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Growth dividend from the financial markets integration in the Eurozone after the adoption of the single currency
Hassairi, Nail ; Dědek, Oldřich (advisor) ; Gapko, Petr (referee)
The introduction of the common currency in part of the European Union was a landmark event. It raised eyebrows, expectations and gloomy forecasts. Optimists saw the currency bringing about efficiencies in variety of different ways and industries. This thesis is preoccupied with financial markets. The thesis of this work is that Euro triggered integration on financial markets in countries that joined the project of common currency. The work is trying to gauge this ongoing financial integration and find a measure that would represent it. After finding this measure it is a goal of this paper to estimate if the ongoing financial integration contributed to higher growth prospects in the economies involved.
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Renewable energy sources and project evaluation
Tošovský, Prokop ; Dědek, Oldřich (advisor) ; Kracík, Jiří (referee)
Firstly, this paper describes the European and particularly the Czech energy policy that aims to foster projects using renewable energy sources. The different European systems for supporting production of electricity from renewable energy sources are specifically discussed. These systems can be grouped into price-based and market-based systems and the specific rules usually differ from country to country. The Czech Republic uses the price-based system based on feed-in tariffs (green bonuses). The laws which support the production of electricity from renewable energy sources (particularly combined heat and power plants) are mentioned, focusing mainly on the description of the feed-in tariff system currently applied in the Czech Republic. An evaluation of a concrete project, combined heat and power plant using renewable sources of energy (biomass) as fuel, is carried out in the second part of the paper. This practical section uses the theoretical background and information given in the first part of the paper.
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The cost of carry model in stock index futures: theory and reality
Němcová, Marika ; Dědek, Oldřich (advisor) ; Kučera, Adam (referee)
The thesis investigates the pricing efficiency of the commonly used cost of carry model in pricing stock index futures and its applicability on the German blue-chip index DAX and related futures contracts in recent years. The work considers the deviations of the observed futures prices from their theoretical counterparts as well as the fitness of the model through regression analysis. The results show that while there are many deviations from the fair values suggested by the model these are small in magnitude when compared with the potential transaction costs implying the contracts are efficiently priced. It is confirmed that there is a cointegrating relationship between futures and spot index values, however, given the regression analysis results the prices do not entirely follow the model design. The other part of the analysis focuses on the behaviour of the basis throughout the life of the relevant futures contracts. The results suggest that there is indeed a decreasing tendency towards the expiration of a contract, nevertheless, it is subject to considerable fluctuations. The paper also documents other factors that might impact stock index futures prices yet not included in the standard pricing formula. JEL Classification C12, C14, C22, G13 Keywords stock index futures, futures pricing , cost of carry,...
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Application of Premiums and Discounts to the Company Valuation
Sokol, Jakub ; Dědek, Oldřich (advisor) ; Teplý, Petr (referee)
In the light of the current market downturn, the need of the most accurate valuation appears to be more crucial than ever before. This thesis provides the reader with both the theoretical and practical background of the use of valuation premiums and discounts which apply directly to the value of the company reached by conventional separate valuation techniques. The most important premiums and discounts we focus our attention on are control premium/minority interest discount and lack of liquidity discount. The thesis presents an overview of the basic methodology of the theoretical concepts related to the valuation premiums and discounts. Moreover, based on a sample of 202 mergers and acquisitions transactions of the companies listed in the Central and Eastern Europe ("CEE"), we examine the size and key determinants of the control premium applicable within the CEE region.
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Chinese Stock Markets: Underperformance and its Determinants
Kováč, Roman ; Báťa, Karel (advisor) ; Dědek, Oldřich (referee)
Performance of stock markets is determined by three classes of variables: macroeconomic indicators, industry & firm heterogeneity and third country effects. When assessing performance of a stock market index, impact of industry & firm heterogeneity is marginal as it is already embedded in the index through its constituent companies. This paper will therefore focus on the other two. Chinese stock market was selected as an application as their performance compared to other domestic indicators (mainly GDP growth) is considered inferior by many researchers. Using econometric framework for panel data and a Bayesian extension, the paper estimates multiple models of Chinese stock market performance examining individual determinants of it. Subsequently, it predicts development of theoretical prices of two main Chinese stock indices on two time samples until 2013. The paper then demonstrates underperformance of Chinese stock market by comparing the modeled prices to actual prices realized on the market. JEL Classification C23, C51, C53, G15, G17 Keywords underperformance, panel data, fixed effects model, Bayesian Model Averaging Author's e-mail roman_kovac@ymail.com Supervisor's e-mail karel.bata@seznam.cz
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Asset Price Bubbles: Housing Markets Data
Mrhal, Jakub ; Dědek, Oldřich (advisor) ; Streblov, Pavel (referee)
This study assess Prague real estate market from price level bubble existence point of view. For this purpose construct loglinear regression models for estimating price level of purchase and renting for several segments on the real estate market. These estimated price levels afterwards compare to theoretical price levels set by user cost concept, which employs fundamental factors such as capital costs, depreciation rates, personal income and property taxes, additional asset risk and expected capital gain. Study concludes that Prague real estate market does not currently experience positive price bubble, even one of the segments assess as underpriced.
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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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European Sovereign Debt Crisis
Bořuta, Michael ; Dědek, Oldřich (advisor) ; Baxa, Jaromír (referee)
Financial crisis exposed the bad state of European public finance. Budget deficits are so domesticated in Europe, that it is hard nowadays to encounter a budget surplus, or at least a balanced budget. Greece once again entered the history, but this time Greeks have absolutely nothing to be proud of. Financial crisis has reintroduced phenomenon known only from war periods - heavily indebted rich countries. European Union never imagined such situation could occur and threaten the existence of the Eurozone, so there was no plan B prepared. In the thesis we would like to analyze the process of finding the plan B. Hundreds of billions euro were spent on bailouts of heavily indebted Eurozone Members. Using case studies of the most affected Eurozone economies we want to decide if the Euro was the cause of the European debt crisis. In the last part we will discuss institutional changes of the EU designed to strengthen economic stability of the Eurozone.
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The Impact of Euro Adoption on Competitiveness: The Comparison of Czech Republic and Slovakia
Polyák, Oliver ; Dědek, Oldřich (advisor) ; Martišková, Monika (referee)
Bibliographic citation POLYÁK, Oliver (2013). The impact of Euro Adoption on Competitiveness: The comparison of Czech Republic and Slovakia. Prague, 2013. 74 p. Rigorous thesis (PhDr.) Charles University in Prague, Faculty of Social Sciences, Institute of Economic Studies. Rigorous thesis supervisor prof. Ing. Oldřich Dědek, CSc. Abstract The present rigorous thesis is focused on the impact of introducing the common European currency on competitiveness of a country. There has been a lot written about the possible effects of euro adoption on economies of the first eurozone participants. The contribution of this thesis is that we explore the impact of euro introduction on competitiveness of Slovakia, in comparison to the Czech Republic which still uses its own national currency. Our findings suggest that most of the analyzed competitiveness indicators evolved largely in parallel in both countries. Positive trade effects brought about by the introduction of the euro are rather moderate - up to 5%. Slovak credit development was more favorable during the crisis, reflecting lower interest rates in eurozone. On the other hand, high contributions to European stabilization funds may hamper Slovak economic growth and negatively influence country's competitiveness in future. Keywords competitiveness, euro adoption,...
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Determinants of International Tourists Inflows: The case of China
Zang, Yu ; Dědek, Oldřich (advisor) ; Benáček, Vladimír (referee)
This study is aim to evaluate the effect of five factors on the amount of tourists arrivals to China in those countries who have most visitors. To apply empirical estimation, a balanced panel data based gravity equation is established, with 22 countries and 15 years period (1998 - 2002). Our main estimates conclude that GDP per capita has a positive impact on the amount of tourists, as well as population, whereas exchange rate and distance will deter the amounts of tourists. Unfortunately PPP conversion factor also has a positive impact but not as expected. The findings of this study will fill the gap of relative literatures for China and provide another evidence of gravity model.
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