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Inflation of virtual currencies
Skuhrovec, Jiří ; Holub, Tomáš (advisor) ; Strecker, Ondřej (referee)
This papers examines formation of prices in virtual economy World of Warcraft, and its interconnection with real economy through Real Money Trade - exchange of in-game currency for real cash. Paper nds, that WoW economy is heavily leveraged through this channel, namely that it determines price level within the game. It empirically shows that causes of long-run in ation of currency are EUR/CNY FX rate and patches issued by game operator. Later on author builds general microeconomic model of arti cial scarcity, to explain motivation of game operator to in ate own currency. Last chapter is devoted to potential of virtual currencies, argumenting with thoughts of Karl Menger, that these currencies may be able to compete with real ones. Paper heavily relies on unique data, collected using software developed by author.
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The Effects of Foreign Exchange Interventions in a Small Open Economy: The Case of the Czech Republic in a World Context
Timko, Jan ; Holub, Tomáš (advisor) ; Dědek, Oldřich (referee)
In this thesis we examine the effect of foreign exchange interventions in small open economy, focusing on the Czech experience. In the first part we model volatility development before and after the intervention using GARCH model. In the second part we estimate relationship between macroeconomical variables using vector autoregressive model. In this part we estimate impulse response function of exchange rate and inflation. In second part of VAR modeling we provide counterfactual analysis, which compare actual development of variables with alternative scenario in which the interventions would not happen . Our results suggest that the interventions is associated with few months delayed decrease in volatility. Base on scenario analysis the interventions increased inflation by approximately 1.5 % and without the intervention the economy would in deflation around -1 % nowadays. KEYWORDS: Vector autoregression, Volatility modelling, Monetary policy, Intervention Author's e-mail: jantimko16@gmail.com Supervisor's e-mail: tomas.holub@cnb.cz
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Monetary Policy and House Prices in the US: Evidence from Time-Varying VAR Model
Brunová, Kristýna ; Horváth, Roman (advisor) ; Holub, Tomáš (referee)
This thesis examines the effects of monetary policy shocks on the housing market. To this end, TVP-VAR model with dynamic dimension selection and stochastic volatility is estimated using monthly data for the United States over the period 1999-2017. Moreover, the model features estimating the optimal value of the Bayesian shrinkage coefficient in a time-varying manner. Since the sample covers the Zero Lower Bound period, Wu-Xia shadow rate is employed to measure the stance of monetary policy. To assess the link between housing variables and monetary policy, impulse responses and forecast error variance decompositions are provided. However, due to the time-varying nature of the model, they are estimated only for selected time periods that correspond both to the events that most likely influenced the path of macroeconomic and financial variables and to periods of low economic uncertainty. The main results are threefold. First, the model suggests that monetary policy shocks can contribute to developments in house prices. Second, the stimulative monetary policy positively affects residential investment and negatively affects mortgage rates, however, the effects are not significant due to the large confidence bands of the impulse responses. Third, higher values of the shrinkage hyperparameter are crucial for...
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Convergence or Divergence: The Analysis of Economic Growth in the CIS Countries
Hakimov, Durbek ; Cahlík, Tomáš (advisor) ; Holub, Tomáš (referee)
This dissertation examines from a comparative perspective the growth experience for a sample of twelve countries of the former Soviet Union over the period from 1991 to 2008. Two meth- ods of econometric analysis are applied: cross-section regressions and dynamic panel data esti- mation techniques. The main focus of the study has been to empirically establish whether coun- tries in the region are converging or diverging in terms of their income per capita and to find important sources of cross-country differences which determine the shape of this process. I did not find statistically significant support for conditional convergence in any cross-section period. It is partly supported by the increased dispersion of per capita income levels during the sample period. Meanwhile, panel data fixed-effects and GMM methods provide strong support for con- ditional convergence hypothesis. The first-differenced GMM estimator indicates a rate of con- vergence of around 2 per cent a year, which is surprisingly similar to the standard cross-section findings in empirical literature. However, it could be the result of the cyclical behaviour of out- put during transition. In general, results indicate that structural transformation is not yet over in most of the countries. Therefore progress in market-oriented reforms and...
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Inflation targeting performance in emerging economies and some lessons for Moldova
Talasimova, Irina ; Holub, Tomáš (advisor) ; Mejstřík, Michal (referee)
The present paper has attempted to provide an empirically argumented basis on the existing conflict about effectiveness of IT regime on lowering inflation and inflation volatility. In the first part we perform panel analysis on a group of 43 emerging and developing economies for a more recent period ranging from 1997 to 2011, distinguishing between normal and crisis times as well as between geographical regions. Differently from common studies we applied dynamic panel model specification that controls for reverse causality of regime adoption. Despite broad arguments addresing IT ineffectiveness, our results support the regime and imply that shifting to IT will lower both inflation and inflation volatility in normal times. Model specification during the external shocks was inconclusive on the selected sample with relatively recent IT history. Regarding the geographical IT performance, we outlined that regime effectiveness was uniform along analyzed regions. In the second part we perform a preliminary analysis of a developing economy IT experience and conclude that, even though there are some problems of technical nature and main policy rate is still a weak instrument of transmission channel, the Republic of Moldova chose right time for regime adoption and has made considerable progress towards the...
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Exit strategy - new challenge to central banking : European Central Bank's experience
Bezvoleva, Tatiana ; Holub, Tomáš (advisor) ; Raková, Marie (referee)
To date, three years into the first global financial and economic crisis of the XXI century, central banks find themselves with significantly expanded balance sheets as a result of the substantial support they provided to the markets through both conventional and unconventional monetary policy tools implemented in response to the turmoil. As the crisis loses its intensity, new policies need to be designed in order to unwind the significant support so as not to derail the recovery and not to pose risks to price and financial stability. For this a proper exit strategy needs to be designed. In the literature to date there is no well-defined notion to what an exit strategy is and, most importantly, there is no unique answer on the principles it should follow. In this thesis the author attempts to identify the determinants of a successful exit strategy and analyse the main challenges policymakers face when designing one. Additionally, the author places a great emphasis on the risks of premature and delayed exits and on the past experiences with this issue. The results are based, to a large degree, on extensive review of literature, which, due to the recent provenience of the problem and its acute importance, is represented in a big part by central bank authorities' speeches, conference papers and some very...
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Psychological Aspects of Decision Making in Creative Art Process
Holub, Tomáš ; Bahbouh, Radvan (advisor) ; Šípek, Jiří (referee)
(in English) The thesis explores decision making in creative artistic process in adults. The aim of this study is to determine what and how the adults reflect during an art activity and its aftermath, as well as what other phenomena occur in the creative process. The theoretical part is divided into four parts. The first section deals with decision making - the terminology and the three theories of intuitive decision making. The second part presents basic knowledge about creativity. The third part deals with the creative process and its models. The fourth one describes two methods used in the research. The empirical part consists of qualitative and quantitative research. The qualitative research was conducted using a semi-structured interview with 14 adults, who drew on stimulus matrix - scribbling, which was created for this purpose. The objective of the qualitative research was to map the decision making in the given activity. The purpose of the quantitative research was to compare the used scribbling method with the Torrance Figural Test of Creative Thinking. The results of both surveys are described in detail and discussed with the available literature. The conclusion of the thesis offers recommendations on the use of the collected data and possible further research on this topic. Klíčová slova...
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Reinforcement learning in Agent-based macroeconomic model
Vlk, Bořivoj ; Skuhrovec, Jiří (advisor) ; Holub, Tomáš (referee)
Utilizing game theory, learning automata and reinforcement learning concepts, thesis presents a computational model (simulation) based on general equilibrium theory and classical monetary model. Model is based on interacting Constructively Rational agents. Constructive Ratio- nality has been introduced in current literature as machine learning based concept that allows relaxing assumptions on modeled economic agents information and ex- pectations. Model experiences periodical endogenous crises (Fall in both production and con- sumption accompanied with rise in unemployment rate). Crises are caused by firms and households adopting to a change in price and wage levels. Price and wage level adjustments are necessary for the goods and labor market to clear in the presence of technological growth. Finally, model has good theoretical background and large potential for further de- velopment. Also, general properties of games of learning entities are examined, with special focus on sudden changes (shocks) in the game and behavior of game's play- ers, during recovery from which rigidities can emerge. JEL Classification D80, D83, C63, E32, C73, Keywords Learning, Information and Knowledge, Agent-based, Reinforcement learning, Business cycle, Stochastic and Dynamic Games, Simulation, Modeling Author's e-mail...
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ECB's Quantitative Easing - What Effects, Through Which Channels?
Husek, Daniel ; Holub, Tomáš (advisor) ; Lešanovská, Jitka (referee)
The paper analyzes the wide-economy impacts of the European Central Bank Expanded Asset Purchase Programme (ECB EAPP). The paper investigates the effects of the balance sheet change as well as the latent nature of unconventional policy tools and analyzes the effects by two distinct models, the Structural Vector Autoregressive (S-VAR) and Factor-Augmented VAR (FA-VAR). The paper further discusses the transmission channels of the monetary policy. The paper finds that the effect on the economy is materialized. The paper shows that the major channel of ECB unconventional policies on the real economy is driven by the response of nominal exchange rate and decline of interest rates.
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Inflation targeting in emerging market economies
Mašková, Veronika ; Holub, Tomáš (advisor) ; Dědek, Oldřich (referee)
The main objective of the thesis is to analyse the suitability of inflation targeting, a monetary policy regime which focuses on the achievement of the price stability, for the emerging market economies. The performance of inflation targeting countries is compared to the performance of non-inflation targeting countries which use other monetary policies such as the monetary aggregate target or exchange rate anchor. Regressions, using the difference-in-differences estimation approach, are run to assess the contribution of the inflation targeting framework to the development of economic variables such as the CPI, GDP, national interest rate etc. Economic outcomes of the financial crisis period (2007- 2010) are crucial part of the thesis. The convenience of the inflation targeting framework for the emerging market economies is derived. This holds also for the severe situations such as the crisis since it lowers the volatility of the main variables of the interest. Keywords: inflation targeting, monetary economics, monetary policy, emerging market economies, difference in differences estimation, financial crisis
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