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Forecasting Exchange Rates: A VAR Analysis
Mida, Jaroslav ; Horváth, Roman (advisor) ; Ivanková, Kristýna (referee)
This thesis aims to out-of-sample forecast the USD/EUR exchange rate using four macroeconomic variables, namely ination, interest rate, unemployment rate and industrial production index. The model applied is the vector autoregressive model. We use monthly data for a period of 2002-2011 and use the data from 2012 in order to compare the forecast accuracy with the random walk, which is believed to outperform many models when forecasting for a short-time horizon, such as one year. We found out that the vector autogressive model beat the random walk in the period of one and three months, which was surprising. In the longer horizon of six, nine and twelve months, random walk, as expected, heavily outperformed vector autogressive model. The reasoning behind this could be that there was no clear trend in the USD/EUR exchange rate during this period.
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Development of a mobile application for Windows Phone and its publication in the Windows Phone Store
NĚMEC, Radek
This thesis describes the mobile operating system Windows Phone 8.1 (launched in the middle of 2014) and an application development. A partial goal is to introduce the system, including all parameters, features and technologies, which are necessary for application development. The main goal of my work is to create an application that downloads exchange rates of selected currencies from the website of the Czech National Bank. The app shows current exchange rates. It is possible to convert between different currencies. Also, there is a graph of the selected currency showing exchange rate history in selected period. My app is fully customizable for every user, so they can adjust it to suit their needs. In my thesis there is a summarization of all the information necessary for introducing Windows Phone 8.1 to the beginners in application development.
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Econometric Systems of Equations as a Tool for Financial Data Analysis
Vaverová, Jana ; Zichová, Jitka (advisor) ; Krtek, Jiří (referee)
This thesis deals with analysing multivariate financial and economical data. The first section describes various types of econometric systems of equations, vector autoregression and constucting models based on this theory. The second part deals with analysing the dependence of time series of inflation rates on various macroeconomical indicators and reciprocal dependence of two exchange rates time series. All results were obtained by the Mathematica 8.0 software.
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Selected methods for multivariate financial data analysis
Andráš, Adrián ; Zichová, Jitka (advisor) ; Hurt, Jan (referee)
In practice, we often meet data in the form of observations of several variables at various points in time. These data are called time series. We present various approaches in time series analysis; graphical models, vector autoregres- sive models and vector moving-average models. We try to get information about mutual relationship of the variables and then to model their behavior. The used techniques are illustrated on log returns of monthly average exchange rates. The programs are processed in the software Mathematica 7 and can be found on the CD. 1
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Anomalies in the development of the exchange rate (In the context of PPP)
Hejzlarová, Anna ; Šíma, Ondřej (advisor) ; Pour, Jiří (referee)
This thesis is focused on the description of the purchasing power parity theory and the theory of the interest rate as the fundamental aspects of exchange rate movements. A large part is devoted to the problems of equilibrium exchange rates and associated anomalies that these equilibrium rates are largely affected. The aim is to highlight the pros and cons of these theories and their practical use in nowadays world. Incomplete validity of purchasing power parity is analyzed by using available data which also leads to examine the presence of deviation from the equilibirum value. These anomalies are divided into economic origin anomalies and anomalies arising from non-market intervention. Despite the frequent critism the theory of purchasing power parity is still the most popular and frequently published theory.
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Závislost na ropných výnosech, ceny ropy a měnové kurzy: analýza denních dat
Budkov, Roman ; Zouhar, Jan (advisor) ; Formánek, Tomáš (referee)
This paper studies the relationship between the oil prices and exchange rates of oil exporting countries, in terms of their dependence on oil rents. The study is based on data at the daily frequency over the period 2005-2015. In the first chapter, the data set and basic characteristics of the countries are described. The second chapter represents the econometric framework for the practical section. Applying a vector error correction model mainly produced controversial results. Analysis based on a GARCH approach found a positive relationship between the value of the currencies and the oil prices, although the link with the oil rents dependence is not sufficiently evident. The paper also supports stylized facts, such as a negative relationship between the U.S. dollar value and the oil prices.
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The financial impact of monetary factors in the selected company
Mravík, Pavel ; Kozáková, Petra (advisor) ; Žalio, Ladislav (referee)
This dissertation evaluates development of exchange rates and its specific effects on STAP company a.s. The aim of this paper is to present the events that have had influence on the development of the exchange rate between Euro and Czech Crown and precautionary measures taken by STAP a.s. to prevent related risks. The first part comprises a summary of events that had a significant impact on the exchange rate development; the risks created by these events and methods devised to prevent these risks. The second part evaluates the specific financial derivatives used by STAP a.s. and their impact. Finally the recommendation is made for the future more effective usage of the financial instruments.
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Modeling and Forecasting Volatility of Financial Time Series of Exchange Rates
Žižka, David ; Arltová, Markéta (advisor) ; Malá, Ivana (referee) ; Vošvrda, Miloslav (referee)
The thesis focuses on modelling and forecasting the exchange rate time series volatility. The basic approach used for the conditional variance modelling are class (G)ARCH models and their variations. Modelling of the conditional mean is based on the use of AR autoregressive models. Due to the breach of one of the basic assumption of the models (normality assumption), an important part of the work is a detailed analysis of unconditional distribution of returns enabling the selection of a suitable distributional assumption of error terms of (G)ARCH models. The use of leptokurtic distribution assumption leads to a major improvement of volatility forecasting compared to normal distribution. In regard to this fact, the often applied GED and the Student's t distributions represent the key-stones of this work. In addition, the less known distributions are applied in the work, e.g. the Johnson's SU and the normal Inverse Gaussian Distribution. To model volatility, a great number of linear and non-linear models have been tested. Linear models are represented by ARCH, GARCH, GARCH in mean, integrated GARCH, fractionally integrated GARCH and HYGARCH. In the event of the presence of the leverage effect, non-linear EGARCH, GJR-GARCH, APARCH and FIEGARCH models are applied. Using suitable models according to the selected criteria, volatility forecasts are made with different long-term and short-term forecasting horizons. Outcomes of traditional approaches using parametric models (G)ARCH are compared with semi-parametric neural networks based concepts that are widely applicable in clustering and also in time series prediction problems. In conclusion, a description is given of the coincident and different properties of the analyzed exchange rate time series. The author further summarized the models that provide the best forecasts of volatility behaviour of the selected time series, including recommendations for their modelling. Such models can be further used to measure market risk rate by the Value at Risk method or in future price estimating where future volatility is inevitable prerequisite for the interval forecasts.
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Hospodářské vztahy mezi Čínou a Spojenými Státy Americkými
Gjochi, Marigona ; Žamberský, Pavel (advisor) ; Taušer, Josef (referee)
The master thesis emphasizes the economic relations between China and the United States. It gives an overview and theoretical background support on the significance of contemporary the economic relations between countries in today`s globalized era. Secondly, it analyzes how the theoretical background of economic and trade relations affect the empirical case study of the economic relations between China and the USA. The goal is to show how the economic and trade relations between China and the United States influence each other`s economies and what is the effect of such relations on the economic performance of both countries. More precisely, in order to answer the question above, the master thesis deals with complex analysis in regard of historical perspective concerning the economic relations between these countries, their ongoing cooperation in terms of balance of payments, the current and potential issues what both countries face and the existing challenges for the future. In order to complete the analysis and answer the research question, list of various sources will be used, starting from academic journals, books, literature reviews, reports from the World Trade Organization (hereafter WTO), reports from the respective countries on their economic progress, data available from the ministries of trade of respective countries and other sources related to the analysis of the contemporary economic and trade relations between the countries participating in the global economy.
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