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Econometric analysis of demographic aspects of economic development
LE, Václav Quang
The thesis focuses on econometric analysis of demographic aspects of economic development. The subject of the analysis is the sustainability of the pension system of the Czech Republic, which is examined from two perspectives, from the point of view of pension revenues and expenditures on pension benefits. The analysis is carried out using the multiple linear regression technique. Three models are presented for each of the variables examined. The dataset is time series in nature, has quarterly seasonality and the period under study is the time interval 2000-2022 Q1. According to the revenue models, revenue is positively correlated with GDP, wages and salaries, employers' social contributions, consumer price index (CPI) and negatively correlated with the number of employed and unemployed. Expenditures, on the other hand, are positively correlated with the number of pensions, CPI, average wages and past expenditures. The models presented were also evaluated for their forecast accuracy for 2018-2019 when there was no crisis and for 2020-2022 Q1 when there was a crisis. The models were able to capture the dynamics of the variables in the non-crisis period, but were not as accurate in the crisis period, with the expenditure models performing better in comparison. Based on cross-validation, the corrected Akaike information criterion and the Schwarz Bayesian information criterion, model 2 was selected for each variable to predict for Q2-Q4 2022. According to the revenue model, revenue should trend sideways/stagnate, while according to the expenditure model, expenditure should grow. Also, predicted expenditures are exceeding predicted revenues.
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Use of technical analysis in the financial market
LE, Václav Quang
Forex is the largest financial market in the world in terms of trading volume. To predict its direction, various models are used. One of those models is technical analysis, which is utilized by two strategies: an automatic one and a manual one. Both are traded on the following currency pairs: EUR/USD, USD/CAD, USD/JPY, AUD/USD and NZD/USD. The time period of the experiment is 12 months. The strategies are tested on MetaTrader 4 and the data for trading is provided by the broker Purple Trading. The data for the analysis originate from executed trades in real life, in case of the manual trading system, and from a backtest, in case of the automatic one. The opening balance of the account is 28 500 CZK. The manual strategy generated 1 091,88 CZK (an appreciation of 3,83 %). The automatic one made a profit of 3 051 CZK (an appreciation of 10,71 %). The manual strategy was successful on EUR/USD and NZD/USD. The automatic one on the other hand was successful on USD/CAD and AUD/USD. On USD/JPY none of them were profitable.
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