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Yield Curve Modeling and the Effect of Macroeconomic Drivers: Dynamic Nelson-Siegel Approach
Patáková, Magdalena ; Šopov, Boril (advisor) ; Vošvrda, Miloslav (referee)
The thesis focuses on the yield curve modeling using the dynamic Nelson-Siegel approach. We propose two models of the yield curve and apply them on four currency areas - USD, EUR, GBP and CZK. At first, we distill the entire yield curve into the time-varying level, slope and curvature factors and estimate the parameters for individual currencies. Subsequently, we build a novel model investigating to what extent unobservable factors of the dynamic Nelson-Siegel model are determined by macroeconomic drivers. The main contribution of this thesis resides in the innovative approach to yield curve modeling with the application of advanced technical tools. Our primary objective was to increase the accuracy and the estimation power of the model. Moreover, we applied both models across different currency areas, which enabled us to compare the dynamics of the yield curves as well as the influence of the macroeconomic drivers. Interestingly, the results proved that both models we developed not only demonstrate strong validity, but also produce powerful estimates across all examined currencies. In addition, the incorporated macroeconomic factors contributed to reach higher precision of the modeling. JEL Classification: C51, C53, G17 Keywords: Nelson-Siegel, Kalman filter, Kalman smoother, Stace space formulation...
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Tatra Kopřivnice 1919-1945 : the premium brand of the Czechoslovak industry
Patáková, Magdalena ; Půlpán, Karel (advisor) ; Kameníček, Jiří (referee)
The Tatra automotive brand has become one of the most outstanding symbols of the Czechoslovak industry and has become famous all over the world, too. The aim of this bachelor thesis is to discover the most important reasons that led to the economic success of Tatra Kopřivnice vehicle manufacturer. It focuses on the period of the biggest expansion of the company from the establishment of the Czechoslovak republic up to the end of the Second World War - the period of 1919 - 1945. Particular chapters offer an analysis of the company's structure and its management system as well as techno - economic parameters of production, marketing and advertising. Then we explore the position of Tatra company within the Czechoslovak automotive industry and also the international automotive trade. Last but not least, we focus on the area of human resources. In the thesis, there are included materials from the company's archive that have not yet been published, as well as information from interviews with employees of the Technical Museum of Tatra Kopřivnice.
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An analysis of the determinants influencing the probability of cancellation for projects receiving EU funding
Nový, Petr ; Martišková, Monika (advisor) ; Patáková, Magdalena (referee)
This thesis approaches the problem of the cancelled projects receiving EU funding as another reference variable through which the absorption capacity of the Czech Republic may be measured. The determinants influencing the probability of projects cancellation have so far been only modestly described. Therefore, an attempt to examine some determinants influencing the probability of cancellation for projects receiving EU funding is made, first, by summarizing and describing trends of cancelled projects in the programming period 2007 - 2013 and, second, by econometric inference trying to find the possible determinants. The data shows the ever increasing trend of cancelled projects and large share of the Operational Program Enterprise and Innovations on all cancelled projects. It was found that it is the size of the paid amount for projects that determines negatively the probability of projects cancellation most significantly. Apart from that, the age of a firm and number of employees also play a significant positive role. The year 2008 when crisis broke out, is also a determining factor.
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Terrorism and market risk assessment
Lacroix, Jean ; Patáková, Magdalena (advisor) ; Brechler, Josef (referee)
Charles University in Prague Faculty of Social Sciences Institute of Economic Studies Bibliographic Record of a an Academic Thesis Title in the language of the thesis (as recorded in SIS) Terrorism and market risk assessment Subtitle Translation of the title into English/Czech (as recorded in SIS) Terrorism and market risk assessment Type of the Thesis Master's thesis Author: Bc. Jean Lacroix Year 2015 Advisor of the thesis Mgr Magdalena Patakova Number of pages 77 Awards Specialization Economics (CFS) Abstract in Czech Abstract in English Terrorist attacks are one of the best examples of fast evolving institutional framework. In that context investors are impacted by a lot of pieces of information in a limited period of time. This disturbs the trading behavior and consequently the distribution of returns on the period following the attack (the information was not predicted and directly affects the investment choices). The present thesis focuses on the risk aspect of such disturbances. If terrorist attacks reshape the distribution of returns, it may modify the risk measures (multivariate and univariate). The particularity of the change in distribution implies that the observed translation into financial measures of risk will not be equal among all indicators. First a distinction exists between univariate...
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The Alcohol monopoly in Sweden and the potential hazards of privatization
Bogren, Michael ; Patáková, Magdalena (advisor) ; Hlaváček, Jiří (referee)
My main task is to investigate the potential consequences of privatization by relying in microeconomic concepts, theories and comparison of different models. In addition the main aim of the paper is to show that the enforcement of monopoly is the best method on how to reduce alcohol consumption and therefore alcohol-related harm. The research includes theoretical background with regards to taxation, quotas and microeconomic perspectives such as income and substitution effects. The data and theory should support the claim that privatization will decrease prices and therefore increase consumption. The theory of perfect competition will show the theory behind the potential effects of privatization. In addition the abolishment of import quota should increase the consumption as well.
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The Impact of Devaluation through Price and Non-Price Competitiveness on Trade Balance
Celac, Mariana ; Mejstřík, Michal (advisor) ; Patáková, Magdalena (referee)
This thesis examines the relationship between the real exchange rate and trade balance in eight countries with different level of development for the period 1991- 2012. Using merely exchange rate to improve the trade balance refers to price- competitiveness and relies on the satisfaction of Marshall-Lerner condition. Additionally, we articulate the influence of other underlying factors, defined as "non- price competitiveness", proxied with capital stock variable. A Vector Error Correction Model, based on Johansen's Methodology was implemented in our two econometric specifications. The key findings of the classical trade model indicate that M-L condition is met in five countries and devaluation of domestic currency would improve their trade balance in long run. VECM results from second model, which extended the traditional imperfect substitutes framework to include non-price competitiveness factor, shows pronounced influence of product quality on trade balance, capital stock variable being significant in most of the cases. The results show that trade balance reacts to both changes in relative prices and product differentiation, thus non-price competitiveness factors must not be neglected by policy makers. Our findings also indicate the existence of J-curve pattern, as reflected by short-run...
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Terrorism and market risk assessment
Lacroix, Jean ; Patáková, Magdalena (advisor) ; Brechler, Josef (referee)
Charles University in Prague Faculty of Social Sciences Institute of Economic Studies Bibliographic Record of a an Academic Thesis Title in the language of the thesis (as recorded in SIS) Terrorism and market risk assessment Subtitle Translation of the title into English/Czech (as recorded in SIS) Terrorism and market risk assessment Type of the Thesis Master's thesis Author: Bc. Jean Lacroix Year 2015 Advisor of the thesis Mgr Magdalena Patakova Number of pages 77 Awards Specialization Economics (CFS) Abstract in Czech Abstract in English Terrorist attacks are one of the best examples of fast evolving institutional framework. In that context investors are impacted by a lot of pieces of information in a limited period of time. This disturbs the trading behavior and consequently the distribution of returns on the period following the attack (the information was not predicted and directly affects the investment choices). The present thesis focuses on the risk aspect of such disturbances. If terrorist attacks reshape the distribution of returns, it may modify the risk measures (multivariate and univariate). The particularity of the change in distribution implies that the observed translation into financial measures of risk will not be equal among all indicators. First a distinction exists between univariate...
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Flexicurity - a possible way how to solve unemployment
Borská, Kristýna ; Hollmannová, Monika (advisor) ; Patáková, Magdalena (referee)
The bachelor's thesis "Flexicurity - a possible way how to solve unemployment" is aimed at persistent problems with unemployment. Summary of the development of unemployment, employment and expenditures on the employment policy in European countries is followed by the explanation of flexicurity and description of development in Denmark during the second half of 20th century. The thesis attempts to examine dependance of unemployment on expenditures on employment policy and GDP growth in Denmark. In the last part it focuses on the Czech Republic and its attempts to implement flexicurity and advices the Czech Republic how to better utilize active labour market policies, hence flexicurity model.
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An analysis of the determinants influencing the probability of cancellation for projects receiving EU funding
Nový, Petr ; Martišková, Monika (advisor) ; Patáková, Magdalena (referee)
This thesis approaches the problem of the cancelled projects receiving EU funding as another reference variable through which the absorption capacity of the Czech Republic may be measured. The determinants influencing the probability of projects cancellation have so far been only modestly described. Therefore, an attempt to examine some determinants influencing the probability of cancellation for projects receiving EU funding is made, first, by summarizing and describing trends of cancelled projects in the programming period 2007 - 2013 and, second, by econometric inference trying to find the possible determinants. The data shows the ever increasing trend of cancelled projects and large share of the Operational Program Enterprise and Innovations on all cancelled projects. It was found that it is the size of the paid amount for projects that determines negatively the probability of projects cancellation most significantly. Apart from that, the age of a firm and number of employees also play a significant positive role. The year 2008 when crisis broke out, is also a determining factor.
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Interest rate risk measurement and management in theory and practise
Stará, Pavla ; Pečená, Magda (advisor) ; Patáková, Magdalena (referee)
The bachelor thesis is focused on the risk management in a bank, notably, on the interest rate risk measurement and management. For banks it is important to know the level of risk exposure and according to that to select appropriate management strategy that will minimize adverse fluctuations in bank's profitability. The thesis summarizes the basic models used for measurement, whereas we find out that none of them is perfect and their functionality is conditional upon various assumptions. Furthermore, it deals with analyzing selected basic instruments used for interest rate risk management, which implies that the management process is complex. The usage of various instruments may expose the bank to additional risks. Therefore, it is not possible under the effort to successful management to focus exclusively on the interest rate risk, however, it is necessary to analyze the other risks at the same time. The case study is aimed at the estimation of interest rate risk exposure on the basis of provided GAP analysis. There are three calculation methods presented, although the third one was not possible to apply due to lack of data. Regarding that the obtained results contain just estimates, the final calculations might be affected.
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