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Faktory ovlivňující ceny mléčných výrobků v České republice
Slanařová, Barbora
This bachelor thesis deals with effects influencing prices of milk and dairy products. Using the VAR models are investigated relations between the average monthly purchase price for milk from producers and the average monthly customers prices for milk, yoghurt and butter. The influence of the average monthly customer price for milk in the Czech Republic and Slovakia is also rated. Using the ARIMA model are made forecasts of purchase price for milk for next two years.
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Provázanost vývoje akciových trhů a výkonnosti ekonomik států V4
Kubíček, Michal
The aim of the thesis is to verify the interdependence of stock markets with the development of the national economies of the V4 countries and on basis of the established links, to assess possible forecasting of the future development of GDP and the development of V4 stock markets. Literary overview of the diploma thesis describes the economic development of the V4 countries with a focus on the eco-nomic indicator of GDP, the critism of the GDP indicator and its possible alternati-ves measuring the efficiency of the economy. In addition, there are described indi-vial stock exchanges of V4 countries, theory of efficient markets together with possible anomalies in the financial markets. The last part of the literky review contains previously Publisher studies dealing with the issue. The work itself is dividend into main parts, namely the correlation analysis and the compilation of VAR models according to which the direction of the relationship will be tested within Granger causality.
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Ekonomické predstihové indikátory budúceho vývoja ekonomiky v ČR
Rudinská, Helena
The aim of this thesis is to verify the predictive ability of selected economic and financial leading indicators of future economic development in the Czech Republic. Economic development is expressed through GDP. The literary part deal with GDP and an alternative indicator of economic development. The literary section also presents a cross-section of empirical studies by various authors dedicated to leading indicators. The empirical part is focused on the relationship between GDP and leading indicators in terms of its existence, strength and direction. Correlation analysis is used to reveal the relationship and strength. Multi-dimensional time series analysis in the form of VAR models is used to reveal the direction, followed by Granger causality.
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Relantionship between Inflation and Exchange Rate in Ghana
Seth, Kofi Adu
This thesis was aimed at investigating the volatility and relationship between inflation rates and exchange rates in Ghana. The data for the study was obtained from the World Data Bank, the Bank of Ghana, and the Ghana Statistical Service. It covered a period from 1980 to 2016. The main variables were the real exchange rate and inflation. The software used to run the data was Stata. The study employed Vector Autoregressive (VAR) model. The VAR model was chosen by reason that the data set were integrated but not cointegrated. The study result shows that in the short-run, a percentage change in the variability of the real exchange rate induces 54% change in the variability of inflation rate. Again, a percentage change in the variability of real exchange rate induces 90% change in the variability of real exchange rate.
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Vztah mezi vývojem cen významných komodit a vývojem akciových trhů
Prejdová, Jana
Diploma thesis studies the relationship between selected commodities and stock indexes. In the theoretical part of the thesis, there are described important stock indexes, their sector structure and the countries represented in each index. There is a detailed description of the analysed commodities, which are gold, crude oil and cocoa. The theoretical part focuses also on the historical development of prices of these commodities, important events with an impact on the development of prices, and factors influencing prices of commodities. There is also characterised the supply and demand for these commodities. Practical part of the thesis analyses the correlation between stock indexes and commodities and furthermore tests the relationship between stock markets and commodities with the statistical method of VAR model and Granger causality.
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The Effects of Monetary Policy on Housing Prices: Evidence from the Czech Republic
Michalec, Jan ; Havránek, Tomáš (advisor) ; Holub, Tomáš (referee)
This thesis explores the relationship between interest rates, house prices and main macroeconomic variables. In particular, I examine how monetary policy affects house prices in the Czech Republic. The hypotheses assume that an increase in the interest rate that tends to decrease house prices also reduces output and inflation simultaneously. Therefore, the latter would imply that the monetary authority faces a trade-off between macroeconomic and financial stability. The empirical analysis is based on a vector autoregression model and the monetary policy shock is retrieved by the Cholesky decomposition. As for the results, the findings of the thesis conclude that there is a costly trade-off between macroeconomic and financial stability within the Czech economy.
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Analysis of the development of the exchange rate on the basis of uncovered interest rate parity
Macháček, Marek ; Mandel, Martin (advisor) ; Obešlo, František (referee)
The aim of this diploma thesis is based on the empirical analysis to identify the relationship between the exchange rate and the interest rates in selected countries and verify the validity of the uncovered interest rate parity. In the first part, the author deals with basic theoretical and exchange rate determinants from a fundamental analysis point of view, which attempts to explain the causality between these two variables. The actual analysis was performed at three levels on monthly time series from 2010 to 2016. Graphical analysis was selected as the first stage of the analysis, also including verification of the validity of the Fisher International Effect. Later, regression and vector autoregressive analysis followed. However, the conclusions of the individual empirical parts show that the exchange rate is determined by many factors, not only by the interest rate differential, as assumed the theory of uncovered interest rate parity. These results are also related to the low quality of the estimated models. Uncovered interest rate parity has been confirmed in very few cases, but none of the monitored currency pairs has been validated at all three levels of empirical analysis at the same time. The work offers valuable insight into the trend appreciation or depreciation of the exchange rates at the positive interest rate differential in the selected period.
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Impact of sovereign debt crisis in Greece on its neighboring countries
Papoušek, Radan ; Geršl, Adam (advisor) ; Kuc, Matěj (referee)
In this thesis, I analyze contagious effects stemming from Greece to Bulgaria, Cyprus, Italy, and Turkey during the Greek sovereign debt crisis. Using the VAR framework, I estimate adjusted cross-market correlation coefficients, and then test them on con- tagion. My research is based on examination of 10-year sovereign bonds and stock market indices in time period spanning from December 2004 to August 2012. The thesis finds that contagious impacts arising from the Greek crisis were present in all the examined countries. I also find significant interdependence among some of the examined countries. The existence of transmission channels suggests that the crisis could spread easily from Greece.
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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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Speculation on oil markets and its impact on commodity's price
Melcher, Ota ; Taušer, Josef (advisor) ; Baláž, Peter (referee) ; Müller, Štěpán (referee)
This study aims to analyse the precrisis period on the oil markets with a primary objective of assessing the role of speculation in the commodity's price development and its volatility. First it depicts the rapidly increasing speculative activity on the futures market together with the parallel oil price surge. The speculation is initially proxied by non-commercial traders' positions and subsequently quantified by Working's T-index. The paper then uses speculative traders' positions and both spot and futures prices to test for Granger causality within the framework of VAR models. For the sake of consistency it also evaluates causal links between speculation and inventories level. Further the study investigates the speculation impact on volatility of oil prices by employing various approaches in volatility quantification including GARCH models. Contrary to expectations we find that the speculatio's impact on both prices and their volatility is rather insignificant. In the last chapter we therefore seek for an explanation of the oil price developments by examining the market fundamentals. The interaction of supply and demand finally gives substantial evidence for understanding the price developments in the precrisis period.
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