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How Much of the Macroeconomic Variation in Ukraine Originates From External Shocks?
Fedorova, Alona ; Baxa, Jaromír (advisor) ; Cahlík, Tomáš (referee)
iv Abstract In this thesis, we investigate the relative importance of foreign shocks in the Ukrainian economy by estimating a small-scale SVAR model with block exogeneity restriction over the period 2003:2 - 2016:12. We find that external shocks from the EU and Russia account for a significant share of the macroeconomic variation in Ukraine. In particular, external shocks account for up to 97 % of variance in Ukraine's output and 85 % in inflation. Remarkably, foreign monetary policy shocks (both from the EU and Russia) account only for a tiny share of variance in all Ukrainian macro variables. Finally, we show that the inclusion of Russia in the 'foreign' block is important to achieve correct model specification. Without accounting for the effects of the Russian economy, Ukrainian variables over-react to shocks originating from the EU. We conclude that the National Bank of Ukraine should closely track external developments to achieve inflation targets. JEL Classification E52, F41, F42 Keywords vector autoregression, foreign shocks, monetary policy, Ukraine Author's e-mail alonafedorova0@gmail.com Supervisor's e-mail jaromir.baxa@fsv.cuni.cz
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Econometric Analysis of Inequality
Munduch, Pavel ; Cahlík, Tomáš (advisor) ; Moravcová, Michala (referee)
This bachelor thesis aims to explore the contemporary issue of income inequali- ty/equality in European context. Exploring the already existing literature and looking at unbalanced panel data from 41 European countries and observa- tions from the 1992-2014 period, this works seeks for anysystematic evidence of causal determinants in regards to incresing or reducing income inequality. Variables such economic growth, education, religion, tax, democracy or corrup- tion are included in the analysis. After carrying out the process of choosing fitting model, testing for serial correlation or heteroskedasticity and applying robust errors, the significant effects turned to be present in trade, taxes, cor- ruption and democracy areas. Implying that increase in trade to GDP ratio, improvingdemocracy,fightingcorruptionandincreasedtaxincomesresultin lower income inequality. JEL Classification Keywords income inequality, Gini coefficient, econometrics Author's e-mail pavelmunduch@gmail.com Supervisor's e-mail cahlik@fsv.cuni.cz
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Happiness and Income
Machová, Veronika ; Cahlík, Tomáš (advisor) ; Pertold-Gebicka, Barbara (referee)
This thesis examines relationships between average national subjective well-being and three economic factors-income (expressed as gross domestic product [GDP] per capita), unemployment, and economic freedom-applying fixed effects, random effects, and correlated random effects methods on panel data for countries worldwide, which are divided into three groups based on their level of development. Two measures of subjective well- being-feeling of happiness, and life satisfaction-are used, and the outputs are then compared for both. The results indicate that all three factors have a significant impact on subjective well-being, and GDP per capita seems to be the strongest determinant thereof. Moreover, the findings differ depending on whether life satisfaction or happiness is used as the measure of subjective well-being. The effects of GDP per capita and economic freedom are higher on the former than the latter.
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How Smart will be Europe 2020? A Panel Data Analysis.
Marková, Veronika ; Cahlík, Tomáš (advisor) ; Moravcová, Michala (referee)
This thesis analyses the targets for education under Europe 2020 strategy - early leavers from education and tertiary education attainment. The main objective is to predict the future development for these indicators up to 2020 and answer the question whether these targets will be fulfilled. From the empirical perspective, it applies econometric analysis of panel data based on human capital theory, that relates the education level of an individual with the parental education and the labour market conditions.
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Pros and Cons of Minimum Wage
Krupa, Mikuláš ; Cahlík, Tomáš (advisor) ; Svačina, David (referee)
1 Abstract This thesis examines the relationship between the minimum wages and the job market on the case of 17 EU member countries. We found that minimum wages are indeed generally contributing to lower employment rates among young workers. Particularly, it is the teenagers that are being affected most significantly by the increases in the minimum wage. It is in line with the expectations that if minimum wages have impact on the labour market, then this influence is most visible on the groups that are more frequently earning minimum wages. Employment rate is a better indicator of minimum wage effects on the labour market as the effect on the unemployment rate is much less visible due to various mechanisms that people use to adjust to the new situation. Keywords: minimum wage, employment, labour market, jobs automation, income distribution
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The Impact of Oil Prices in Norway on Macroeconomic Indicators
Bogren, Peter ; Horváth, Roman (advisor) ; Cahlík, Tomáš (referee)
This thesis analyzes the impact of oil price shocks on the selected macroeconomic variables in Norway for the period of 1990 till 2016. Lag-length test and structural vector autoregressive models are also applied to determine the oil price shocks effect on macroeconomic indicators. We are incorporating 1990 - 2016-time horizon to show the before-crisis, during and after the crisis oil price behavior. We will show that Norwegian oil prices have a strong and significant impact on exchange rate and export per capita. In the context of significant impact, we mean the oil prices will be dependent on these macroeconomic variables. We assume to have the correlation strong. We will show that oil price increase has opposite effect on export per capita and negative impact (decrease) on industrial production index. Last hypothesis states that oil price increase cause interest rate to rise and exchange rate to appreciate.
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Analýza indexů akciových trhů a režimů na komoditních trzích
Kuchina, Elena ; Cahlík, Tomáš (advisor) ; Máša, Petr (referee) ; Lukáčik, Martin (referee)
The thesis focuses on the identification of the typical scenarios of the mutual relations among the stock markets considering different regimes on the commodity markets. For the identified scenarios the investment recommendations have been suggested. Considering different regimes the commodity markets go through and the mutual linkage among the stock markets during different situations on the commodity markets, six scenarios of the stock markets' mutual relations have been analyzed. It was shown that during most unstable period, when highly volatile regime prevails simultaneously on the energy, precious metals and non-energy commodity markets, the whole economy becomes to be more tied: the stock market indices demonstrate stronger interdependence, and as a consequence the benefits of diversification begin to fail. During the simultaneous presence of low volatility on all three analyzed commodity markets the agreement between occurrences of highly volatile state of most stock markets, besides the indices within the European region (DAX, CAC 40, IBEX 35), is rather weak. Similarly the correlation within regions and with other regions is weaker comparing with other situations on the commodity markets, so the standard investment strategy can be kept. It was also shown that the interdependence among the stock markets during the period of high volatility on the energy market differs depending on the source underlying the oil price shocks causing higher volatility. The regimes prevailing on the commodity and stock markets during different time periods have been detected by applying Hidden Markov Model methodology. To examine the similarity between the stock market indices in terms of highly volatile regimes' occurrences, Jaccard's similarity coefficient is employed. The correlation among the stock markets was computed by Spearman correlation coefficient. The final part of research is devoted to the model-based approach used to analyze the dependence of the movement direction of SSEC index on other stock market indices between two trading days during different situations on the commodity markets. The dependency analysis was performed by applying Stochastic Gradient Boosting methodology.
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The Role of Income Tax Progressivity in GDP Smoothening: Empirical Analysis
Žofák, Pavel ; Baxa, Jaromír (advisor) ; Cahlík, Tomáš (referee)
This thesis studies the relationship of income tax progressivity and output volatility. Using our dataset of 31 OECD countries and Bayesian model averaging (BMA) approach to address the model uncertainty issue, we find positive evidence that higher income tax progressivity leads to lower output volatility. This effect is robust to different prior specifications in BMA and to different tax progressivity measures, including our newly constructed measure which is based on the slope of the average tax curve. We also find a strong effect of tax progressivity on the consumption volatility and the volatility of hours worked which we see as the main channels for the reducing effect of tax progressivity on output volatility.
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