National Repository of Grey Literature 68 records found  1 - 10nextend  jump to record: Search took 0.00 seconds. 
Rule-of-thumb consumers in the New Keynesian framework
Adam, Tomáš ; Baxa, Jaromír (advisor) ; Čech, Jan (referee)
iv Abstract This thesis investigates the effects of government spend- ing on aggregate economic variables in the Czech Republic. The standard RBC and New Keynesian models assume only forward-looking households despite the evidence of a sig- nificant fraction of non-optimizing households. These mod- els do not provide reasonable predictions for the response of consumption: both models predict its fall following a gov- ernment spending shock. Therefore, a variant of the New Keynesian model, where rule-of-thumb households coexist with optimizing households, is used for the analysis. We have found that fiscal policy has a positive impact on output, although government spending multiplier does not exceed one. Also, the impact on consumption is positive for several periods following a fiscal spending shock, which is consistent with the evidence. JEL Classification: C32, E32, E62 Keywords: fiscal policy, fiscal multipliers, fiscal VAR, rule- of-thumb consumers
Manipulation through Evaluative Voting in the State Cinematography Fund
Pham, Petr ; Gregor, Martin (advisor) ; Adam, Tomáš (referee)
The goal of this thesis is to examine the use of evaluative voting in the Board of the Cinematography Fund, which is responsible for the public subsidies in the film industry. A dataset covering results of calls for support in the period of 2013-2017 is used. A logistic regression model is constructed to assess the probability to succeed in such a call. Potential extent of manipulation among members of the Board is analysed with game theoretic approach, where agents misreport their true preferences. The results of this thesis are in line with the literature on social choice theory and suggest a great susceptibility to exploitation in the committee.
Liquidity on euro area money markets and unconventional monetary policy
Majerová, Barbora ; Adam, Tomáš (advisor) ; Havránek, Tomáš (referee)
The aim of this thesis is to estimate the effectiveness of the ECB's measures, namely of the Long-term refinancing operations (LTROs), on the liquidity and credit risk components. These components are estimated according De Socio (2011) methodology, which derives them from the Euribor-Eonia swap spread. The author's hypothesis, that the LTROs have a higher impact on liquidity risk and very small impact on the credit risk, has been confirmed based on impulse response functions from a VAR model. Other parts of the thesis introduce the development on the financial markets during the period 2002 - mid 2007; the liquidity (market, funding and central bank liquidity) and liquidity risks connected to them; development of secured and unsecured money market rates and more importantly the ECB's unconventional monetary policy measures, which were conducted since the crises started.
Arrow-Debreu Model of General Equilibrium
Juřena, Filip ; Červinka, Michal (advisor) ; Adam, Tomáš (referee)
Arrow-Debreu Model of General Equilibrium Filip Juřena Abstract In this thesis, we deal with the Arrow-Debreu model of general equilibrium, which is an integrated model of production, exchange and consumption. At the beginning, we present and discuss the original assumptions of the Arrow-Debreu model, i.e. the assumptions introduced by Kenneth J. Arrow and Gerard Debreu in 1954. Under these assumptions, Arrow and Debreu proved the existence of a general equilibrium. As a part of the proof, Arrow and Debreu showed that the equilibria of their model are the same as the equilibria of an abstract economy, or a generalized Nash equilibrium problem (GNEP). We describe the GNEP and look at whether there is a connection which allows to apply results developed by researchers from other disciplines to the Arrow-Debreu model. A part of the thesis is dedicated to a two-factor, two-commodity, two-consumer model, which is based on the original assumptions of Arrow and Debreu. In order to find the solution, we use a method called applied general equilibrium modelling and a software called GAMS. We examine the impact of better technology and taxes on consumers and producers. We have brief remarks on applications of the model at the end.
Modeling of Long Memory in Volatility Using Wavelets
Kraicová, Lucie ; Baruník, Jozef (advisor) ; Adam, Tomáš (referee)
ii Abstract This thesis focuses on one of the attractive topics of current financial literature, the application of wavelet-based methods in volatility modeling. It introduces a new, wavelet-based estimator (wavelet Whittle estimator) of a FIEGARCH model, ARCH- family model capturing long-memory and asymmetry in volatility, and studies its properties. Based on an extensive Monte Carlo experiment, both the behavior of the new estimator in various situations and its relative performance with respect to two more traditional estimators (maximum likelihood estimator and Fourier-based Whittle estimator) are assessed, along with practical aspects of its application. Possible solutions are proposed for most of the issues detected, including suggestion of a new specification of the estimator. This uses maximal overlap discrete wavelet transform instead of the traditionally used discrete wavelet transform, which should improve the estimator performance in all its applications, not only in the case of FIEGARCH model estimation. The thesis concludes that, after optimization of the estimation setup, the wavelet-based estimator may become an attractive robust alternative to the traditional methods.
Modelling and comperative analysis of volatility spillover between US, Czech Republic and Serbian stock markets
Marković, Jelena ; Pečená, Magda (advisor) ; Adam, Tomáš (referee)
MASTER THESIS MODELLING AND COMPARATIVE ANALYZES OF VOLATILITY SPILLOVER BETWEEN US, CZECH REPUBLIC AND SERBIAN STOCK MARKETS Abstract This paper estimates Serbian, Czech and US stock markets volatility. Few studies analyzed stock market linkages for these three markets. The mean equation is estimated using the vector auto- regression model. The second moments is further estimated using different multivariate GARCH models. We find that current conditional volatilities for each stock is highly affected by the past innovations. Cross-market correlations are significant as well. However, there is a higher conditional correlation between Czech and US stock market indices compared to the conditional correlation between Serbian and US stock indices.
Three essays on empirical Bayesian econometrics
Adam, Tomáš ; Komárek, Luboš (advisor) ; Feldkircher, Martin (referee) ; Herrala, Risto (referee) ; Melecký, Martin (referee)
The dissertation consists of three papers which apply Bayesian econometric techniques to monitoring macroeconomic and macro-financial developments in the economy. Its aim is to illustrate how Bayesian methods can be employed in standard areas of economic research (estimating systemic risk in the banking sectors, nowcasting GDP growth) and also in a more original area (monitoring developments in sovereign bond markets). In the first essay, we address a task which analytical departments in central banks or commercial banks face very often - nowcasting foreign demand of a small open economy. On the example of the Czech economy, we propose an approach to nowcast foreign GDP growth rates for the Czech economy. For presentation purposes, we focus on three major trading partners: Germany, Slovakia and France. We opt for a simple method which is very general and which has proved successful in the literature: the method based on bridge equation models. A battery of models is evaluated based on a pseudo-real- time forecasting exercise. The results for Germany and France suggest that the models are more successful at backcasting, nowcasting and forecasting than the naive random walk benchmark model. At the same time, the various models considered are more or less successful depending on the forecast horizon....
Treasure islands: the economic analysis of tax havens
Filip, Ondřej ; Janský, Petr (advisor) ; Adam, Tomáš (referee)
Bachelor Thesis Abstract This thesis strives to introduce a wider notion of tax havens. We alter a traditional paradigm by investigating tax havens' influence on economic performance of other countries. The first part of the thesis copes with issues implied by the absence of a suitable tax haven's definition which results in compiling an inclusive list of havens. Subsequently, we present a data-based description of the identified tax havens with an emphasis on several widely-held assertions. The second part delivers an empirical analysis. It illustrates the role of tax havens as financial intermediaries. We examined whether the volumes of capital flows between non-havens and tax havens correspond to the sizes of the counterpart economies and to their mutual distance. Foremost, we found intensified capital flows between tax havens and large non-haven countries in their close proximity. The thesis concludes by a discussion of results.
Helicopter Drop of Money - Is It Feasible in Practice?
Gábrišová, Nela ; Holub, Tomáš (advisor) ; Adam, Tomáš (referee)
The main goal of this thesis is to discuss the famous Milton Friedman's concept of Helicopter Drop of Money in context of its applicability in the real world as a possible solution to liquidity trap. For better understanding, the thesis briefly de- scribes conduct of traditional and unconventional monetary policies. Key focus is put on describing assumptions necessary for the concept to yield desirable economic outcomes, and on detailed analysis of periods when zero lower bound on nominal interest rates is binding. Furthermore, roles of agents involved in execution of the concept, and important channels of transmission process are discussed from idealised theoretical view to real world possibilities of feasible execution. Additionally, prac- tical experience with direct cash distribution in Australia, and with quantitative easing programmes in Japan and the USA are explained. The last part analyses effects of increased monetary base on CPI inflation, money multiplier M2, and GDP in Japan and the USA using vector autoregression. JEL Classificiation E31, E43, E51, E52 Keywords Helicopter drop of money, quantitative easing, monetary base, liquidity trap, zero lower bound Author's email nela.gabrisova@gmail.com Supervisor's email tomas.holub@cnb.cz
Molecular genetic and biochemical studies of selected inherited metabolic disorders, development and applications of new methods
Mušálková, Dita ; Hřebíček, Martin (advisor) ; Adam, Tomáš (referee) ; Macek, Milan (referee)
Inherited metabolic disorders (IMD) form a diverse group of several hundred different diseases with a relatively high cumulative incidence (stated up to 1:600). They are associated with accumulation of the substrates and lack of the products in specific metabolic pathways, which is caused by deficiency of the enzyme or its activator, or dysfunction of the transport protein. However, the underlying cause is at the DNA level. The grounds for different phenotype manifestation in patients with the same genotype are often not known. During my work at the Institute of Inherited Metabolic Disorders, I designed several new methods for the research of IMD and applied them in the patients and their families. I created procedures for the isolation of lysosomal membranes that are used for the research of lysosomal storage disorders and general properties of lysosomes. Next, I introduced several novel assays for determination of the X-inactivation ratio, which led to a significant increase of informative women. Nowadays, we use these methods in heterozygous women with X-linked diseases in order to study the influence of X-inactivation on the manifestation of the diseases. The cases of a girl with mucopolysaccharidosis type II, a girl with OTC deficiency and a family with the mutation in HPRT1 gene are described...

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