaluate determinants behind workplace productivity. The first three studies assess the topic from a high-level perspective, providing economy-wide projections for the future decades. They also utilise the same core simulation model, an overlapping generations (OLG) framework coded in MATLAB, which is further developed for the particular use in each study. The fourth study, on the other hand, approaches the topic from the opposite direction, analysing the individual-level factors affecting productivity. Specifically, the first article deals with demographic changes -- population ageing and shrinking -- in the context of the Czech pension system. The findings show that the existing system can provide pensions increasing at the rate of change in nominal wages, be financially sustainable in the long term, or increase the default retirement age by only two years in the next decades -- but only two of these three objectives can be achieved at the same time. On the contrary, a structural change...
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