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Relationship between liquidity and volatility of selected exchange rate pairs
Kotek, Martin ; Krištoufek, Ladislav (advisor) ; Benčík, Daniel (referee)
The thesis explores relationship between volatility and liquidity of ten selected exchange rate pairs. Several volatility and liquidity measures are computed and the relationship between volatility-liquidity pairs is tested for cointegration and Granger causality; impulse response functions are computed as well. We find that volatility measures provide similar information (are cointegrated), while volatility measures differ to a large extent. A few cointegrating relationships between volatility and liquidity are found, but they are specific to only some currency pairs. Granger causality tests give different results for different currency pairs, but in general, the relationship between volatility and liquidity is two-way (feedback). Shocks in volatility or liquidity have little impact on the other and quickly fade away, usually within one or two days. Powered by TCPDF (www.tcpdf.org)
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What is the appropriate Monetary Policy regime for The Gambia?
Komma, Musukuta ; Holub, Tomáš (advisor) ; Turnovec, František (referee)
The Gambia, a small open economy, implements a managed floating exchange rate regime. The central bank (CBG) has the mandate to design and implement monetary policy with the primary aim of achieving price and exchange stability in the economy. In spite of interventions by the CBG, the country continues to experience fluctuations in its exchange rate with several instances of major spikes in recent years. This thesis proposes a solution, through a change of policy regime, to control the long time and disturbing depreciation of the domestic currency. In a vector auto regressive framework, the study investigates sources of the exchange rate variability using quarterly data from 1998:Q1 to 2012:Q4. Furthermore, the OCA theory and the pre- conditions of inflation targeting are used to make a choice between a common currency and inflation targeting for the Gambia. The findings from the Johansen test of cointegration suggest that the selected key macroeconomic variables are cointegrated, meaning, they have long run equilibrium. The results of the VECM reveal that error correction mechanism can be achieved in some of the variables. This indicates that there exists the convergence process. In addition, the results from the impulse response analysis put forward that the macroeconomic variables have effect on...
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The Impact of the Tobin Tax in a Heterogeneous Agent Model of the Foreign Exchange Market
Staněk, Filip ; Kukačka, Jiří (advisor) ; Klinger, Tomáš (referee)
In this thesis, we assess the impact of the Tobin tax on key statistics of exchange rate returns with use of a heterogeneous agent based model. The answer to the question of how transaction costs affect exchange rate dynamics is not only interesting from a theoretical point of view but also has practical implications as several regulators are contemplating imposition of such a tax nowadays. Motivated by the recent research showing the great importance of the mar- ket micro structure, we choose to explore the impact of the tax in a market cleared by the Walrasian auctioneer. This settings, as we argue, could resem- ble the two layered structure of the real foreign exchanges more closely than a price impact function which is often adopted in studies regarding the Tobin tax. To assess the impact of the tax, we extend the model of De Grauwe & Grimaldi (2004) by the inclusion of transaction costs. The original model con- sists of boundedly rational agents who use a blend of fundamental and technical analysis to predict the future exchange rate. An ongoing competition between the forecasting rules creates chaotic price movements not dissimilar to the ones observed in the real foreign exchanges. We use computational methods to assess the effect of the Tobin tax within the model and find that the Tobin tax is...
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Testing the selected methods of a technical analysis on the foreign exchange market
Yastrebova, Anastasia ; Fičura, Milan (advisor) ; Witzany, Jiří (referee)
The subject of the submitted thesis "Testing the selected methods of a technical analysis trough trading on the foreign exchange market" is testing of the chosen indicators of the technical analysis through trading on the foreign exchange market FOREX. The thesis includes theoretical and practical parts. In the first part different investment approaches used on the foreign exchange market are explained. In the second part the author implements those theoretical findings in a real trading on FOREX market and then analyzes profitability of the trading strategies based on the realized trading.
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Modular Multiple Liquidity Source Price Streams Aggregator
Rozsnyó, Tomáš ; Masařík, Karel (referee) ; Kreslíková, Jitka (advisor)
This MSc Thesis was performed during a study stay at the Hochschule Furtwangen University, Furtwangen, Germany. This Master Project provides a theoretical background for understanding financial market principles. It focuses on foreign exchange market, where it gives a description of fundamentals and price analysis. Further, it covers principles of high-frequency trading including strategy, development and cost. FIX protocol is the financial market communication protocol and is discussed in detail. The core part of Master Project are sorting algorithms, these are covered on theoretical and practical level. Aggregator design includes implementation environment, specification and individual parts of aggregator application represented as objects. Implementation overview can be found in last Chapter.
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Central bank monitoring - December 2012
Česká národní banka
Latest monetary policy developments at selected central banks and news. Spotlight: „Monetary policy decision-makers“. Selected speech: „Challenges posed by the growth in the SNB’s foreign Exchange reserves“ by Fritz Zurbrügg (a member of the Governing Board of the Swiss National Bank).
Fulltext:  PDF; PDF
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Foreign exchange interventions under inflation targeting: the Czech experience
Holub, Tomáš
This paper discusses the role of foreign exchange interventions in the inflation-targeting regime, focusing on the Czech experience since 1998. It proposes criteria for assessing whether the interventions are consistent with the inflation targeting. It is also stressed that the literature on managed floating usually ignores the difficulty in defining clear procedural rules for the interventions.
Fulltext: PDF
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Credit risk and bank lending in the Czech republic
Kadlčáková, Narcisa ; Keplinger, Joerg
This project undertakes an empirical analysis in credit risk modeling using a data sample representative of bank lending to the Czech corporate sector. A rating system is constructed using a proprietary database (Creditreform) that provides a solvency index for a large number of Czech firms. Several methods for the calibration and validation of a rating system are described and tested in practice.
Fulltext: PDF
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