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Does economic uncertainty spill across countries?
Skákala, Norbert ; Baruník, Jozef (advisor) ; Vácha, Lukáš (referee)
1 Abstract We study economic policy uncertainty spillovers on a panel of ten countries between April 1998 to September 2019. The analysis is performed on the Economic Policy Uncertainty indices data. To measure the spillovers, we utilize forecast error variance decompositions of VAR model. We found that approximately half of the forecast variance can be explained by spillovers shocks across countries. Further, we disentangle the spillover measure to short-, mid- and long-term cycles using frequency domain. Our results suggest that most of the spillovers are caused by shocks into low frequencies, hence with long persistence. Employing quantile regression on equation-by-equation basis to estimate the VAR model, we find that idiosyncratic uncertainty shocks do not propagate strongly at the median but that powerful spillovers occur in the right tail of distribution. Additionally, we perform rolling window estimates of the spillovers. The results indicate strong variation in time, especially during major geopolitical events, such as Iraq War (2003), Global Financial Crisis (2007-09), European debt crisis (2010-12) or Brexit (2016).
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Volatility and Skewness Spillover Effects: Multiresolution Analysis
Frýd, Lukáš ; Vácha, Lukáš (advisor) ; Baruník, Jozef (referee)
The thesis investigates volatility and skewness spillover effects among seven world stock indices and WTI oil under the assumption of the presence of heterogeneous investors. The data sample covers the period from January 1990 to July 2016. The questions addressed in the thesis are twofold: firstly, the dependency of the spillover effect for both the moments-volatility and skewness-on different investments horizons is tested. Further, it is mea- sured whether the inclusion of skewness into has an impact on the volatility spillovers. The decomposition to the different investment horizons is per- formed by the wavelet transformation. Conditional volatility and skewness were estimated by GAS model, which is capable to dynamize static parame- ters from Skewed t distribution. Empirical results suggest significant spillover effects from both volatil- ity and skewness. Another important result is that skewness has a non- significant impact on the volatility spillover effects. Further, it has been found that spillover effects for both the moments are time-scale dependent: the higher investment horizons are associated with higher spillover effects. Additionally, our results support the evidence of the significant impact of the financial crisis in 2008 on the structure of markets. From 2008, there are stronger volatility...
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Three Essays on Central European Foreign Exchange Markets
Moravcová, Michala ; Horváth, Roman (advisor) ; Komárek, Luboš (referee) ; Baumohl, Eduard (referee) ; Pappas, Vasileios (referee)
This dissertation thesis consists of three essays on new EU foreign exchange markets (FX), i.e. the Czech koruna, Polish zloty and Hungarian forint. In the first two essays, the impact of foreign macroeconomic news announcements and central banks' monetary policy settings on the value and volatility of examined exchange rates is analyzed. In the third chapter, the conditional comovements and volatility spillovers on new EU FX markets is examined. The aim of this thesis is to contribute to the existing empirical literature by providing new evidence of the examined currencies during periods, which have not been examined yet (after the Global financial crisis (GFC), during the EU debt crisis and during currency interventions in the Czech Republic). The first essay (Chapter 2) examines the impact of Eurozone/Germany and US macroeconomic news announcements and monetary policy settings of the ECB and the Fed on the value of new EU member states' currencies. It is a complex analysis of 1-minute intraday dataset performed by event study methodology (ESM). We observe different reactions of exchange rates in pair with the US dollar on the US macroeconomic announcements and Euro-expressed FX rates on Germany macro news during the EU debt crisis and after it. We also provide evidence of leaking news, showing...
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Measurement of volatility spillovers and asymmetric connectedness on commodity and equity markets
Malířová, Tereza ; Baruník, Jozef (advisor) ; Komárek, Luboš (referee)
Measurement of volatility spillovers and asymmetric connectedness on commodity and equity markets Tereza Malířová Master's Thesis, IES FSV UK, July 2017 We study volatility spillovers among commodity and equity markets by employing a recently developed approach based on realized measures and forecast error variance decomposition invariant to the variable ordering from vector-autoregressions. This enables us to measure total, directional and net volatility spillovers as well as the asymmetry of responses to positive and negative shocks. We exploit high-frequency data on the prices of Crude oil, Corn, Cotton and Gold futures, and the S&P 500 Index and use a sample which spans from January 2002 to December 2015 to cover the entire period around the global financial crisis of 2008. Our empirical analysis reveals that on average, the volatility shocks related to other markets account for around one fifth of the volatility forecast error variance. We find that shocks to the stock markets play the most important role as the S&P 500 Index dominates all commodities in terms of general volatility spillover transmission. Our results further suggest that volatility spillovers across the analyzed assets were rather limited before the global financial crisis, which then boosted the connectedness between commodity and stock...
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The influence of foreign direct investment to the economic level of the region.
ZAHRADIL, Jarmil
This thesis deals with the areas of foreign direct investment. But it is not about coverage of this issue from a macro-economic level, but on coverage and introduction to this issue in the regional context. Here, he was elected the South Bohemia region, which is from the point of view of potential foreign investors to the region rather peripheral. This work examines the issue of foreign direct investment, describes their relationship to regional development in General. Introduces and analyzes the State of foreign direct investment in the selected region, structure and allocation. Checks whether these investments generate a multiplier effect. Analyzes whether these investments have a direct impact on the life of the region, whether in response to changes in the structure of employment, the movement of labour in the region, served, to more extensive housing construction.
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Which foreigners are worth wooing?: a meta-analysis of vertical spillovers from FDI
Havránek, Tomáš ; Iršová, Zuzana
The principal argument for subsidizing foreign investment is the assumed spillover of technology to local firms. Yet researchers report mixed results on spillovers. To examine the phenomenon in a systematic way, writers collected 3,626 estimates from 57 empirical studies on between-sector spillovers and reviewed the literature quantitatively. The results indicate that model misspecifications reduce the reported estimates, but that journals select relatively large estimates for publication.
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The Positive and Negative Effects of Foreign Direct Investment Supported by The Investment Incentives
Dupal, Jiří ; Petříček, Václav (advisor) ; Laláková, Eva (referee) ; Plchová, Božena (referee) ; Trestr, Pavel (referee)
In the past ten years the Foreign Direct Investment (FDI) has become a phenomenon, which is nowadays considered to be one of the major future perspectives of an economy. For many economists and politicians, the FDI is perceived as a saving instrument, which should help solve problems such as structure, regional discrepancies and most importantly a high unemployment rate especially under the conditions of global economic and financial crisis. The inflow of the FDI to host economy brings many positive effects that cannot be substituted. In fact, it is considered as a positive externality that must be paid. In order to attract the FDI in a country, the investment incentives are proposed and current incentives are being rebuilt. But attracting FDI at all costs can also be counterproductive. The intended aim of this thesis is to analyze positive and negativ effects of the FDI.
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