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Analysis of nonprice competitiveness: Czech Republic
Petrů, Vojtěch ; Semerák, Vilém (advisor) ; Červinka, Michal (referee)
In general discussion, the concept of country's international competitiveness is frequently used for analysing its macroeconomic performance and is usually associated with price competitiveness, often measured by real effective exchange rate. In spite of its usefulness, this indicator has several drawbacks, stemming from its strong assumptions. Using highly disaggregated data from UN Comtrade trade database, a relative export price index which accounts for non-price factors such as changes in the market power and taste or quality is presented and utilized for examination of changes in Czech republic's exports competitiveness between 1998 and 2015 in various product sections and geographical regions. The results show that the appreciation of Czech real effective exchange rate, which occured between 1998 and 2008, was transfered into higher export prices in a very muted form and the improvements in quality of Czech exports were more than capable of compensating for this increase. Major differences in quality growth between individual product sections and exports into different locations are detected. The highest improvements are achieved in products of Machinery, Plastics and rubber, Chemical products, but also Metals.
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Least Absolute Deviations
Pacák, Daniel ; Víšek, Jan Ámos (advisor) ; Červinka, Michal (referee)
This is a theoretical study of the Least Absolute Deviations (LAD) fits. In the first part, fundamental mathematical properties of LAD fits are established. Computational aspects of LAD fits are shown and the Barrodale-Roberts Al- gorithm for finding LAD fits is presented. In the second part, the statistical properties of LAD estimator are discussed in the concept of linear regression. It is shown that LAD estimator is a maximum likelihood estimator if the er- ror variables follow Laplace distribution. We state theorems establishing strong consistency and asymptotic normality of LAD estimator and we discuss the bias of LAD estimator. In the last section, we present the results of numerical experi- ments where we numerically showed consistency of LAD estimator, discussed its behaviour under different distributions of error variables with comparison to the Ordinary Least Squares (OLS) estimator. Lastly, we looked at the behaviour of LAD and OLS estimators in the presence of corrupted observations. 1
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Bankruptcy prediction models in the Czech economy: New specification using Bayesian model averaging and logistic regression on the latest data
Kolísko, Jiří ; Princ, Michael (advisor) ; Červinka, Michal (referee)
The main objective of our research was to develop a new bankruptcy prediction model for the Czech economy. For that purpose we used the logistic regression and 150,000 financial statements collected for the 2002-2016 period. We defined 41 explanatory variables (25 financial ratios and 16 dummy variables) and used Bayesian model averaging to select the best set of explanatory variables. The resulting model has been estimated for three prediction horizons: one, two, and three years before bankruptcy, so that we could assess the changes in the importance of explanatory variables and models' prediction accuracy. To deal with high skew in our dataset due to small number of bankrupt firms, we applied over- and under- sampling methods on the train sample (80% of data). These methods proved to enhance our classifier's accuracy for all specifications and periods. The accuracy of our models has been evaluated by Receiver operating characteristics curves, Sensitivity-Specificity curves, and Precision-Recall curves. In comparison with models examined on similar data, our model performed very well. In addition, we have selected the most powerful predictors for short- and long-term horizons, which is potentially of high relevance for practice. JEL Classification C11, C51, C53, G33, M21 Keywords Bankruptcy...
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Least Absolute Shrinkage and Selection Operator Method
Vorlíčková, Jana ; Červinka, Michal (advisor) ; Rusnák, Marek (referee)
The main intention of the thesis is to present several types of penalization techniques and to apply them in economic analyses. We focus on penalized least squares, with a main topic being the lasso. The penalization methods are commonly employed to data sets with a relatively large number of the variables as compared to the sample size. These methods simplify the model by shrinkage of the estimates of the coefficient of the irrelevant variables to wards zero or they put these estimates equal to zero, i.e. they produce a sparse solution. Namely, we present the following methods: ridge regres sion, best subset selection problem, lasso and elastic net. We discuss several applications of the lasso in the current economic and finance research and hence present the lasso in more details. In the practical part of the thesis, we analyze a real economic data using the elastic net, the ridge regression, the lasso and the ordinary least squares method. We use the mean squared error as the measure of performance of the respective method. The penal ized least squares methods surpass the ordinary least squares method, with the elastic net being the best performing method. Keywords penalized least squares, lasso, elastic net, ridge regression, penalization tech niques in economics 1
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Player Skill Rating for Games with Random Matchmaking
Hubík, Jan ; Červinka, Michal (advisor) ; Matoušek, Jindřich (referee)
Traditional skill ratings are not suitable for new types of games. We developed a general skill rating framework for games which do not discriminate players based on their skill. This class of games is widely present in the world. We use Bayesian statistics to convert aggregate data about the player's performance to a percentile rank describing his skill. The system is applicable to both single-player and multiplayer games with binary and non-binary endings. The rating formulas do not contain any arbitrary constants. We have tested the system in simulations and on real game data, and we outline its possible applications.
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Evaluation of Effects of "Cash for Clunkers"-like programs on car markets and macroeconomic situation
Fiebig, Florian ; Semerák, Vilém (advisor) ; Červinka, Michal (referee)
Bachelor's Thesis Proposal Institute of Economic Studies Faculty of Social Sciences Charles University in Prague Author Florian Fiebig Supervisor Mgr. Ing. Vilém Semerák PhD. Proposed topic: The Impact of German policy, cash for clunkers, on the Czech market in regards to price level and output. Topic characteristics After the financial crisis in 2007-08, governments all over the world tried using several policies in order to promote growth and stability for their economies. On July 1, 2009, the USA launched its policy "Car Allowance Rebate System (CARS)", commonly known as "Cash for clunkers." It was a program designed to boost car sales, by giving the US residents an economic incentive swap their old and economic inefficient cars for brand new models that are more fuel efficient as well as produce less CO2. In the same year, Germany tried to promote growth and stability using the same policy/program. However, this policy did not just had an impact on the German economy, but its neighbors as well. In addition to that, it is interesting to find out if this policy was beneficial to implement or rather harming the economy even further. Although several papers conducted research on the effects of the cash-for-clunkers policy, I will focus on the effects that the German policy had on the Czech economy with...
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The time-frequency relationship between spot and futures prices of crude oil
Tran Quang, Tuan ; Baruník, Jozef (advisor) ; Červinka, Michal (referee)
This thesis investigates the relationship between daily spot and futures prices for maturities of one, two, three and four months of West Texas Intermediate (WTI) crude oil. The data cover period January 1987-April 2015. Based on economic theory, the futures prices should be closely related to the spot price, which - in the case of crude oil market - this thesis analyses using wavelet-based approach. Main contributions of this thesis are findings in the field of time-frequency relationship of spot-futures prices of crude oil, where an alternative methodology - wavelet transformation - is used. The usage of this advanced method is also an additional contribution of this thesis because it allows us to rigorously study how co-movement (relationship) differs across frequencies/scales and time. In this thesis wavelet Coherence, wavelet bivariate correlation and relatively new method wavelet band spectral regression (WBLS) are used. This thesis brings 4 main findings. First, relationship between Futures and spot prices of crude oil is strong in all time-periods (frequencies/scales), which supports economic theory. Second and In contrary to the first finding, in the gasoline spot-futures market, we find that the relationship is strong mainly in higher scales (lower frequencies) while in lower scales (higher...
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The Inflation-Output Variability Relationship in the CEE countries: A Bivariate GARCH Model
Kubovič, Jozef ; Čech, František (advisor) ; Červinka, Michal (referee)
This thesis examines the output-variability relationship and causal relationships among the inflation, the output growth and their uncertainties for the Central and Eastern European region during the period of time that covers the economic crisis of 2008. We apply the bivariate GARCH(1,1) model with the constant conditional correlation covariance matrix to obtain conditional variances that proxy the two uncertainties and use Granger causality test to determine the causal effects among four variables. We come up with a number of interesting results. First, we did not find statistical evidence neither for the inflation-output variability relationship nor for the Phillips curve. Second, we uncovered support for the positive causal effect of the inflation on its uncertainty and negative causal effect for the reverse direction. Additionally, we also found some support for the indirect negative causal effect of the inflation on the output growth. These results support the policy of low and stable inflation in the countries. Finally, we showed that crisis has a significant impact on the results, changing the behaviour of conditional variances and causal effects among the variables. Powered by TCPDF (www.tcpdf.org)
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Generalized Nash Equilibrium Problems in Economics
Kratochvíl, Maxim ; Červinka, Michal (advisor) ; Adam, Tomáš (referee)
The aim of the thesis is to provide basic overview of term called Gener- alized Nash Equilibrium Problem (GNEP), mainly to the audience with economic education. Given term is the generalization of famous concept coming from Game theory called Nash Equilibrium Problem (NEP). Thesis describes basic properties of GNEP, illuminates main differences between NEP and GNEP and provides examples of both models. Thesis discuss hy- pothesis that there might exist economic models that could be advanced or solved by GNEP. One example of such economic model is presented to support given hypothesis. Keywords Generalized Nash Equilibrium Problems, abstract economy, social equilib- rium problem, pseudo-game, application.
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