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Understanding Information Asymmetries through Mechanism Design
Albert, Branislav ; Červinka, Michal (advisor) ; Adam, Tomáš (referee)
This thesis serves as an introduction and overview of the broad and closely related fields of mechanism design, contract theory, and information economics. Each chapter is intended to provide a self-contained guide to the particular area of application -- examples include adverse selection, moral hazard, and auctions. The reader should benefit from the thesis in two ways: by understanding the general notions of the revelation principle, incentive compatibility, and individual rationality from the mechanism design theory as well as by examining the particular information asymmetry models in the individual areas. Powered by TCPDF (www.tcpdf.org)
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Arrow-Debreu Model of General Equilibrium
Juřena, Filip ; Červinka, Michal (advisor) ; Adam, Tomáš (referee)
Arrow-Debreu Model of General Equilibrium Filip Juřena Abstract In this thesis, we deal with the Arrow-Debreu model of general equilibrium, which is an integrated model of production, exchange and consumption. At the beginning, we present and discuss the original assumptions of the Arrow-Debreu model, i.e. the assumptions introduced by Kenneth J. Arrow and Gerard Debreu in 1954. Under these assumptions, Arrow and Debreu proved the existence of a general equilibrium. As a part of the proof, Arrow and Debreu showed that the equilibria of their model are the same as the equilibria of an abstract economy, or a generalized Nash equilibrium problem (GNEP). We describe the GNEP and look at whether there is a connection which allows to apply results developed by researchers from other disciplines to the Arrow-Debreu model. A part of the thesis is dedicated to a two-factor, two-commodity, two-consumer model, which is based on the original assumptions of Arrow and Debreu. In order to find the solution, we use a method called applied general equilibrium modelling and a software called GAMS. We examine the impact of better technology and taxes on consumers and producers. We have brief remarks on applications of the model at the end.
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Differential equations and stability of competitive economy
Šabata, Marek ; Bárta, Tomáš (advisor) ; Adam, Tomáš (referee)
In the thesis, the author will analyse the theory of differential equations and its applications in economic model of price adjustment processes in competitive markets. First of all, the economic model sufficient to study stability of the market is introduced. Next microeconomic theory of competitive markets is presented and theory of differential equations is laid out, including the stability theory. Differences between the general model and the pure exchange model are discussed. Under certain microeconomic assumptions such as weak axiom of revealed preferences, gross substitutability, Walras's law and other properties of competitive markets, local and global stability of the market is proved. Powered by TCPDF (www.tcpdf.org)
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Forecasting in futures markets: Front, back and rolling contracts
Badáňová, Martina ; Krištoufek, Ladislav (advisor) ; Adam, Tomáš (referee)
In the thesis we analyze sixteen commodity futures markets belonging to four families (energy type, grains, metals and other agricultural commodities) utilizing futures prices of front, back and roll futures contracts. As the tests for cointegration between front and back futures prices give us contradictory results we concentrate on roll contracts defined as the difference between front and back commodity futures contracts. We found that all commodity roll futures except natural gas and wheat futures exhibit long memory, which is usually connected with the fractal market hypothesis. Further, we employ specific ARMA and ARFIMA models and rolling window one-day-ahead technique to predict roll futures contract prices. Based on analysis of relation between resulting predictability and liquidity of roll futures contracts we concluded that lowest predictability is linked with the lowest liquidity among all commodities except metals and found evidence that predictability is positively dependent on liquidity among all commodities except metals, lumber, soybean oil and soybeans. The revealed dependence is strongest for energy type commodities. The relations and dependencies on the commodity futures markets are of high importance for all market participants such as hedge managers, investors, speculators and also for...
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Characterization of promoter regions of HGSNAT and GBA genes, and a contribution to the study of pathogenesis of MPS IIIC and Gaucher disease
Richtrová, Eva ; Hřebíček, Martin (advisor) ; Macek, Milan (referee) ; Adam, Tomáš (referee)
Pathogenesis of mucopolysaccharidosis type IIIC (MPS IIIC) and Gaucher disease has not been yet fully clarified, and the causes of phenotypical variability between the patients with the same genotype in Gaucher disease remain obscure. Because the variants in the regulatory regions of genes can cause phenotypical differences mentioned above, I have studied promoter regions of HGSNAT and GBA genes mutated in these lysosomal disorders. I have shown that there is an alternative promoter of GBA (P2). Additional studies were aimed to elucidate possible physiological functions of P2, and its possible role in the pathogenesis of Gaucher disease. I have found that P2 is not tissue specific, and that its variants do not influence the variability of phenotype in Gaucher patients with the same genotype. P2 is used differentially neither during the differentiation of monocytes to macrophages nor in macrophages from controls and Gaucher patients, in whom there is a prominent storage only in cells of macrophage origin. We have thus not found any changes that would suggest a role for P2 in the pathogenesis of Gaucher disease. I have characterized the promoter region of HGSNAT and shown that the binding of Sp1 transcription factor is important for its expression. Sequence variants found in HGSNAT promoter in...
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Liquidity on euro area money markets and unconventional monetary policy
Majerová, Barbora ; Adam, Tomáš (advisor) ; Havránek, Tomáš (referee)
The aim of this thesis is to estimate the effectiveness of the ECB's measures, namely of the Long-term refinancing operations (LTROs), on the liquidity and credit risk components. These components are estimated according De Socio (2011) methodology, which derives them from the Euribor-Eonia swap spread. The author's hypothesis, that the LTROs have a higher impact on liquidity risk and very small impact on the credit risk, has been confirmed based on impulse response functions from a VAR model. Other parts of the thesis introduce the development on the financial markets during the period 2002 - mid 2007; the liquidity (market, funding and central bank liquidity) and liquidity risks connected to them; development of secured and unsecured money market rates and more importantly the ECB's unconventional monetary policy measures, which were conducted since the crises started.
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Modeling of Long Memory in Volatility Using Wavelets
Kraicová, Lucie ; Baruník, Jozef (advisor) ; Adam, Tomáš (referee)
ii Abstract This thesis focuses on one of the attractive topics of current financial literature, the application of wavelet-based methods in volatility modeling. It introduces a new, wavelet-based estimator (wavelet Whittle estimator) of a FIEGARCH model, ARCH- family model capturing long-memory and asymmetry in volatility, and studies its properties. Based on an extensive Monte Carlo experiment, both the behavior of the new estimator in various situations and its relative performance with respect to two more traditional estimators (maximum likelihood estimator and Fourier-based Whittle estimator) are assessed, along with practical aspects of its application. Possible solutions are proposed for most of the issues detected, including suggestion of a new specification of the estimator. This uses maximal overlap discrete wavelet transform instead of the traditionally used discrete wavelet transform, which should improve the estimator performance in all its applications, not only in the case of FIEGARCH model estimation. The thesis concludes that, after optimization of the estimation setup, the wavelet-based estimator may become an attractive robust alternative to the traditional methods.
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Education and crime - the economic view
Šipkovská, Silvie ; Vyhnánek, Tomáš (advisor) ; Adam, Tomáš (referee)
In her thesis, the author addresses the relationship between education and selected types of crime (economic, property and violent crime) in the context of the national economy. The aim of the thesis is to show that the relationship between crime and education is much more complex than it may appear on the basis of current findings and observations and that, besides education, the criminal career of an offender is also significantly influenced by his/her family background and, therefore, it is appropriate to include this factor into the analysis. The analytical section of the thesis is divided into two separate parts. The first part, which deals with the phenomenon of crime in general, describes the dependency of individual crime types, education and family background by means of tables and diagrams showing percentages of individual variables and using contingency tables and correlation tables. The analysis confirms that there is a significant relationship between crime and the combination of education and family background. This hypothesis, however, manifests itself only in respect of certain types of family background, namely the backgrounds described as "working class" and "intelligentsia". The second part is devoted to recidivism as a particularly negative phenomenon -58% of offenders in the analysed...
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Treasure islands: the economic analysis of tax havens
Filip, Ondřej ; Janský, Petr (advisor) ; Adam, Tomáš (referee)
Bachelor Thesis Abstract This thesis strives to introduce a wider notion of tax havens. We alter a traditional paradigm by investigating tax havens' influence on economic performance of other countries. The first part of the thesis copes with issues implied by the absence of a suitable tax haven's definition which results in compiling an inclusive list of havens. Subsequently, we present a data-based description of the identified tax havens with an emphasis on several widely-held assertions. The second part delivers an empirical analysis. It illustrates the role of tax havens as financial intermediaries. We examined whether the volumes of capital flows between non-havens and tax havens correspond to the sizes of the counterpart economies and to their mutual distance. Foremost, we found intensified capital flows between tax havens and large non-haven countries in their close proximity. The thesis concludes by a discussion of results.
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