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Forecasting the Exchange Rate in the Czech Republic Using Non-linear Threshold Models
Žák, Petr ; Stráský, Josef (advisor) ; Kočenda, Evžen (referee)
The aim of this thesis is to analyze the performance of nonlinear threshold models in forecasting the exchange rate of Czech koruna against EUR. Data for this study were obtained from Statistical Data Warehouse of European Central Bank (ECB) website, from Czech National Bank (CNB) Board decisions minutes and from the press releases of Governing Council of ECB. The data set was split into two periods - from 1999 until November, 2013 when CNB started to use interventions and from November, 2013 until April, 2016. Models used in the thesis are Self-Exciting Threshold Auto Regressive (SETAR) models with one and two thresholds and two Threshold Auto Regres- sive (TAR) models with different threshold variables - meetings of CNB Board as dummy variable and average volatility over recent periods. The forecasting results indicate that SETAR models did not outperform Random Walk in any period. TAR models offered promising results in the period before interventions and surprisingly failed in the period during interventions. This study supports the general belief of exchange rates being difficult to forecast and that it holds in case of Czech koruna as well. JEL Classification F12, F21, F23 H25, H71, H87 Keywords forecasting, exchange rate, time series, nonlin- earity, SETAR, TAR Author's e-mail zaka.one@gmail.com...
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Tilt sensors
Hájek, Tomáš ; Caha, Luděk (referee) ; Beneš, Petr (advisor)
The topic of the Bachelor's thesis are MEMS sensors of inclination, which find their use inside integrated circuits, equipment of aerospace and automobile industry, but also in ordinary electrical appliance. The work serves the reader to build a grasp over production, usage, basic principles. Finally, it offers an overview of sensors to ease the orientation on the market. The design of the physical model, which can be used to prevent the sensor from apperance of mathematical errors, is tested in the practical part.
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The Effect of Non-Linearity Between Credit Conditions and Economic Activity on Density Forecasts
Franta, Michal
This paper examines the effect of non-linearities on density forecasting. It focuses on the relationship between credit markets and the rest of the economy. The possible non-linearity of this relationship is captured by a threshold vector autoregressive model estimated on the US data using Bayesian methods. Density forecasts thus account for the uncertainty in all model parameters and possible future regime changes. It is shown that considering nonlinearity can improve the probabilistic assessment of the economic outlook. Moreover, three illustrative examples are discussed to shed some light on the possible practical applicability of density forecasts derived from non-linear models.
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Some exchange rates are more stable than others: short-run evidence from transition countries
Bulíř, Aleš
The paper investigates empirically the endogenous liquidity nexus of exchange rate determination on a sample of four transition economies. It finds evidence in favor of the hypothesis of a nonlinear error correction process vis-à-vis longer-term trend deviations. The results suggest that early and successful exchange-rate market and financial-account liberalization pays off in terms of depth of the market and, hence, faster adjustment of national currencies to short-term shocks to the exchange rate.
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