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Efficiency of public spending
Lebovič, Michal ; Zápal, Jan (advisor) ; Krištoufek, Ladislav (referee)
This thesis aims to offer a comprehensive introduction into the topic of efficiency measurement in the public sector. Firstly, usual definitions and concepts of efficiency are introduced. Attention is then turned to the description of various factors and problems specific for public sector that are crucial to efficiency measurement. It is shown that these factors preclude the use of general (private sector) efficiency measurement methods or demand their modification. The most common methods of analysis are then introduced and their relative advantages and disadvantages in the environment of public sector are explained. Finally the thesis outlines the possible uses and benefits of efficiency measurement, including the use in the economic policy-making, but also points out the limits inherent to this analysis in the current stage of development.
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Misallocation of Human Capital: The Austrian Perspective
Skala, Jakub ; Lebovič, Michal (advisor) ; Bobková, Božena (referee)
Higher education is often considered as one of the safest and most profitable investments in human capital. There are, however, signals that this sector has been experiencing unsustainable economic boom in the United States. This study examines the ability of Austrian Business Cycle Theory to explain the possibility of such boom, i.e. to explain the potential systematic errors in the allocation of human capital. We find that respective allocation is driven by the similar market forces as the allocation of physical capital and hence, that it may fall victim to the same, or similar false market signals, thus creating the cycle of boom and bust. Credit expansion in the sector of student loans can be the trigger then. Furthermore, we study the actual development in this sector and find that empirical evidence provides many reasons to believe that there has actually been unsustainable boom i.e. an economic bubble in the sector of post-secondary education in the United States.
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Forecasting electricity prices in the Czech spot market
Černý, Kryštof ; Lebovič, Michal (advisor) ; Rečka, Lukáš (referee)
This master thesis is focused on analysis and forecasting of hourly and daily electricity price on the deregulated Czech daily electricity market. The methods used for estimating and forecasting hourly and daily prices are picked from the ARIMA-GARCH family of models and Neural Networks. For daily price data, the Redundant Haar Wavelet Transform decomposition of the time series is used in combination with ARIMA and Neural Networks models for forecasting. For hourly data, ARIMA and Neural Network models are considered. The forecasting results of daily data indicate that simpler models such as seasonal ARIMA outperform all other methods. Also the wavelet decomposi- tion of the daily series didn't prove useful in enhancing the forecast precision. For hourly data, the Multilayer Perceptron architecture of the neural network outperformed the ARIMA forecast. JEL Classification C20, C22, C45, C53, C65 Keywords Forecasting, Time Series, ARIMA, GARCH, Neural Net- works, Wavelet Transform Author's e-mail krystof.cerny@gmail.com Supervisor's e-mail lebovicm@gmail.com 1
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The use of coherent risk measures in operational risk modeling
Lebovič, Michal ; Teplý, Petr (advisor) ; Doležel, Pavel (referee)
The debate on quantitative operational risk modeling has only started at the beginning of the last decade and the best-practices are still far from being established. Estimation of capital requirements for operational risk under Advanced Measurement Approaches of Basel II is critically dependent on the choice of risk measure, which quantifies the risk exposure based on the underlying simulated distribution of losses. Despite its well-known caveats Value-at-Risk remains a predominant risk measure used in the context of operational risk management. We describe several serious drawbacks of Value-at-Risk and explain why it can possibly lead to misleading conclusions. As a remedy we suggest the use of coherent risk measures - and namely the statistic known as Expected Shortfall - as a suitable alternative or complement for quantification of operational risk exposure. We demonstrate that application of Expected Shortfall in operational loss modeling is feasible and produces reasonable and consistent results. We also consider a variety of statistical techniques for modeling of underlying loss distribution and evaluate extreme value theory framework as the most suitable for this purpose. Using stress tests we further compare the robustness and consistency of selected models and their implied risk capital estimates...
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Forecasting electricity prices in the Czech spot market
Černý, Kryštof ; Lebovič, Michal (advisor) ; Rečka, Lukáš (referee)
This master thesis is focused on analysis and forecasting of hourly and daily electricity price on the deregulated Czech daily electricity market. The methods used for estimating and forecasting hourly and daily prices are picked from the ARIMA-GARCH family of models and Neural Networks. For daily price data, the Redundant Haar Wavelet Transform decomposition of the time series is used in combination with ARIMA and Neural Networks models for forecasting. For hourly data, ARIMA and Neural Network models are considered. The forecasting results of daily data indicate that simpler models such as seasonal ARIMA outperform all other methods. Also the wavelet decomposi- tion of the daily series didn't prove useful in enhancing the forecast precision. For hourly data, the Multilayer Perceptron architecture of the neural network outperformed the ARIMA forecast. JEL Classification C20, C22, C45, C53, C65 Keywords Forecasting, Time Series, ARIMA, GARCH, Neural Net- works, Wavelet Transform Author's e-mail krystof.cerny@gmail.com Supervisor's e-mail lebovicm@gmail.com 1
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Misallocation of Human Capital: The Austrian Perspective
Skala, Jakub ; Lebovič, Michal (advisor) ; Bobková, Božena (referee)
Higher education is often considered as one of the safest and most profitable investments in human capital. There are, however, signals that this sector has been experiencing unsustainable economic boom in the United States. This study examines the ability of Austrian Business Cycle Theory to explain the possibility of such boom, i.e. to explain the potential systematic errors in the allocation of human capital. We find that respective allocation is driven by the similar market forces as the allocation of physical capital and hence, that it may fall victim to the same, or similar false market signals, thus creating the cycle of boom and bust. Credit expansion in the sector of student loans can be the trigger then. Furthermore, we study the actual development in this sector and find that empirical evidence provides many reasons to believe that there has actually been unsustainable boom i.e. an economic bubble in the sector of post-secondary education in the United States.
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Third Party Punishment Games: What Do They Really Measure?
Radová, Magdaléna ; Cingl, Lubomír (advisor) ; Lebovič, Michal (referee)
This work focuses on costly punishment imposed by unaffected observing third parties in economic experiments. Third-party intervention is applied to enforce social norms in situations in which the retaliation by directly harmed second parties is not possible or sufficient. I provide a coherent overview of recent experimental research, and examine the characteristics of third-party sanctions, socio-cultural variations and underlying motives of punishment behavior. The existence of third-party punishment contradicts the standard economic predictions but is consistent with some theoretical models of social preferences. The experimental results show that third-party punishment is present across societies in strength proportional to the degree of norm violation. Punishment may be an emotional reaction to observed injustices or imposed instrumentally to change the unequal distribution of resources, enhance cooperation and increase social welfare. At the end of the work, I outline an experiment to examine the efficiency of third-party punishment in comparison with the third-party reward on maintenance of cooperation norm.
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Prospects of "Ladder of Investments" on telecommunication market
Kračmerová, Veronika ; Cahlík, Tomáš (advisor) ; Lebovič, Michal (referee)
The main objective of the thesis is the basic concept of the European regulatory policy for the fixed access network known as "Ladder of investments". The regulation is based on different levels of access to the infrastructure owned by the company with significant market power in the telecommunications market and its aim is to help alternative operators to build their own access network and thus to form an effective competition on the market. This thesis is focused on the regulation in the Czech Republic. It includes the development and current state of the Czech telecommunications market and tries to prove or disprove the success of the Ladder of investments in the Czech Republic. Keywords: Ladder of investments, liberalization and regulation of the telecommunications market, competitiveness, Replacement effect, Local Loop Unbundling, NGA networks
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Risk management of savings accounts
Džmuráňová, Hana ; Teplý, Petr (advisor) ; Lebovič, Michal (referee)
This thesis deals with the risk management of savings accounts. Savings accounts are non- maturing liabilities bearing two embedded options. The first option is the client's right to withdraw deposits on notice. The second option is a bank's right to change the deposit rate on savings accounts whenever it wishes. This in practice means that a fierce competition may arise as banks can quickly react to competitor's change in the deposit rate. The embedded characteristics make the risk management of savings accounts challenging. We identify five key risks of savings accounts: liquidity risk, market risk (interest rate risk), systemic risk, reputational risk, and model risk. The thesis focuses on the interest rate risk and the method of replicating portfolios, which is a standard technique of the estimation of non-maturing liabilities' interest rate risk employed by banks. Using replicating portfolio approach, we derive that savings accounts are risky liabilities. We provide evidence that high deposit rates offered on numerous savings accounts in the Czech Republic have not been consistent with low market rates since January 2012, at least. We show that unsustainable deposit rates combined with competition among banks will lead to capital losses in some banks when market rates increase. JEL...
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Long-Term Care in the Czech Republic: The Way Forward
Blechová, Lucie ; Pavloková, Kateřina (advisor) ; Lebovič, Michal (referee)
This thesis focuses on the future development of expenditures on long-term care in the Czech Republic. It consists of an introduction to the problems of population ageing and long-term care and then uses a mathematical model to predict the future expenditures on long-term care until the year 2060. The impact of population ageing on these costs is crucial. The prediction is based on an external population projection and uses data on long-term care capturing about 65% of Czech population which makes the prediction very unique. The thesis contains the results of this projection as well as their comparison with another model using the same population projection.
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