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Exchange Rate Forecasting: An Application with Model Averaging Techniques
Mida, Jaroslav ; Horváth, Roman (advisor) ; Bobková, Božena (referee)
The exchange rate forecasting has been an interesting topic for a long time. Beating the random walk model has been the goal of many researchers, who applied various techniques and used various datasets. We tried to beat it using bayesian model averaging technique, which pools a large amount of models and the final forecast is the average of forecasts of these models. We used quarterly data from 1980 to 2013 and attempted to predict the value of exchange rate return of five currency pairs. The novelty was the fact that none of these currency pairs included U.S. Dollar. The forecasting horizon was one, two, four and eight quarters. In addition to random walk, we also compared our results to historical average return model using several benchmarks, such as root mean squared error, mean absolute error or direction of change statistic. We found out that bayesian model averaging can not generally outperform random walk or historical average return, but in specific setting it can produce forecasts with low error and with high percentage of correctly predicted signs of change.
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Determinants of FDI location across European Countries: role of economic and non-economic factors in decision-making by means of econometric analysis of panel data for 1995-2010
Brázdová, Martina ; Benáček, Vladimír (advisor) ; Bobková, Božena (referee)
This thesis provides an insight into factors that determine FDI inflows. Our focus is on FDI inflows directed to European countries and we study the FDI phenomena both from theoretical and practical view. We extend the literature that highlights the importance of FDI- institution link, and hypothesise that countries with better institutional quality should attract more foreign direct investments. This is in accord with expectation that good institutions create better investment environment in terms of lower costs of doing business and lower risk. The main purpose of this thesis is to complement previous studies that have covered this topic, but did not account for years of financial crisis. The key part analyses panel data for 33 European economies in the period from 1995 to 2010. A model of FDI determinants is constructed and estimated using panel data estimation techniques. The empirical part has revealed that even though some of the institutional variables are significant, they remain rather additional in explaining FDI flows; whereas the traditional economic variables are clearly significant. Our results are intuitively consistent with theoretical expectations and show that market growth, low trade restrictions, good infrastructure and low labour costs are key FDI drivers. Other important...
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Comparison of the three utility functions and their application to various aspects of consumer behavior
Mišuráková, Mária ; Koubek, Ivo (advisor) ; Bobková, Božena (referee)
Many economists have tried to measure the utility of wealth and to predict human behavior based on this. In my thesis, I describe three such models - the expected utility theory, the prospect theory and the maximization of the probability of economic survival theory. Using an experiment, I try to figure out which model best represents the reality. For this purpose I developed an economic game to observe decisions of people in situations involving risk which I performed with a group of high-school students. The best representation of their behavior appears to be a convex utility function according to the expected utility theory. The implied risk-seeking is, in my opinion, caused by the fact that the experiment was conducted under laboratory conditions.
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Analysing the Performance of European Commercial Banks
Hajzeraj, Adelina ; Gapko, Petr (advisor) ; Bobková, Božena (referee)
v Abstract The present thesis analyses the performance of the European banks in 2007-2011. First, brief information on the banking sector of each EU-27 country is provided. By the means of comparative analysis, it is, further, shown that banks, coming from countries less affected by the financial crisis, outperformed (in terms of ROA and ROE) banks coming from the worst affected countries. Additionally, panel-data and OLS estimation methods are employed to investigate the importance of various CAMEL determinants for banks' profitability. Assets quality, management ability, and interest earnings turn out to be strongly significant. Moreover, we report a struc- tural change in the relationship relative to the ownership structure (foreign vs. domes- tic-owned banks) and observe a structural time-break that occurred as the result of the recent financial crisis. JEL Classification G01, G21, G28 Keywords BASEL III, Capital Adequacy, CAMEL method, European Commercial banks Author's e-mail misslinaw@hotmail.com Supervisor's e-mail petr.gapko@seznam.cz
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Sales Design in Online Auctions: Evidence from iPad 2 Sales on eBay
Baránek, Bruno ; Gregor, Martin (advisor) ; Bobková, Božena (referee)
This thesis studies sales of iPads 2 on eBay. We examine the determinants of the choice of particular sales design among sellers and the effect of this design on probability of sale and price. There is not a difference in prices among fixed price sales and auctions, however posted price sales have lower probability of being sold. BIN option in auctions does not affect their outcome. We also found that higher minimum bids increase price and decrease probability of sale.
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Gravity model estimation using panel data - is logarithmic transformation advisable?
Bobková, Božena ; Benáček, Vladimír (advisor) ; Baruník, Jozef (referee)
This thesis investigates the question if the estimation of gravity model of in- ternational trade based on the logarithmic transformation of the model is ad- visable when panel data are employed for the estimation. We have derived theoretically that in the presence of heteroskedasticity the logarithmic trans- formation causes inconsistency of the estimated coefficients. According to the literature, we have recommended rather the Poisson pseudo maximum likeli- hood estimation technique for the empirical research of the gravity model. We have also provided an empirical analysis of Czech and German panel data sets based on the comparison of the performance of traditional and Poisson estima- tion approaches. This analysis confirrms Poisson pseudo maximum likelihood estimation method as a more proper method for estimating the coefficients of the gravity equation.
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Czech Written Magazines for the Hearing Impaired until 1950
Charvát, Jiří ; Wolák, Radim (advisor) ; Bobková, Božena (referee)
The diploma thesis "Czech written magazines for the hearing impaired until 1950" focuses on the Czech periodical press for readers with hearing impairments, from 1918 when it was started, until communist repression began in 1950. The thesis deals with social, historical and other factors that formed the press. With the help of many quotations, it illustrates the formal and content aspects of each magazine. It introduces the motivations, people and organizations that made the magazines being published. Each paper is given details about its publishers, editors, printing houses, addresses of the editor's offices, secondary titles, periodicity, price, number of pages etc. and the development of these attributes over time. The thesis shows in detail the content and structure of the given magazines by presenting their regular columns. It monitors the graphical development of each paper's title. It briefly summarizes the relation of the hearing impaired to different kinds of media. It outlines a problem of insufficient reading skills of the pre-lingual deaf and how was it dealt with in the magazines for the hearing impaired in the first half of the 20th century.
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The Role of Heterogeneous Households in the DSGE model: Application to the Czech Republic
Palas, Michal ; Bobková, Božena (advisor) ; Kukačka, Jiří (referee)
In this thesis, we study the role of non-Ricardian households in an open economy dynamic stochastic general equilibrium model calibrated for the Czech Republic. We show that the presence of non-Ricardian households induces a short-term raise in aggregate consumption in response to a government spending shock. The combination of price and wage rigidities, habit formation, and the open economy design enables a low share of non-Ricardian consumers to be sufficient to predict the positive comovement of government spending and aggregate consumption. We estimate the sensitivity of consumption to changes in disposable income in the Czech Republic, and our results suggest that a significant share of income goes to non- Ricardian households. If the nominal-wage stickiness is assumed, the inclusion of non- Ricardian households does not considerably alter the determinacy of the model, and an interest rate rule satisfying the Taylor principle is sufficient to get a unique stable solution. The overall performance of the model is studied through the analysis of impulse responses to various shocks.
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