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Selected Aspects of Statistical Significance Testing in Time-Frequency Analysis
Klejmová, Eva ; Kohl,, Zdeněk (referee) ; Fidrmuc, Jarko (referee) ; Poměnková, Jitka (advisor)
Přeložená dizertační práce se zabývá analýzou a posouzením kvality odhadu frekvenční a časově-frekvenční transformace dat a formulaci doporučení pro práci s metodami. Při použití těchto metod vyvstává otázka, jak vyhodnotit, které složky spektrogramu jsou statisticky významné a které nikoli. V této práci analyzujeme vlastnosti standardních testů statistické významnosti. Diskutujeme o jejich výhodách a nevýhodách s ohledem na heteroskedastický charakter dat. Na základě našich experimentů jsou v práci navrženy dva typy testovacích metod, které snižují negativní aspekty standardních testů. Práce jen zakončena vytvořením rámce pro filtrování dat pomocí námi navržených metod.
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Essays on Managerial Pay Structure
Antal, Juraj ; Roland, Gérard (advisor) ; Libich, Jan (referee) ; Fidrmuc, Jarko (referee)
Three essays on regime change∗ Juraj Antal CERGE-EI† and ČNB‡ June 2008 Abstract This dissertation consists of three chapters from different economic fields that have a regime change in common. While the first chapter deals with anticipated monetary regime change, the other two chapters address political regime change. The impact of the particular regime change on equilibrium outcomes, based on microfoundations, is part of the result common to all chapters. In addition, each chapter provides additional results and insights into the corresponding topic. Keywords: Macroeconomics, Political Economics, Transition Economics, New Keynesian Models, Small Open Economy, Monetary Policy Rules, Regime Change, Communist parties, Strategic Behavior, Corruption, Electoral competition, Media JEL classification: E17, E31, E52, E58, E61, F02, F41 ∗ František Brázdik is the coauthor of the first chapter. This chapter was supported by the Czech National Bank Research Project No. A2/2005. The views expressed are those of the authors and do not necessarily reflect those of the Czech National Bank. † A joint workplace of the Center for Economic Research and Graduate Education, Charles University, Prague, and the Economics Institute of the Academy of Sciences of the Czech Republic. Address: CERGE-EI, P.O. Box 882, Politických vězňů 7,...
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Selected Chapters from the History of Economic Thought
Sedláček, Tomáš ; Žák, Milan (advisor) ; Fidrmuc, Jarko (referee) ; Luptáčik, Mikuláš (referee) ; Schefold, Bertram (referee)
This thesis deals with the development of some key economic topic from the very foundation of our Western culture. From the Epic of Gilgamesh, on which no economic literature exists, through Hebrew thought in the Tanakh, Greek philosophers and Christianity, the paper analyses the development of philosophy of economy in the writings of Rene Descartes, Bernard Mandeville and Adam Smith. The work follows seven key topics: (i) history of the idea of demand and supply (consumption and labour), tracing its very roots to the oldest creation myths we have, (ii) the ethical dimension of the economic debate on good and evil, (iii) the notion of linear progress and cyclicality of development, (iv) the idea of invisible hand of the markets, (v) the idea of animal spirits, (vi) the philosophical basis of mathematization of economics and (vii) the idea of truth in science and economics in particular. This paper tries to look at meta-economics, offer a more integrated counterbalance to the mathematically reductionist approach of recent mainstream economic way of thinking. The work tries to combine philosophy, theology, anthropology, sociology and psychology with economic thinking. The thesis is a selection of chapters from a book Economics of Good and Evil -The Quest for Economic Meaning from Gilgamesh to Wall...
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Essays on Credit Risk
Kuvíková, Gabriela ; Hanousek, Jan (advisor) ; Fidrmuc, Jarko (referee) ; Podpiera, Jiří (referee)
The financial crises in the early 2000s have given prominence to the financial markets' exposure to credit risk. To minimize credit risk, the risk that a borrower will fail to meet her contractual obligations, lenders seek to identify borrowers with a high probability of default prior to granting credit. In my dissertation I examine several screening devices that lenders utilize in alleviating adverse selection present on the credit market. In the first chapter, I ask whether the existence of informal collateral signals better loan repayment. Taking advantage of a unique dataset of household loans from a Czech commercial bank, I find that housing loans without lien on the property default less compared to loans with unspecified purpose. I also show that the interest rate differential between specific purpose loans and unspecified purpose loans is systematically higher than their default rate differential. In the second chapter, I investigate the role of loan contract terms in household loan demand and performance. Utilizing a sample of accepted and rejected Czech household loans, I find that loan demand for low-income borrowers is more sensitive to liquidity constraint and loan maturity changes than to interest rate changes. The results also suggest that by reflecting the borrower's riskiness in...
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Six Essays on Meta-Regression Analysis
Havránková, Zuzana ; Dědek, Oldřich (advisor) ; Cahlík, Tomáš (referee) ; Babecký, Jan (referee) ; Fidrmuc, Jarko (referee)
This dissertation thesis consists of six papers on macroeconomics, international economics, and energy economics. All the papers are tied together by the use of meta-regression analysis, which is essential for the derivation of robust policy-relevant conclusions from often conflicting results presented in the empirical literature. I use meta-analysis to quantitatively synthesize the reported research results on a given topic, correct the literature for publication selection bias, and filter out the effect of various misspecifications present in some primary studies. My results can be summarized as follows: 1) The elasticity of intertemporal substitution in consumption, a key input to all dynamic models in finance and macroeconomics, varies significantly across countries. The differences can be explained by the level of stock market participation, when countries with higher participation exhibit larger values of the elasticity; the mean reported elasticity is 0.5. 2) The effect of borders on international trade, which most authors find to be surprisingly large, can be explained away by innovations in methodology introduced in the last decade. When these innovations are taken into account jointly, the border effect disappears for developed countries, and is relatively small for developing countries. 3) When...
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Essays on the Effective Market Dynamics
Novotný, Jan ; Hanousek, Jan (advisor) ; Kmenta, Jan (referee) ; Fidrmuc, Jarko (referee)
Essays on the Effective Market Dynamics Jan Novotný Abstract In the first chapter, I employ high frequency data to study extreme price changes (i.e., price jumps) in the Prague, Warsaw, Budapest, and Frankfurt stock market indexes from June 2003 to December 2010. I use the price jump index and normalized returns to analyze the distribution of extreme returns. The comparison of jump distributions across different frequencies, periods, up and down moves, and markets suggests a possible relationship with market micro-structure. I also show that the recent financial crisis resulted in an overall increase in volatility; however, this was not translated into an increase in the absolute number of jumps. In the second paper, I empirically analyze the price jump behavior of heavily traded US stocks during the recent financial crisis. Namely, I test the hypothesis that the collapse of Lehman Brothers caused no change in the price jump behavior. To accomplish this, I employ data on realized trades for 16 stocks and one ETF from the NYSE database. These data are at a 1-minute frequency and span the period from January 2008 to the end of July 2009. I employ five model-independent and three model-dependent price jump indicators to robustly assess the price jump behavior. The results confirm an increase in overall...
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Measuring Financial Market Perception of Economic and Monetary Union Enlargement
von Terzi, Martina ; Holub, Tomáš (advisor) ; Fidrmuc, Jarko (referee) ; Dědek, Oldřich (referee) ; Šmídková, Kateřina (referee)
This thesis deals with assessing how financial markets perceive prospects of future euro area enlargement. Market views on such an enlargement are measured using two different approaches. The first approach, the static probability calculators method (SPC), is based on an existing method that was previously used for the old EU Member States. In order to overcome inherent shortcomings of this method, a second, completely new methodology with an indicator that is based on short-term dynamics of forward spreads was developed, further referred to as dynamic probability calculators (DPC). Both the SPC and DPC are applied to data from four Central Eastern European countries: the Czech Republic, Hungary, Poland, and Slovakia. In addition, data of other European countries were used to assess the robustness of the two approaches. The new methodology is conceptually based on the notion of ambiguity-averse agents. Specifically, it attempts to apply the framework of incomplete preferences, developing a general equilibrium framework, which allows for multiple equilibria supported by one set of fundamentals. This equilibrium indeterminacy offers a way to reconcile shortterm fluctuations of market prices with a relatively stable underlying economic environment and expectations. The thesis concludes with a...
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Essays on Managerial Pay Structure
Antal, Juraj ; Roland, Gérard (advisor) ; Libich, Jan (referee) ; Fidrmuc, Jarko (referee)
Three essays on regime change∗ Juraj Antal CERGE-EI† and ČNB‡ June 2008 Abstract This dissertation consists of three chapters from different economic fields that have a regime change in common. While the first chapter deals with anticipated monetary regime change, the other two chapters address political regime change. The impact of the particular regime change on equilibrium outcomes, based on microfoundations, is part of the result common to all chapters. In addition, each chapter provides additional results and insights into the corresponding topic. Keywords: Macroeconomics, Political Economics, Transition Economics, New Keynesian Models, Small Open Economy, Monetary Policy Rules, Regime Change, Communist parties, Strategic Behavior, Corruption, Electoral competition, Media JEL classification: E17, E31, E52, E58, E61, F02, F41 ∗ František Brázdik is the coauthor of the first chapter. This chapter was supported by the Czech National Bank Research Project No. A2/2005. The views expressed are those of the authors and do not necessarily reflect those of the Czech National Bank. † A joint workplace of the Center for Economic Research and Graduate Education, Charles University, Prague, and the Economics Institute of the Academy of Sciences of the Czech Republic. Address: CERGE-EI, P.O. Box 882, Politických vězňů 7,...
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Essays on Social Welfare Systems, Education and Agglomeration across the EU
Anastassova, Lubomira ; Jurajda, Štěpán (advisor) ; Kézdi, Gábor (referee) ; Fidrmuc, Jarko (referee)
The thesis focuses on three topics of interest: the difference between native and immigrant welfare receipts, returns to education due to educational mismatch between natives and the foreign-born employees, and the effects of agglomeration on earnings. The first chapter of the dissertation examines the difference in social income between natives and immigrants across a number of EU countries and the US, based on the generosity of the existing welfare systems. The findings confirm the existence of large social income gaps in favour of non-EU immigrants, and these gaps are mainly due to the fact that immigrants' families have more children, fewer earners and are more likely to have non-wage income than the natives. The second chapter compares the difference in returns to education between foreign-born and native workers in France, Germany, and Austria. Using an educational matching approach, the results show that immigrants have lower wage returns in being over-educated than natives but are penalized less for being under-educated. The third chapter focuses on the distribution of earnings across the UK from a spatial perspective, which is determined by the endogenous relationship between productivity and agglomeration or employment density. While the agglomeration effects are similar across different levels of...
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Privatization and Stock Market Creation: Evidence from Transition Economies
Fungáčová, Zuzana ; Hanousek, Jan (advisor) ; Fidrmuc, Jarko (referee) ; Hasan, Iftekhar (referee)
Research Journal Articles Working Papers Research in Brief Series Dissertations Other Publications Featured Article Dissertations Date: Friday, June 26, 2009 - 14:00 Zuzana Fungáčová: "Privatization and Stock Market Creation: Evidence from Transition Economies" Dissertation Committee: Jan Hanousek (chair) Randall Filer Evžen Kočenda Jan Švejnar Abstract: The importance of finance for growth has already been confirmed in numerous studies. This relationship is especially crucial for the transition economies where financial systems had to be built from the scratch after the collapse of central planning. This work investigates stock markets that constitute an important part of the developed financial system. Functioning stock markets are found to be necessary even if the country's financial system is bank-based. In fact, in the transition countries stock markets are a relatively new phenomenon. Even though in comparison to the developed countries these markets remain still underdeveloped, they have been evolving as an important complement to the banks in the course of the transition process (EBRD Transition Report 2006). Stock markets emerged to help with the transformation of the state-owned assets to private hands and afterwards also with the rearrangement of ownership structures. They were also expected to...
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