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Alternative Investment in Art Assets
Kruja, Mirela ; Horváth, Roman (advisor) ; Komárek, Luboš (referee)
Tato práce zkoumá vliv tržní nejistoty na investice do alternativních tříd aktiv, konkrétně uměleckých sběratelských předmětů, vína a známek, v období 50 let, které vedly k hospodářskému útlumu roku 2000, od roku 1960 do roku 2007. Zkoumá předpoklad, že takové investice mohou zajistit riziko v době finanční nestability, a tak doplnit tradiční investiční strategie. Cílem studie je poskytnout empirický důkaz o vztahu mezi cenou těchto alternativních tříd aktiv a makroekonomickými proměnnými. Tato práce by měla sloužit jako aktualizace stávajícího souboru literatury o alternativních investicích do sběratelských předmětů a poskytovat cenné poznatky o tom, jak nejistota na trhu utváří investiční chování. Celkově výsledky studie ukazují, že dynamika makroekonomickch proménnch hraje významnou roli při utváření cen na trhu s uměním a potažmo i na dalších alternativních investičních trzích, zatímco analýza této studie zdůrazňuje roli makroekonomických podmínek, jako je úrok sazby, míra inflace a index EPU. Klasifikace D81, G11, Z11 Klíčová slova alternativní investice, index cen umění, index cen vína, index cen známek, investice, kointegrační model, sběratelské předměty Název práce Alternativní investice do uměleckého majetku
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Central bank communication and exchange rates: High-frequency evidence
Suntychová, Petra ; Horváth, Roman (advisor) ; Komárek, Luboš (referee)
The GARCH analysis has been used to estimate the effect of central banks' announcements, posted on their official websites, on demands for the curren- cies they are taking care of, with a focus on the type of announcements re- leased. The announcement specifics observed were past-looking statements, and forward-looking statements, whether they were announcing a monetary policy, financial stability, or commenting on a political situation. The results have shown that announcements made by central banks, both European Central Bank and Czech National Bank, mostly have not significantly affected demands for their respective currencies with certain exceptions. Also, the results suggest that demand for the Euro currency is being affected by these announcements with a longer lag, and announcements made by the European Central Bank are having less impact than those of its Czech counterpart. Overall, it has been concluded that announcements posted on official websites are affecting currency demands less than other influencing factors. JEL Classification F12, F21, F23, H25, H71, H87 Keywords central bank, exchange rate, foreign exchange, GARCH Title Central bank communication and currency de- mand: GARCH Analysis
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Spillovers of uncertainty shocks: Evidence from GVAR model
Poloček, Adam ; Baxa, Jaromír (advisor) ; Komárek, Luboš (referee)
This thesis aims to supplement extensive literature on uncertainty impact in the real world and much scarcer literature on its spillover properties. Recently, numerous events induced high economic policy uncertainty such as the Great Financial Crisis, the COVID-19 pandemic, the Brexit referendum, tariff dis- putes, etc. have highlighted how relevant are the spillover properties. To investigate them across a global panel of countries, we propose a GVAR model that incorporates the Economic Policy Uncertainty Index as a measure of uncertainty. We model effect of an uncertainty shock to the US economy on quarterly and monthly data. Our model reveals two key findings. First, uncertainty spillover occurs immediately without lags and causes spikes in local uncertainty. Secondly, it negatively impacts output, interest rates, inflation and equity prices, but share of impact taken by each variable varies country by country. This is supportive of "real options" hypothesis and indicates, that majority of impact occurs via investment. Overall, this paper sheds new light on the intricate relationship between uncertainty and economic conditions, emphasizing the need for policymakers to carefully consider the impact of policy uncertainty on both domestic and international economic conditions
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Dynamics of the volume-volatility relationship in the currency markets
Tůma, Adam ; Baruník, Jozef (advisor) ; Komárek, Luboš (referee)
This work investigates the volume-volatility relationship dynamics in the currency markets using data of five currency pairs in the period between 2010 and 2022. By employing multiple specifications of the HAR model with volume- related regressors and also with time-varying parameters (TVP), we examine the relationships' changing dynamics over time with a focus on improving volatility forecasting performance. Our main findings suggest a strong correlation between volume and volatility. The TVP-HARV model shows significantly changing dy- namics of the volume-volatility relationship, especially during periods affected by politics, changing monetary policies or global crises. The proposed models, however, do not improve out-of-sample volatility forecasting performance com- pared to the benchmark HAR model. The causal effect in the volume-volatility relationship in the currency markets is slightly more substantial in the direction of volatility towards volume, where we find slight forecasting improvements. Our findings conclude that volume and volatility in the currency markets are mainly moving simultaneously with a very strong correlation and much weaker and often insignificant causal effects on both sides, which supports the mixture of distributions hypothesis.
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The Belt and Road - Is China moving towards the centre of international trade? Assessment of impact on Balkans and Central Europe using network and gravity analysis
Reinštein, Jakub ; Semerák, Vilém (advisor) ; Komárek, Luboš (referee)
The Belt and Road Initiative (BRI) is a potentially world-changing Chinese economic and geopolitical strategy. In this thesis Gravity Model of Trade (GMT) and Network analysis are employed to assess the relative position of China in the International Trade Network (ITN), the overall impact of BRI, and its effect on countries in Central Eastern Europe and Western Balkans grouped in 17+1 mechanism. The results from Network analysis indicate that since the 1990s China is gradually moving towards the center of ITN. Subnetwork of BRI countries also exhibits higher cohesion and resilience to external shocks than ITN. GMT identified BRI as a significant and positive factor influencing exports, however in case of 17+1 mechanism countries the results are not robust. GMT was also successfully experimentally augmented with Network analysis variables demonstrating its possible enhancements and showing the path for further research. JEL Classification C23, C51, E27, F14 Keywords Gravity Model of Trade, Network Analysis, Belt and Road Initiative, 17+1 Mechanism Title The Belt and Road - Is China moving towards the center of international trade? Assessment of impact on Balkans and Central Europe using network and gravity analysis
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Feedback effects of non-performing loans in EMU: A Panel VAR Approach
Bezuchová, Anna ; Baxa, Jaromír (advisor) ; Komárek, Luboš (referee)
This thesis investigates long-run feedback e ects between non-performing loans and their determinants in the Economic and Monetary Union countries using a panel VAR method with generalized impulses response functions and lo- cal projections. The results suggest a bi-directional relationship between the non-performing loans and their determinants. The non-performing loans ratio increases after a negative shock in GDP growth, rising unemployment, wors- ened fiscal balance and increasing risk. On the other hand, a positive shock to non-performing loans decreases the unemployment rate, risk and return on assets. Furthermore, we revealed a di erent magnitude of responses to shocks in core and periphery countries of EMU, which proves financial fragmentation. JEL Classification C23, C51, G21, E32, E44 Keywords Non-performing loans, Panel VAR model, EMU, Generalised impulse response functions Title Feedback e ects of non-performing loans in EMU: A Panel VAR Approach
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Three essays on empirical Bayesian econometrics
Adam, Tomáš ; Komárek, Luboš (advisor) ; Feldkircher, Martin (referee) ; Herrala, Risto (referee) ; Melecký, Martin (referee)
The dissertation consists of three papers which apply Bayesian econometric techniques to monitoring macroeconomic and macro-financial developments in the economy. Its aim is to illustrate how Bayesian methods can be employed in standard areas of economic research (estimating systemic risk in the banking sectors, nowcasting GDP growth) and also in a more original area (monitoring developments in sovereign bond markets). In the first essay, we address a task which analytical departments in central banks or commercial banks face very often - nowcasting foreign demand of a small open economy. On the example of the Czech economy, we propose an approach to nowcast foreign GDP growth rates for the Czech economy. For presentation purposes, we focus on three major trading partners: Germany, Slovakia and France. We opt for a simple method which is very general and which has proved successful in the literature: the method based on bridge equation models. A battery of models is evaluated based on a pseudo-real- time forecasting exercise. The results for Germany and France suggest that the models are more successful at backcasting, nowcasting and forecasting than the naive random walk benchmark model. At the same time, the various models considered are more or less successful depending on the forecast horizon....
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The Elasticity of Substitution between Skilled and Unskilled Labor: A Meta-Analysis
Laslopová, Ľubica ; Havránková, Zuzana (advisor) ; Komárek, Luboš (referee)
In this thesis we use meta-analytic methods to quantitatively summarize empirical evidence on elasticity of substitution between skilled and unskilled labor. Review is based on sample of 684 estimates from 78 studies. After a brief overview of theoretical framework, estimation strategies and distri- bution of the existing estimates, we test for publication bias. According to regression-based tests for publication bias, we do not reject null hypothesis of no publication bias in the existing literature. To explain heterogeneity between the estimates, we use Bayesian Model Averaging. We find that both real factors and research design influence resulting value of estimated elasticity. Our synthetic estimates of the elasticity imply that skilled and unskilled workers are imperfect substitutes in the long run, substitutability in the short-run is mostly limited. JEL Classification: J82, J23, J24, J31 Keywords: elasticity of substitution between skilled and un- skilled labor, meta-analysis, publication bias Author's e-mail llaslopova@gmail.com Supervisor's e-mail zuzana.havrankova@fsv.cuni.cz 1
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What drives the differences between transaction and offered prices on the real estate market in Prague?
Kalous, Václav ; Polák, Petr (advisor) ; Komárek, Luboš (referee)
This thesis covers two subjects regarding the real estate market in Prague. In the first part, we look for factors that influence the differences between offer and realized prices of residential properties. From our dataset, we identify the area and the time spent on market as the variables with the largest impact on the price differences. Additionally, we find that price differences are spatially correlated and tend to influence each other. Finally, accessibility of the apart- ment to given POI's seems to have a small but significant effect as well. In the second part, we build a neural network to predict the transaction prices per meter squared. After thorough architecture adjustment and hyperparameter tuning, we propose a model which is able to improve the current best prediction on the dataset by more than 12 %.
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