|
|
Ekonometrické modelovanie výkonu fondov
Tuchyňová, Barbora
In this diploma thesis we gather information on European mutual funds and ETFs that would help to inform the decision of an investment manager. We cre-ated OLS models for three types of mutual funds - money market, bond and equity – to demonstrate a relationship between funds' volatility and their annualised return. We then utilised VAR models to test Granger causation between an ETF and its tracking index using their net asset value.
|
|
|
Examining the relationships among cryptocurrencies using Google Trends
Heller, Michael ; Krištoufek, Ladislav (advisor) ; Džmuráňová, Hana (referee)
The topic of our thesis is the examination of the relationships among cryptocur- rencies using Google Trends. In our thesis, we concentrated on four cryptocur- rencies, namely: Bitcoin, Litecoin, Ethereum Classic and Ethereum. We obtained the data of daily opening prices, daily trading volumes and daily Google Trends queries in order to examine the relationships among the four cryptocurrencies. Applying the Vector autoregression model and Vector error correction model, we constructed four models. The first model contains only four time series of daily prices of cryptocurrencies. The second model is the first model enriched by the respective four time series of Google Trends queries. The third model contains the four time series of daily trading volumes of the four cryptocurrencies. The fourth model is the third model enriched by the four time series of Google Trends queries of respective cryptocurrencies. Then we applied the Impulse response analysis and the Forecast error variance decomposition in order to find some relationships among the variables. We found that there is some correlation among prices, volumes and Google Trends queries containing the names of the four cryptocurrencies. According to our results acquired by the Forecast error variance decomposition, in all our models, Bitcoin has the...
|
|
|
Assessing Economic Linkages between the EU and the Eastern Europe Neighbours
Moisei, Daniela ; Horváth, Roman (advisor) ; Komárek, Luboš (referee)
Charles University Faculty of Social Sciences Institute of Economic Studies MASTER'S THESIS Assessing Economic Linkages between the EU and the Eastern Europe Neighbours Author: Bc. DanielaMoisei Supervisor: Prof. Roman Horváth, Ph.D. Academic Year: 2017/2018 Abstract The proposed study analyses the economic linkages between five Central and Eastern European countries (Czech Republic, Romania, Moldova, Georgia and Ukraine) and the euro area, in the period 2006-2017, applying the block-restriction vector autoregression model. It allows evaluating the amplitude and persistence of the domestic vs. euro area shocks on four macroeconomic indicators: real GDP, short-term interest rate, CPI, and FX rate. The main findings emphasize that EU members are more economically synchronized with the euro area, responding to external factors in less than 10 months. Nevertheless, the Central Banks of the East European countries react extensively to the ECB monetary policy shocks, following broadly its short-term interest rate. Eastern Neighbourhood countries and Central EU members demonstrated tight connections with the euro area, in terms of international transmission of price shocks and economic activity synchronization. Thus, Czech Republic and Romania could be relevant models for the Eastern European countries, reaching...
|
|
|
How Much of the Macroeconomic Variation in Ukraine Originates From External Shocks?
Fedorova, Alona ; Baxa, Jaromír (advisor) ; Cahlík, Tomáš (referee)
iv Abstract In this thesis, we investigate the relative importance of foreign shocks in the Ukrainian economy by estimating a small-scale SVAR model with block exogeneity restriction over the period 2003:2 - 2016:12. We find that external shocks from the EU and Russia account for a significant share of the macroeconomic variation in Ukraine. In particular, external shocks account for up to 97 % of variance in Ukraine's output and 85 % in inflation. Remarkably, foreign monetary policy shocks (both from the EU and Russia) account only for a tiny share of variance in all Ukrainian macro variables. Finally, we show that the inclusion of Russia in the 'foreign' block is important to achieve correct model specification. Without accounting for the effects of the Russian economy, Ukrainian variables over-react to shocks originating from the EU. We conclude that the National Bank of Ukraine should closely track external developments to achieve inflation targets. JEL Classification E52, F41, F42 Keywords vector autoregression, foreign shocks, monetary policy, Ukraine Author's e-mail alonafedorova0@gmail.com Supervisor's e-mail jaromir.baxa@fsv.cuni.cz
|
|
|
How is the Swiss economy coping with the CHF appreciation after the SNB's exít?
Borufka, Roman ; Holub, Tomáš (advisor) ; Hájek, Jan (referee)
The objective of this thesis is to describe the situation in the Swiss economy before the SNB discontinued the minimum exchange rate. Furthermore, the aim is to anal- yse the impact of the abandonment of the exchange rate floor on key macroeconomic indicators such as GDP, year-on-year changes in consumer and producer prices or unemployment rate. The interactions between CHF/EUR exchange rate and real GDP, CPI and 3-month LIBOR are examined using VAR model on quarterly data from 1999 to 2016. The results suggest that the CHF/EUR exchange rate appreci- ation has temporary dampening effects on GDP, CPI and 3-month LIBOR. These results are consistent with the developments in macroeconomic variables after the discontinuation of the minimum exchange rate. JEL Classification C5, E24, E31, E43, F31 Keywords exchange rate, gross domestic product, consumer price index, interest rate, vector autoregressive model Author's email borufka.r(at)seznam.cz Supervisor's email Tomas.Holub(at)cnb.cz
|
|
|
Connectedness of high-frequency data
Petras, Petr ; Křehlík, Tomáš (advisor) ; Maršál, Aleš (referee)
This work combines discrete and continuous methods while modeling connect- edness of financial tick data. As discrete method we are using vector autore- gression. For continuous domain Hawkes process is used, which is special case of point process. We found out that financial assets are connected in non- symmetrical fashion. By using two methodologies we were able to model bet- ter how are the series connected. We confirmed existence of price leader in our three stock portfolio and modeled connectedness of jumps between stocks. As conclusion we state that both methods yields important results about price nature on the market and should be used together or at least with awareness of second approach. JEL Classification C32, G11, G14 Keywords Vector Autoregression, Hawkes process, High- frequency analysis, Connectedness Author's e-mail petr.petras@email.cz Supervisor's e-mail krehlik@utia.cas.cz
|
|
|
U.S. Monetary Policy and Bank Liquidity Creation: VAR Evidence
Lacko, Branislav ; Horváth, Roman (advisor) ; Žigraiová, Diana (referee)
With recent financial crisis the importance of liquidity not only as indicator of financial health of banks heightened. Thus this thesis aims the focus to relationship between real economy and bank liquidity creation, and provides empirical evidence of significant relationship between bank liquidity creation and GDP or inflation. Moreover, it shows that implementation of bank liquidity creation indicator into Taylor rule, in order to address for financial stability and health, is suitable alternative for financial stress index.
|
|
|
Analysis of the impact of ageing on health care spending in selected countries of the Commonwealth
Konířová, Kristýna ; Hulíková Tesárková, Klára (advisor) ; Kraus, Jaroslav (referee)
Analysis of the impact of ageing on health care spending in selected countries of the Commonwealth Abstract This thesis examines and analyses development of population ageing in Australia, Canada and New Zealand and especially its impact on the spending in the sector of health care. It includes comparison of demographic trends and description of health care systems in selected countries. The analysis is then processed by an econometric model focused on the impact of population ageing on government spending and spending of the private sector on health care through life expectancy at birth, ratio of population aged 65 years and above and other indicators. The modelling is carried out using linear regression, vector autoregression and fixed effects model in panel data. The results show that population ageing indeed affects through different intensity both government and private sector spending on health care in Australia, Canada and New Zealand.
|
|
|
Bank Liquidity Creation and Real Economy: VAR Analysis
Hálová, Klára ; Horváth, Roman (advisor) ; Kruchynenko, Ihor (referee)
In this thesis we examine the interactions of bank liquidity creation and real economy using vector autoregression model. We selected inflation, unemployment rate and interest rate as basic economic variables which theoretically could influence bank liquidity creation. We decided to examine the reverse relationship whether bank liquidity creation has a significant impact on real economy. We study these interactions using data from Czech Republic within ten-year period from 2000 to 2010. Our results suggest that macroeconomic fluctuations have a significant impact on bank liquidity creation. The results also support our reverse hypothesis that higher liquidity creation can improve macroeconomic conditions.
|
|
|
Forecasting and nowcasting power of confidence indikators:Evidence for Central Europe
Herrmannová, Lenka ; Horváth, Roman (advisor) ; Mikolášek, Jakub (referee)
This thesis assesses the usefulness of confidence indicators for nowcasting and short term forecasting of the economic activity in the Czech Republic and three other Central European countries. The predictive power of both the Czech business confidence indicator and the customer confidence indicator is examined using two empirical approaches. First we predict the likelihood of economic downturn using logit models, later we estimate GDP growth out of sample forecasts in the framework of vector autoregression models. The results obtained from the downturn probability models confirm the ability of confidence indicators (especially the business confidence indicator) to estimate the current economic situation, so called nowcast. Results from the out-of-sample GDP growth value forecasting are ambiguous. Nevertheless the customer confidence indicator significantly improved original forecasts based on the model with standard macroeconomic variables and therefore we conclude in favour of its predictive power. Cross- country comparison confirms economic downturn nowcasting power of confidence indices in Hungary and Poland and fails to confirm such an ability of Slovak confidence indicators. One-quarter-ahead forecasts brought mixed results and therefore we conclude that nowcasting and forecasting properties of...
|
guest ::
