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Testing validity of the ABCT in case of the Czech Republic between years 1996 and 2012.
Střeleček, Tomáš ; Chytil, Zdeněk (advisor) ; Klesla, Arnošt (referee)
The aim of this thesis is to test the validity of The Austrian Business Cycle Theory (ABCT) for The Czech Republic between years 1996 and 2013 on quarterly data. In the first part, I concentrated on the definition of business cycle and theoretical premises of The Austrian Business Cycle Theory. In application part, I translated the first sector of hypothesis into dynamic models which were then estimated by method called Granger causality. The results show that monetary expansion in any of four previous quarters leads to decrease in monetary interest rate. Concerning mechanism of monetary expansion effect, the crucial are changes of the monetary interest rate in relation to the natural interest rate. I affirmed conformity of the ABCT: monetary expansion changes structure of interest rates and as a result of such shock there is an increase in roundabout productions. The difference between decrease in monetary interest rate and increase in roundabout productions is half a year. Other results were weaker. I have found statistically significant correlation, not a relation of determination, between decrease in monetary interest rate and increase in investments' expenditures. Quantitative methods did not show confirmation of predictions of the ABCT for structure of inflation. Second sector of hypothesis was incorporated into static model which I estimated by ordinary least squares. Results confirmed predictions of the ABCT that at the beginning of economic expansion there is increase in roundabout productions. Additionally, another prediction of the ABCT was confirmed: at the beginning of expansion there is an increase in producers' prices and there is a relative increase in consumers' prices from the second half of expansion. On average, an increase in investment expenditures during expansion was not confirmed. In summary, there is an excessive consumption and there is an excessive increase in production at the peak of economic fluctuation, the economy is pushed beyond its production possibilities frontier. Explanation of the ABCT was not invalidated for Czech economy.
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Austrian Business Cycle Theory - the role of consumer durable goods
Wolf, Vojtěch ; Komrska, Martin (advisor) ; Slaný, Martin (referee)
This paper focuses on empirical analysis of selected relationships derived from the Austrian Business Cycle Theory (ABCT). Special attention is paid to consumer durable goods. ABCT suggests that change in the rate of interest or credit availability induces change in relative consumption, production, and relative price of durable goods. This paper aims to verify whether the changes in these variables are consistent with Austrian theory. Several hypotheses are established and tested, using vector autoregression and Granger causality tests. The analysis is based on US time series data, covering the period between 1985 and 2013. The analysis failed to prove conclusively the validity of the hypotheses.
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The Austrian business cycle theory: empirical evidence
Komrska, Martin ; Potužák, Pavel (advisor) ; Zemplinerová, Alena (referee)
The aim of this diploma thesis is to empirically investigate the explanatory power of Austrian business cycle theory. My dataset consists of US quarterly time series within the period between 1971 and 2009. As regards the NBER classification, this dataset covers six complete business cycles, including the recent global financial crisis. Following Wainhouse (1984), Keeler (2001) and Bjerkenes et al. (2010) I use Granger causality as one of the primary tools of the analysis. Moreover I also add Impulse response functions to discover the direction of observed relationships. As regards my primary group of hypotheses I found significant empirical evidence for the connection between changes in interest rate and structure of production. The secondary group of hypotheses is less successful; however I found the very first empirical illustration of Garrison's version of ABCT.
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The impact of speculators on the commodity markets
El-Moussawi, Chadi ; Musílek, Petr (advisor) ; Derner, Tomáš (referee)
In the recent years, there has been growing talk of investing in commodities in the financial markets. In the past, the commodity markets served for purposes of the producers and the end-users of commodities. With gradual innovation of the financial markets in the 19th and 20th century the modern commodity markets evolved and became more standardized. This process was accompanied by the increasing interest of financial speculators. In contrast with the commercial participants, the goal of these new investors in the commodity markets is not to hedge against adverse changes in commodity prices but to profit on the price movements of commodities. The inflow of this group was intensified by the development of new financial instruments enabling these investors to enter the commodity markets. It is undisputable that speculators have positive effect on the markets, by providing liquidity and lowering transaction costs. What remains to be answered is the real effect which the speculators have on the commodity prices, and if their action does not create distortion in the commodity prices. The price development on the commodity markets during the recent financial crisis gives strong arguments in the hands of those accusing the speculators of the negative impact on the commodity prices, which sometimes lead to creation of price bubbles. The goal of this thesis will be the analysis of the effect of speculators on the commodity markets, and if this prejudice is justified.
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