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Exchange Rate Pass - Through to Domestic Prices: The Case of the Czech Republic
Hájek, Jan ; Horváth, Roman (advisor) ; Benčík, Daniel (referee)
In this thesis, we examine the exchange rate pass-through phenomenon in the Czech Re- public over 1998:1-2014:1 period. As our vector autoregression results indicate, short-term pass-through effect slowed down and prolongated its duration substantially. Consequently, the accumulated value to be transmitted increased compared to previous findings. In the case of exchange rate pass-through effect to CPI, the accumulated response after 18 months accounts for about 40-60 per cent. In this regard, our time-varying results using unique Chebyshev Time Polynomials points to period 2008-2014 to be the leading cause. It seems that during macroeconomically less stable periods the exchange rate pass-through in the Czech Republic tends to increase. Even though the consensus on the pass-through lev- els and its development over time is rather scarce, we find support for our conclusions. More interestingly, having in mind November's currency interventions of the Czech Na- tional Bank to weaken koruna (and thus avoiding deflation), our results reveal that this measure has become much more effective in the latest years (as consequence of the crisis) than previous literature suggested. Following up on that, it seems that exchange rate regained some of its rather historical importance while conducting monetary policy...
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Exchange Rate Pass-Through to Domestic Prices: The Case of the Czech Republic
Hájek, Jan ; Horváth, Roman (advisor) ; Benčík, Daniel (referee)
In this thesis, we examine the exchange rate pass-through phenomenon in the Czech Re- public over 1998:1-2014:1 period. As our vector autoregression results indicate, short-term pass-through effect slowed down and prolongated its duration substantially. Consequently, the accumulated value to be transmitted increased compared to previous findings. In the case of exchange rate pass-through effect to CPI, the accumulated response after 18 months accounts for about 40-60 per cent. In this regard, our time-varying results using unique Chebyshev Time Polynomials points to period 2008-2014 to be the leading cause. It seems that during macroeconomically less stable periods the exchange rate pass-through in the Czech Republic tends to increase. Even though the consensus on the pass-through lev- els and its development over time is rather scarce, we find support for our conclusions. More interestingly, having in mind November's currency interventions of the Czech Na- tional Bank to weaken koruna (and thus avoiding deflation), our results reveal that this measure has become much more effective in the latest years (as consequence of the crisis) than previous literature suggested. Following up on that, it seems that exchange rate regained some of its rather historical importance while conducting monetary policy...
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Are the more popular stocks also the more risky ones?: Google and Wikipedia searches in portfolio optimization
Brunová, Kristýna ; Krištoufek, Ladislav (advisor) ; Benčík, Daniel (referee)
This thesis studies if the web search data provided by Google Trends and Wikipedia can be utilized for portfolio diversification. We build up on the empirical results indicating that the surge in online attention paid towards a specific stock is associated with an increase in the stock price volatility. Therefore, we employ a diversification strategy that discriminates for the popularity of a stock by assigning it a lower portfolio weight. Conversely, the least searched stocks are preferred in the portfolio. To measure the popularity of a stock, we focus on Google search volume for stock-related terms as well as on Wikipedia pageviews of the corresponding company's page. Our results show that the search-based strategies outperform the benchmark index and the uniformly distributed portfolio, reaching lower risk level and higher standardized average returns. Moreover, these strategies are successful even in the out-of-sample.
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Impact of ICT Investments on Different Levels of an Economy
Andoková, Senta ; Cahlík, Tomáš (advisor) ; Benčík, Daniel (referee)
This work analyzes the impact of investments in information and communication technologies (ICT) at the level of states, firms and households. Its contribution lies in the transparency of theoretical views of the role of ICT at the respective levels of the economy and also in the form of an econometric model studying the impact of ICT investments on GDP. The work describes some causes of ambiguous impact of ICT on statistical tables and then uses the Cobb-Douglas production function to define the components of economic growth (represented by GDP). The numerical contribution of each factor is compared between the USA and the EU throughout the periods 1980-1995 and 1995-2001. The look on companies is focused mainly on the role of ICT use in work process and its impact on the economic operation of the companies. To what extent are these firms affecting employment and wages is the main theme of the section related to households. The work showed that very similar procedures are necessary for all of the aforementioned levels of the economy for the desired result of ICT investments. An empirical analysis of 20 European countries during the period 2003-2008 proved positive impact of ICT investments on GDP. The results of the model, however, served more evidence of the significance of the ICT sector. The...
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The Impact of an Announcement of a New Car Model on the Price of Stocks of Automobile Companies
Micenko, Ján ; Krištoufek, Ladislav (advisor) ; Benčík, Daniel (referee)
This work studies the impact of an introduction of a new car model on the stocks of the introducing company and its rivals and also the impact of an earnings announcement on the stocks of the introducing company. I use two different approaches to explore these effects, one focusing on the stock returns through the CAPM and the other focusing on the volatility of stocks using GARCH model. I found that the new model introduction has a significant positive effect on the returns of stocks of the announcing company but I found no definite effect on the returns of stocks of the competition. Moreover, I found that the new model introduction has no effect on the volatility of stocks of the announcing company and similarly I found no definite effect on the volatility of stocks of the competition. Furthermore, I found that the earnings announcement has no definite effect on the stock returns of the announcing company but that it has a significant positive effect on the volatility.
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Cost Benefit Analysis of Wind Power in Germany
Labunets, Nazariy ; Zajíček, Miroslav (advisor) ; Benčík, Daniel (referee)
The objective of this thesis is to perform a cost benefits analysis of the wind power sector in Germany, with the horizon of 2030. Various costs and benefits stemming from the expansion of wind power are inferred from literature review and studying the peculiarities of the German case. The magnitude of governmental support is calculated by applying the Weibull distribution of wind at different zones across Germany and power curves of 5 modern wind turbines, as specified by the law. A number of sensitivity analyses is performed on the main inputs for onshore installations. Under the baseline assumptions, the onshore sector is found as non-beneficial to the society, without a visible improving trend for the future. While the offshore sector does not reach a point where the benefits would start overweighing the cost until 2030, the overall trend look much more promising. Powered by TCPDF (www.tcpdf.org)
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Efficiency of the prediction markets: case of Intrade
Brandejs, David ; Dózsa, Martin (advisor) ; Benčík, Daniel (referee)
1 Abstract Bachelor thesis confirms weak market efficiency hypothesis for political events, which took place on Intrade prediction market and finished between 1. October and 31. December 2012. Three unit root tests, ADF GLS, KPSS and Lo-Mackinlay test proved on 5% confidence level, that 140 of 191 tested political events is weakly market efficient, which means high relative market efficiency (73,3%). Testing out-of-political markets shows significantly lower market efficiency. Logit model rejected on 5% confidence level the assumption, that total volume of traded shares is significant parameter for the estimation of market efficiency. Keywords Prediction market, Intrade, efficiency market hy- pothesis, relative market efficiency, ADF test, KPSS test Author's e-mail David.Brandejs@seznam.cz Supervisor's e-mail Martin@Dozsa.cz
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Range-based volatility estimation and forecasting
Benčík, Daniel ; Baruník, Jozef (advisor) ; Krištoufek, Ladislav (referee)
In this thesis, we analyze new possibilities in predicting daily ranges, i.e. the differences between daily high and low prices. The main focus of our work lies in investigating how models commonly used for daily ranges modeling can be enhanced to provide better forecasts. In this respect, we explore the added benefit of using more efficient volatility measures as predictors of daily ranges. Volatility measures considered in this work include realized measures of variance (realized range, realized variance) and range-based volatility measures (Parkinson, Garman & Klass, Rogers & Satchell, etc). As a subtask, we empirically assess efficiency gains in volatility estimation when using range-based estimators as opposed to simple daily ranges. As another venue of research in this work, we analyze the added benefit of slicing the trading day into different sessions based on trading activity (e.g. Asian, European and American session). In this setting we analyze whether whole-day volatility measures reliably aggregate information coming from all trading sessions. We are led by intuition that different sessions exhibit significantly different characteristics due to different order book thicknesses and trading activity in general. Thus these sessions are expected to provide valuable information concealed in...
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Modeling financial markets using heterogenous agent models
Benčík, Daniel ; Vácha, Lukáš (advisor) ; Baruník, Jozef (referee)
This thesis deals with the application of heterogeneous agent models (HAM) in the area of financial markets. In the first part, we introduce the concept of HAMs, review examples of several earlier models in order to provide the reader with a general picture of applications of HAMs in finance. Subsequently, we move on to describe the original model developed by Brock, Hommes (1998) and continue by describing modifications proposed by Barunik, Vacha and Vosvrda (2009). Next, we move to the analysis of the modified model's behavior, including its ability to simulate stylized facts observed in real financial markets. In the last part of this work, we provide descriptions of our simulation/experimental setups and conclude by summarizing the results of these. We finish this thesis by suggesting possible future research topics regarding the investigated model that might shed more light on its behavior and thus hopefully enhance our understanding of how real financial markets operate.
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Near duplicate detection in large document collections
Benčík, Daniel ; Kopecký, Michal (referee) ; Pecina, Pavel (advisor)
This thesis deals with the problematics of detecting documents, which are so similair one to another, that we can consider them to be (nearly) identical and that in collections having up to millions of documents. The greatest aim of this thesis is a comparison of new, fast algorithms designed to solve this task with current algorithms, which due to their complexitiy cannot be used for large collections. The thesis contains an implementation of both new and current methods of solving the given task toghether with applications that are designed to experimentally compare these methods.
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