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Stock Price Bubbles: Identification and the Effects of Monetary Policy
Koza, Oldřich ; Matějů, Jakub (advisor) ; Ryska, Pavel (referee)
This thesis studies bubbles in the U.S. stock market and how they are influenced by monetary policy pursued by the FED. Using Kalman filtering, the log-real price of S&P 500 is decomposed into a market-fundamentals component and a bubble component. The market-fundamentals component depends on the expected future dividends and the required rate of return, while the bubble component is treated as an unobserved state vector in the state-space model. The results suggest that, mainly in recent decades, the bubble has accounted for a substantial portion of S&P 500 price dynamics and might have played a significant role during major bull and bear markets. The innovation of this thesis is that it goes one step further and investigates the effects of monetary policy on both estimated components of S&P 500. For this purpose, the block- restriction VAR model is employed. The findings indicate that the decreasing interest rates have a significant short-term positive effect on the market-fundamentals component but not on the bubble. On the other hand, quantitative easing seems to have a positive effect on the bubble but not on the market-fundamentals component. Finally, the results suggest that the FED has not been successful at distinguishing between stock price movements due to fundamentals or the price misalignment.
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Stock Price Bubbles: Identification and the Effects of Monetary Policy
Koza, Oldřich ; Matějů, Jakub (advisor) ; Ryska, Pavel (referee)
This thesis studies bubbles in the U.S. stock market and how they are influenced by monetary policy pursued by the FED. Using Kalman filtering, the log-real price of S&P 500 is decomposed into a market-fundamentals component and a bubble component. The market-fundamentals component depends on the expected future dividends and the required rate of return, while the bubble component is treated as an unobserved state vector in the state-space model. The results suggest that, mainly in recent decades, the bubble has accounted for a substantial portion of S&P 500 price dynamics and might have played a significant role during major bull and bear markets. The innovation of this thesis is that it goes one step further and investigates the effects of monetary policy on both estimated components of S&P 500. For this purpose, the block- restriction VAR model is employed. The findings indicate that the decreasing interest rates have a significant short-term positive effect on the market-fundamentals component but not on the bubble. On the other hand, quantitative easing seems to have a positive effect on the bubble but not on the market-fundamentals component. Finally, the results suggest that the FED has not been successful at distinguishing between stock price movements due to fundamentals or the price misalignment.
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Application of automatic classification methods for driver fatigue monitoring
Cimbálník, Jan ; Koza, Zdeněk (referee) ; Smrčka, Pavel (advisor)
The goal of this thesis was to process data from the project "Wakeful car, sleeping driver," which were acquired during the period of 2000-2002. Furthermore, to obtain attributes from the data which would be appropriate for determination whether the driver is awake or tired. Moreover to evaluate the relevance of the attributes and to use them for automatic fatigue and alertness classification in drivers. The theoretical part describes fatigue as a physiological phenomenon and discusses the current state of research of the issue. The practical part then describes the experiment in which the data was obtained. This is followed by the description of the methodology of this study where signals of elektrooculography and the hall probe, which represented the steering wheel angle, were pre-processed in Matlab. Subsequently, the attributes were calculated from the individual signals and exported to MS Excel, where they were processed into the form of graphs and statistically evaluated. After the removal of irrelevant attributes automatic classification methods were used for discrimination between alertness and fatigue.
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Biomanipulation measures at the Hamry water supply reservoir - poor reaction of phytoplankton to planctivorous fish reduction
Jurajda, Pavel ; Adámek, Zdeněk ; Janáč, Michal ; Roche, Kevin ; Mikl, Libor ; Rederer, L. ; Zapletal, T. ; Koza, V. ; Špaček, J.
One measure commonly used for improving water quality in open waters is biomanipulation of fish stock. Previous studies in shallow lakes confirm the importance of reducing cyprinid populations for increasing zooplankton. Empirical results from reservoirs, however, are scarce. The aim of this study was to evaluate the effect of an intensive reduction of cyprinid fishes and perch fry density between 2009 and 2013 on water quality in the Hamry drinking water reservoir. The abundance of common bream broodstock decreased by around 12 000 individuals over the five years, and biomass dropped below 20 kg.ha-1. Stocking with pike and zander proved less effective. In reservoirs similar to Hamry, reduction of bream biomass can be a highly effective means of increasing filtering zooplankton biomass. Phytoplankton dynamics, however, appear to depend on additional factors, with nutrient loading (especially phosphorus) probably playing the primary role.
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