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The Effects of Geopolitical Uncertainty on Selected Stock Markets
Černý, Ondřej ; Horváth, Roman (advisor) ; Šíla, Jan (referee)
This thesis examines the impact of geopolitical uncertainty on four selected stock markets. We analyse the effect on stock market volatility and returns using the GARCH and the EGARCH models and daily stock returns and GPR index value. Furthermore, using categorical indices GPA and GPT, we inspect whether the effect of uncertainty caused by threats differs from that caused by acts. Additionally, we examine whether the impact changed between the period before and after 9/11. The main findings from our results suggest that a rise in each of the risk indices, i.e. global GPR, GPA and GPT, increases the volatility of all of the stock markets and the returns of the two. Also, geopolitical threats negatively influence Hong Kong stock returns, whereas geopolitical acts do not impact them. Furthermore, the impact of at least one of the uncertainty on stock return or volatility changed in the case of all the selected stock markets. JEL Classification C22, C51, C52, C58, G10 Keywords GARCH, geopolitical risk, stock market volatil- ity, stock market returns Title The Effects of Geopolitical Uncertainty on Se- lected Stock Markets Author's e-mail 43885002@fsv.cuni.cz Supervisor's e-mail roman.horvath@fsv.cuni.cz
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The Impact of Natural Disasters on Access to Finance
Pavlovská, Markéta ; Horváth, Roman (advisor) ; Janásek, Lukáš (referee)
The intensity and destructiveness of natural calamities has increased in recent years. This thesis examines the causal effect of natural disasters on firm's access to finance across countries. Only largest catastrophes from years from 2003 to 2020 are considered. Data from the International Disaster Database and World Bank databases are matched into two time dimensional panel data set consist- ing of firms from 21 countries. The effects of natural disasters are analyzed by difference-in-differences method and the regression is estimated by Ordinary Least Squares and Fixed effect. The model is then subjected to various robust- ness checks to assess the validity of the results obtained. The overall results suggest positive response of firm's perception of access to finance 1 to 3 years after the occurrence of natural disaster. 1
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Globalization, Rule of Law and Wealth Inequality
Svěchotová, Anežka ; Horváth, Roman (advisor) ; Schwarz, Jiří (referee)
We examine the determinants of wealth inequality using new dataset consisting of a rich set of explanatory variables including rule of law, as well as different measures of globalization. We use the Bayesian Model Averaging (BMA) approach to account for model uncertainty. The BMA methodology allows to thoroughly compare a large number of potential determinants. Due to large differences in wealth inequality across different countries, the variables included reflect countries' various aspects, namely economic, geographical, regulatory, institutional, finance, globalization, political and demographic factors. Examining 39 potential determinants, we find five robustly related variables. Among them there are three financial development indicators, GDP growth and one geographical dummy for countries in Latin America and the Caribbean. On the other hand, some of the measures of globalization are correlated with wealth inequality; however, they are not its determinants. JEL Classification C33, E21, G51 Keywords wealth inequality, globalization, Bayesian Model Averaging (BMA) Title Globalization, Rule of Law and Wealth Inequality
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Uncertainty and House Prices: Empirical Evidence
Kos, Jiří ; Horváth, Roman (advisor) ; Hlaváček, Michal (referee)
This thesis studies the relationship between house prices, economic fundamen- tals and uncertainty using panel data from 10 OECD member countries and time series data from the United States. Traditional techniques, such as coin- tegration testing, are used to find a possible long-run link between house prices and their determinants. Employing both single-equation ARDL and multi- equation VEC models, we find evidence of a possible long-run relationship between house prices and fundamentals in the panel data. The results from the time series analysis are inconclusive, mostly leaning towards no presence of cointegration. A measure of interest rate is a vital determinant in most mod- els., while income does not exhibit a long-run connection with house prices. Moreover, results indicate the importance of uncertainty in determining house price dynamics, exhibiting both negative and positive effects. JEL Classification C22, D80, R20, R21, R28, R30, Keywords house prices, uncertainty, cointegration, eco- nomic fundamentals, interest rate Title Uncertainty and House Prices: Empirical Evi- dence
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Natural Catastrophes and Financial Development
Mikulíková, Pavla ; Horváth, Roman (advisor) ; Jakubík, Petr (referee)
Master's thesis - Natural Catastrophes and Financial Development Pavla Mikul'ıkov'a Academic year 2022/2023 Natural disasters affect lives of many people every year. Using a panel dataset of 214 countries from 1970 to 2021, this thesis analyses the impact of disasters on financial development, namely on depth, efficiency, access, and sta- bility, using fixed effects and system GMM estimators. The main findings imply that depth and stability are negatively affected by disasters, and the impact is more pronounced for lower-income countries. On the other hand, efficiency and access provide no consistent results. There is no type of disasters, e.g., biologi- cal or geophysical, that would have a significant impact on all types of financial development. The effect probably varies due to the different characteristics of disaster types. 1
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Notions of Sexuality and Gender Identity in the Marvel Company Production
HORVÁTH, Roman
The diploma thesis deals with the analysis of forms of sexuality and gender identity in the production of the Marvel company and focuses on comics. It examines the representation of sexuality and gender identity in comics. The stereotyping of the depiction of female heroines is also analysed and focuses on the representation of masculinity, femininity and queer signs. At the same time, it seeks to analyse gender stereotypes in the construction of female heroines using the psychoanalytic concept of male gaze. The development of these topics is also interspersed with socio-cultural context. The aim is also to view and analyse the possible impact of emancipation movements and historical events to comic book creation. The work can be split into two parts, of which the first theoretical part contains chapters focusing on the theory of comics from the comic book theorist Scott McCloud. It also focuses on the formal elements of comics supplemented by the theory of Martin Foret. The following parts are devoted to the methodology of comics, based on the theory of Michal Uhl. In the following chapters, there are topics such as the corporeality of the heroes and their representations, the history of Marvel and issues of gender, identity and sexuality. The next part is already devoted to the analysis of comics, which by its nature is rather a compilation of partial texts. The analytical texts focus on Captain America, Black Widow, X-Men and Mutants in the overall context and a group of Young Avengers heroes, which explore themes such as the interconnectedness of propaganda and embodiment, feminism and emancipation of female heroines, queer themes as a metaphor for mutantism and stereotypical representation of gay heroes.
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Dutch disease in Russia
Havelka, Robert ; Horváth, Roman (advisor) ; Kukačka, Jiří (referee)
Dutch disease in Russia Robert Havelka Abstract Dutch Disease offers formal explanation to the so-called "Resource curse". Detection of Dutch Disease is divided into individual symptoms. We study the case of Russia, i.e. country which possesses significant reserves of natural resources. Long-term relationship between oil price and Russian real exchange rate was not established (1st symptom), but we find evidence of growth and fall of overall wage level in Russia as predicted by Dutch Disease (2nd symptom). We have been able to find statistically significant long-term relationship between Russian GDP, oil price and crude oil export volumes (3rd symptom). Oil price is found to have positive impact on the output of manufacturing sector, which implies Russian economy is to even larger extent vulnerable to oil price shocks. Last link is in direct contradiction with predictions of our model, but it is likely the result of Russian manufacturing sector not being entirely "non-oil", or that some manufacturing sub-sectors are not producing tradable goods. JEL Classication F30, P28, Q30 Keywords Dutch disease, Russia, exchange rate Author's e-mail robberthz.cz@gmail.com Supervisor's e-mail roman.horvath@gmail.com
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External rating Validation
Lapešová, Michaela ; Pečená, Magda (advisor) ; Horváth, Roman (referee)
The growing importance of external rating may draw increased attention to the reliability of credit risk evaluation. The aim of this thesis is to analyze a contemporary external rating position as an instrument for evaluation of a subject's ability to meet its obligations. The study provides theoretical foundations of credit risk modeling as well as empirical application to a collected data set. For the sake of validation of a selected rating system a simple default study is presented on the basis of this data set. Limited information allows just for a brief survey of short rating history in the Czech Republic. The world rating history is comprehensive and it becomes an integral part of clients' creditworthiness assessment within the New Basel Capital Accord. With its growing importance the rating has been recently facing criticism. The thesis focuses mainly on the comments on the cyclical tendencies of rating and provides and empirical analysis using data from CEE countries.
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Google Econometrics: An Application to the Czech Republic
Platil, Lukáš ; Horváth, Roman (advisor) ; Červinka, Michal (referee)
This thesis examines the applicability of Google Econometrics - the use of search volume data of particular queries as explanatory variables in time se- ries modeling - in the case of the Czech Republic. We analyze the contribu- tion of Google data by comparing out-of-sample nowcasting performance and in-sample fit with control variables in three related areas: using an auto- regressive model for unemployment, vector autoregression and logit models for GDP and household consumption, and Granger causality test for consum- er confidence. The improvement in quality of unemployment nowcasting is modest but statistically significant; sentiment index based on Google queries shows reciprocal relationship with the official Consumer Confidence Indicator, and it also provides superior nowcasts for household consumption as well as in- sample fit in logit models; its performance in GDP nowcasting is average among control variables. These conclusions proved stable also on an extended dataset. In overall, the results suggest that Google Econometrics is applicable also to the Czech Republic, despite the fact that the internet penetration rate and Google popularity was lower over the analyzed period compared with developed economies where these methods were usually tested. In the future, Google data may be used...
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Volatility Spillovers in New Member States: A Bayesian Model
Janhuba, Radek ; Horváth, Roman (advisor) ; Červinka, Michal (referee)
Volatility spillovers in stock markets have become an important phenomenon, especially in times of crises. Mechanisms of shock transmission from one mar- ket to another are important for the international portfolio diversification. Our thesis examines impulse responses and variance decomposition of main stock in- dices in emerging Central European markets (Czech Republic, Poland, Slovakia and Hungary) in the period of January 2007 to August 2009. Two models are used: A vector autoregression (VAR) model with constant variance of resid- uals and a time varying parameter vector autoregression (TVP-VAR) model with a stochastic volatility. Opposingly of other comparable studies, Bayesian methods are used in both models. Our results confirm the presence of volatility spillovers among all markets. Interestingly, we find significant opposite trans- mission of shocks from Czech Republic to Poland and Hungary, suggesting that investors see the Central European exchanges as separate markets. Bibliographic Record Janhuba, R. (2012): Volatility Spillovers in New Member States: A Bayesian Model. Master thesis, Charles University in Prague, Faculty of Social Sciences, Institute of Economic Studies. Supervisor: doc. Roman Horváth Ph.D. JEL Classification C11, C32, C58, G01, G11, G14 Keywords Volatility spillovers,...
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