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Testování Okunova koeficientu v zemích V4
Nalivaykin, Philipp
This thesis provides the measurement of the values of Okun s coefficient for the V4 countries. Dynamic time series of GDP and unemployment rate are formed, and hereafter the statistically attested models are chosen. The future development of the monitored macroeconomic indicators becomes apparent due to the formed ARIMA models and VAR models. In conclusion, the models and their ability to forecast are evaluated and, based on these, the recommendations are given for each country of the Visegrad group.
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Spillover of the ECB's Monetary Policy Outside the Euro Area: How Different is Conventional From Unconventional Policy?
Babecká Kucharčuková, Oxana ; Claeys, Peter ; Vašíček, Bořek
This paper studies the macroeconomic impact of ECB policy on the euro area and six non-EMU countries. The analysis is based on the evolution of a synthetic index of overall euro area monetary conditions (MCI) that can be decomposed into conventional and unconventional policy measures. A standard monetary VAR including the MCI subcomponents shows that the transmission of unconventional monetary policy in the euro area is quite different than under conventional policy: prices react quickly, but the response of output (industrial production) is muted. A block-restricted VAR analysis confirms that euro area monetary policy spills over to the macroeconomic developments of non-EMU countries. While conventional monetary policy has a generalised effect on economic activity, exchange rates and prices, unconventional measures have generated a variety of responses. Exchange rates respond rather quickly, but an effect on the real economy is found only for some countries, and inflation remains largely unaffected.
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Řízení rizik v komerční pojišťovně
Stránská, Martina
The Diploma thesis deals with the risk management in an insurance company. The main goal of the thesis is to determine the process of the risk management in insurance companies and to compare this process with the theory and with requirements of directive Solvency II. The first part of the thesis specifies the issue from a theoretical view. The second part focuses on a real situation in insurance companies and concrete approaches of quantitative assessment of risks, such a Value at Risk and stress testing. The result of the thesis is the evaluation of readiness of insurance companies for implementation of directive Solvency II and recommendations for an improvement of the process of risk management.
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Money demand in Eurozone and other European countries
Slezarová, Iva
The goal of this thesis is to examine relationship between money demand, interest rates and real GDP in the Czech Republic, United Kingdom and Eurozone in time period 2005-2013. Apart from OLS regression the work will also focus on stability of the demand form money and exogeneity of money. In the thesis is among general tools as OLS and its variants used cointegration analysis for determination of exogeneity and other methods connected with it. For analysis were used quarterly data obtained from central banks of given countries and OECD statistical database.
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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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Řízení aktiv a pasiv v malých retailových bankách
Chrust, Tomáš ; Brada, Jaroslav (advisor)
Tato práce se zabývá řízením aktiv a pasiv, s důrazem na malou retailovou banku. V jejím úvodu je představena historie řízení aktiv a pasiv, spolu s popisem jeho procesu a organizačního uspořádání. Následuje seznámení s úrokovým, cizoměnovým a likviditním rizikem. U každého z těchto rizik jsou popsány jeho příčiny, následky, modely a způsoby řízení. Zvláštní důraz je kladen na ?at Risk? modely a jejich použití při řízení aktiv a pasiv. Hlavní část práce uzavírá rozebrání bankovních produktů a seznámení s riziky, která do řízení aktiv a pasiv přináší. Při psaní této práce byl kladen důraz na kombinaci teoretických poznatků a praktických zkušeností.
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Econometric analysis of transmission mechanism in CZ
Plechatá, Zuzana ; Hušek, Roman (advisor) ; Formánek, Tomáš (referee)
This diploma thesis presents results of analysis of monetary policy transmission mechanism in the Czech Republic employing the vector autoregressive (VAR) models. The responsible authority for monetary policy is Czech National Bank that has been using the inflation targeting regime to conduct its monetary policy since 1998. The inflation rate changes, i.e. the changes in repo rate represent a monetary tool for steering actual inflation rate towards the projected or "target" inflation rate. The linear correlation between 2 weeks repo rate and 1 month PRIBOR rate is confirmed. The transmission mechanism is examined within the VAR framework and the relationships between the 1 month PRIBOR rate, gross domestic product and inflation rate are studied. The VAR model including 1 lag is considered as the best performing model. The relationships among variables are analysed by related approaches -- Granger causality, impulse response functions and cointegration. The ability of model to create forecasts is assessed and the ex ante forecasts are produced for one-year horizon. The effects of alternative monetary policies are the subject of scenario analysis.
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Simulation analysis of the impact of alternative rates of VAT
Lacinová, Věra ; Hušek, Roman (advisor) ; Formánek, Tomáš (referee)
This thesis is composed of free main chapters. The first two chapters of is a theoretical part. The first chapter is devoted to the theory of economic policy and analysis of economic indicators. The second chapter concerns the econometric theory and describes vector autoregression models theory and econometric forecasting. In the third, practical part, aims to find out with the help of real data of the Czech economy impacts of alternative VAT rates on selected indicators of the czech economy, these indicators are gross domestic product, unemployment rate and consumer price index. As a tool to determine the impact of using models and vector autoregression method scenarios.
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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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Quantitative Easing and its impact on commodity prices
Jakl, Jakub ; Hurník, Jaromír (advisor) ; Potužák, Pavel (referee)
The main focus of this thesis rests in the assessment of the quantitative easing policy impact on commodity prices and prices of commodity derivatives in the US. Several VAR models have been constructed in this paper to capture the relations between time series of monetary policy variables and commodity markets indices. The impulse-response analysis applied in the VAR models has discovered the causal connection between the QE policy and the value of commodity indices. The official announcement of initiation (extension) of the policy of the QE policy and its realization consisting of purchases of vast amount of treasury securities and federal agency debt and MBS has lead to the major commodity indices increase. Since this fact has been overlooked by Fed so far, its acceptance might enhance the realization of possible future QE policy and the valuation of the QE as a monetary policy alternative in conditions of zero-bound.
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