|
|
Systemic Risks Assessment and Systemic Events Prediction: Early Warning System Design for the Czech Republic
Žigraiová, Diana ; Jakubík, Petr (advisor) ; Doležel, Pavel (referee)
This thesis develops an early warning system framework for assessing systemic risks and for predicting systemic events, i.e. periods of extreme financial instability with potential real costs, over the short horizon of six quarters and the long horizon of twelve quarters on the panel of 14 countries both advanced and developing. Firstly, Financial Stress Index is built aggregating indicators from equity, foreign exchange, security and money markets in order to identify starting dates of systemic financial crises for each country in the panel. Secondly, the selection of early warning indicators for assessment and prediction of systemic risks is undertaken in a two- step approach; relevant prediction horizons for each indicator are found by means of a univariate logit model followed by the application of Bayesian model averaging method to identify the most useful indicators. Next, logit models containing useful indicators only are estimated on the panel while their in-sample and out-of-sample performance is assessed by a variety of measures. Finally, having applied the constructed EWS for both horizons to the Czech Republic it was found that even though models for both horizons perform very well in-sample, i.e. both predict 100% of crises, only the long model attains the maximum utility of 0,5 as...
|
|
|
Determinants of Economic Growth: A Bayesian Model Averaging
Kudashvili, Nikoloz ; Horváth, Roman (advisor) ; Havránek, Tomáš (referee)
MASTER THESIS Determinants of Economic Growth: A Bayesian Model Averaging Author: Bc. Nikoloz Kudashvili Abstract The paper estimates the economic growth determinants across 72 countries using a Bayesian Model Averaging. Unlike the other studies we include debt to GDP ratio as an explanatory variable among 29 growth determinants. For given values of the other variables debt to GDP ratio up to the threshold level is positively related with the growth rate. The coefficient on the ratio has nearly 0.8 posterior inclusion probability suggesting that debt to GDP ratio is an important long term growth determinant. We find that the initial level of GDP, life expectancy and equipment investments have a strong effect on the GDP per capita growth rate together with the debt to GDP ratio.
|
|
|
Islam and Economic Performance: A Meta-Analysis
Kratochvíla, Patrik ; Havránek, Tomáš (advisor) ; Schwarz, Jiří (referee)
Islam and Economic Performance: A Meta-Analysis Patrik Kratochvíla June 28, 2021 Abstract The ongoing economic supremacy of the West has prompted debates on the ability of non-Christian religions to generate economic growth. The academic literature focusing on the Islamic religion o↵ers multiple answers, leaving the matter unresolved and with no definite conclusion. Based on a quantitative sur- vey of 315 estimates collected from 41 relevant academic studies, Islam exerts a positive and statistically significant e↵ect on economic growth in 40% of cases, a negative and statistically significant e↵ect in 10% of cases, and virtually zero e↵ect in 50% of cases. Tests for publication bias indicate slightly preferential reporting against negative estimates. When I correct for this bias, I find that the mean e↵ect of Islam on economic growth is positive but economically small. I also construct 79 moderator variables capturing methodological heterogeneity among the primary studies and apply the method of Bayesian model averaging to deal with model uncertainty in meta-analysis. The analysis shows that the heterogeneity in the results is primarily driven by di↵erences in the sample com- position and the choice of control variables, and to a lesser extent by estimation characteristics and proxies for Islam employed. 1
|
|
|
Income Inequality and Happiness: A Meta-Analysis
Kamenická, Lucie ; Havránková, Zuzana (advisor) ; Chytilová, Julie (referee)
The relationship between income inequality and happiness is central to a host of welfare policies. If higher income inequality puts people down, advocating for income redistribution from the rich to the poor could make society happier. We show, however, that this popular consensus on the relationship's direction is rather absent in the academic literature. Based on the 868 observations col- lected from 53 studies and controlling for 62 aspects of study design, we use state-of-the-art meta-analysis techniques to identify several important drivers of the efect. Unless each study gets the same weight, the literature is driven by publication bias pushing the estimates against the popular consensus. While geographical diferences dominate among the systematic infuences of the re- lationship's magnitude, the relationship is also strongly afected by various methods and data the authors use in the primary studies. Most prominently, it matters if authors control for diferent individual's characteristics, such as perceived trust in people or their health status.
|
|
|
Essays in Empirical Financial Economics
Žigraiová, Diana ; Jakubík, Petr (advisor) ; Witzany, Jiří (referee) ; Teplý, Petr (referee) ; Gächter, Martin (referee)
This dissertation is composed of four essays that empirically investigate three topics in financial economics; financial stress and its leading indicators, the relationship between bank competition and financial stability, and the link between management board composition and bank risk. In the first essay we examine which variables have predictive power for financial stress in 25 OECD countries, using a recently constructed financial stress index. We find that panel models can hardly explain FSI dynamics. Although better results are achieved in country models, our findings suggest that financial stress is hard to predict out-of- sample despite the reasonably good in-sample performance of the models. The second essay develops an early warning framework for assessing systemic risks and predicting systemic events over two horizons of different length on a panel of 14 countries. We build a financial stress index to identify the starting dates of systemic financial crises and select crisis-leading indicators in a two-step approach; we find relevant prediction horizons for each indicator and employ Bayesian model averaging to identify the most useful predictors. We find superior performance of the long-horizon model for the Czech Republic. The theoretical literature gives conflicting predictions on how bank...
|
|
|
The Impact of Student Employment on Educational Outcomes: A Meta-Analysis
Kroupová, Kateřina ; Havránek, Tomáš (advisor) ; Schwarz, Jiří (referee)
Despite the extensive body of empirical research, the discussion on whether student employment impedes or improves educational outcomes has not been resolved. Using meta-analytic methods, we conduct a quantitative review of 861 effect estimates collected from 69 studies describing the relationship between student work experience and academic performance. After outlining the theo- retical mechanisms and methodological challenges of estimating the effect, we test whether publication bias permeates the literature concerning educational implications of student employment. We find that researchers report negative estimates more often than they should. However, this negative publication bias is not present in a subset of studies controlling for the endogeneity of student decision to take up employment. Furthermore, after correcting for the negative publication bias, we find that the student employment-education relationship is close to zero. Additionally, we examine heterogeneity of the estimates using Bayesian Model Averaging. Our analysis suggests that employment intensity and controlling for student permanent characteristics are the most important factors in explaining the heterogeneity. In particular, working long hours re- sults in systematically more negative effect estimates than not working at...
|
|
|
Three Essays on Financial Development
Mareš, Jan ; Horváth, Roman (advisor) ; Belke, Ansgar (referee) ; Čihák, Martin (referee) ; Geršl, Adam (referee)
The dissertation is a compilation of three empirical papers on the effects of financial development. In the first paper, we examine finance's effect on long-term economic growth using Bayesian model averaging to address model uncertainty. Our global sample findings indicate that the efficiency of financial intermediation is robustly related to long-term growth. The second and third papers investigate the determinants of wealth and income inequality, capturing various economic, financial, political, institutional, and geographical factors. We reveal that finance plays a considerable role in shaping both distributions.
|
|
|
Migration and Development: A Meta-Analysis
Palecek Rodríguez, Miroslava María ; Havránek, Tomáš (advisor) ; Šedivý, Marek (referee)
The current literature on international migration is diverse, and there is an ongoing debate as to the size and magnitude of the development-migration nexus, and no consensus about this effect has been reached. In this thesis, I explore quantitatively the effect of GDP (as a measure of development) on migration using a meta-analysis approach by synthesizing the empirical findings on this effect, adjusting for the biases, and controlling for the design of the studies. To examine the phenomenon in a systematic way, I collected 179 regression coefficients from 40 different articles, where the results suggest a weak presence of publication selection. Nevertheless, when correcting for publication bias, the effect of development on migration is rather small. Additionally, to explain the inherent model uncertainty, the Bayesian model averaging (BMA) was conducted. The results suggest that studies controlling for the variables of direct foreign investment and age results in a larger effect of development on migration and that the presence of country- level differences boosts migration inflows, particularly in OECD countries.
|
|
|
Impact of Public Health-care Expenditure on economic growth
Nerva, Vijayshekhar ; Havránek, Tomáš (advisor) ; Mareš, Jan (referee)
This thesis serves to investigate the varying effects of public health-care expenditure and private health-care expenditure on economic growth in developed and developing countries. I have contributed to the literature by using an expansive geographical dataset, lagged variables to address endogeneity, and model averaging techniques. I do so by first addressing the issue of model uncertainty, which is inherent in growth studies, by using Bayesian Model Averaging as the method of analysis in the thesis. Examination of 126 countries (32 developed and 94 developing) in the period 2000-2018 reveals that there is no variation in the impact of public health expenditure on economic growth between developed and developing countries. Contrary to public health expenditure, private health expenditure has a varying impact on both developed and developing countries. My analysis also reveals that the results hold when lagged variables are used in the model. Public health expenditure has unanimously a negative effect on economic growth in both developed and developing countries. Private health expenditure, on the other hand, has a positive impact on economic growth in developed and developing countries. Furthermore, I found that the results are robust to different model specifications. JEL Classification I15, O11,...
|
|
|
What is My Car Worth? Hedonic Price Analysis of the German Used Car Market
Doležalová, Radka ; Polák, Petr (advisor) ; Červinka, Michal (referee)
Valuation of used cars, affected by various technical attributes and information asymmetry, is the key objective of all agents operating on the automobile mar- ket. This thesis, focusing on a hedonic price analysis, aims to determine basic as well as additional attributes as determinants of a used car market price. In addition, the analysis sheds light upon novel attributes (service records, cigarette smoke pollution of a vehicle interior, selling channel factor in the e- commerce environment, and a German geographical division). The hedonic price research uses the unique data sample of the German used car market, extracted from the database of the e-commerce platform AutoScout24 com- prised of almost 51 thousand vehicles and 57 attributes. The model selection is specified by the incorporation of the Bayesian model averaging approach. The research proves the complexity of a valuation of a used vehicle in a term of a substantial number of relevant variables. The most interesting innovative conclusions are non-significant effect of selling channels and small local price differences among two German regions. Remarkable are also the significant effect of the status of previous owners, bodywork colour, and smoke pollution. The estimated vehicle lifespan of 10 years shows that cars have shorter than...
|
guest ::
