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Natural Catastrophes and Financial Development
Mikulíková, Pavla ; Horváth, Roman (advisor) ; Jakubík, Petr (referee)
Master's thesis - Natural Catastrophes and Financial Development Pavla Mikul'ıkov'a Academic year 2022/2023 Natural disasters affect lives of many people every year. Using a panel dataset of 214 countries from 1970 to 2021, this thesis analyses the impact of disasters on financial development, namely on depth, efficiency, access, and sta- bility, using fixed effects and system GMM estimators. The main findings imply that depth and stability are negatively affected by disasters, and the impact is more pronounced for lower-income countries. On the other hand, efficiency and access provide no consistent results. There is no type of disasters, e.g., biologi- cal or geophysical, that would have a significant impact on all types of financial development. The effect probably varies due to the different characteristics of disaster types. 1
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Notions of Sexuality and Gender Identity in the Marvel Company Production
HORVÁTH, Roman
The diploma thesis deals with the analysis of forms of sexuality and gender identity in the production of the Marvel company and focuses on comics. It examines the representation of sexuality and gender identity in comics. The stereotyping of the depiction of female heroines is also analysed and focuses on the representation of masculinity, femininity and queer signs. At the same time, it seeks to analyse gender stereotypes in the construction of female heroines using the psychoanalytic concept of male gaze. The development of these topics is also interspersed with socio-cultural context. The aim is also to view and analyse the possible impact of emancipation movements and historical events to comic book creation. The work can be split into two parts, of which the first theoretical part contains chapters focusing on the theory of comics from the comic book theorist Scott McCloud. It also focuses on the formal elements of comics supplemented by the theory of Martin Foret. The following parts are devoted to the methodology of comics, based on the theory of Michal Uhl. In the following chapters, there are topics such as the corporeality of the heroes and their representations, the history of Marvel and issues of gender, identity and sexuality. The next part is already devoted to the analysis of comics, which by its nature is rather a compilation of partial texts. The analytical texts focus on Captain America, Black Widow, X-Men and Mutants in the overall context and a group of Young Avengers heroes, which explore themes such as the interconnectedness of propaganda and embodiment, feminism and emancipation of female heroines, queer themes as a metaphor for mutantism and stereotypical representation of gay heroes.
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Dutch disease in Russia
Havelka, Robert ; Horváth, Roman (advisor) ; Kukačka, Jiří (referee)
Dutch disease in Russia Robert Havelka Abstract Dutch Disease offers formal explanation to the so-called "Resource curse". Detection of Dutch Disease is divided into individual symptoms. We study the case of Russia, i.e. country which possesses significant reserves of natural resources. Long-term relationship between oil price and Russian real exchange rate was not established (1st symptom), but we find evidence of growth and fall of overall wage level in Russia as predicted by Dutch Disease (2nd symptom). We have been able to find statistically significant long-term relationship between Russian GDP, oil price and crude oil export volumes (3rd symptom). Oil price is found to have positive impact on the output of manufacturing sector, which implies Russian economy is to even larger extent vulnerable to oil price shocks. Last link is in direct contradiction with predictions of our model, but it is likely the result of Russian manufacturing sector not being entirely "non-oil", or that some manufacturing sub-sectors are not producing tradable goods. JEL Classication F30, P28, Q30 Keywords Dutch disease, Russia, exchange rate Author's e-mail robberthz.cz@gmail.com Supervisor's e-mail roman.horvath@gmail.com
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External rating Validation
Lapešová, Michaela ; Pečená, Magda (advisor) ; Horváth, Roman (referee)
The growing importance of external rating may draw increased attention to the reliability of credit risk evaluation. The aim of this thesis is to analyze a contemporary external rating position as an instrument for evaluation of a subject's ability to meet its obligations. The study provides theoretical foundations of credit risk modeling as well as empirical application to a collected data set. For the sake of validation of a selected rating system a simple default study is presented on the basis of this data set. Limited information allows just for a brief survey of short rating history in the Czech Republic. The world rating history is comprehensive and it becomes an integral part of clients' creditworthiness assessment within the New Basel Capital Accord. With its growing importance the rating has been recently facing criticism. The thesis focuses mainly on the comments on the cyclical tendencies of rating and provides and empirical analysis using data from CEE countries.
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Google Econometrics: An Application to the Czech Republic
Platil, Lukáš ; Horváth, Roman (advisor) ; Červinka, Michal (referee)
This thesis examines the applicability of Google Econometrics - the use of search volume data of particular queries as explanatory variables in time se- ries modeling - in the case of the Czech Republic. We analyze the contribu- tion of Google data by comparing out-of-sample nowcasting performance and in-sample fit with control variables in three related areas: using an auto- regressive model for unemployment, vector autoregression and logit models for GDP and household consumption, and Granger causality test for consum- er confidence. The improvement in quality of unemployment nowcasting is modest but statistically significant; sentiment index based on Google queries shows reciprocal relationship with the official Consumer Confidence Indicator, and it also provides superior nowcasts for household consumption as well as in- sample fit in logit models; its performance in GDP nowcasting is average among control variables. These conclusions proved stable also on an extended dataset. In overall, the results suggest that Google Econometrics is applicable also to the Czech Republic, despite the fact that the internet penetration rate and Google popularity was lower over the analyzed period compared with developed economies where these methods were usually tested. In the future, Google data may be used...
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Volatility Spillovers in New Member States: A Bayesian Model
Janhuba, Radek ; Horváth, Roman (advisor) ; Červinka, Michal (referee)
Volatility spillovers in stock markets have become an important phenomenon, especially in times of crises. Mechanisms of shock transmission from one mar- ket to another are important for the international portfolio diversification. Our thesis examines impulse responses and variance decomposition of main stock in- dices in emerging Central European markets (Czech Republic, Poland, Slovakia and Hungary) in the period of January 2007 to August 2009. Two models are used: A vector autoregression (VAR) model with constant variance of resid- uals and a time varying parameter vector autoregression (TVP-VAR) model with a stochastic volatility. Opposingly of other comparable studies, Bayesian methods are used in both models. Our results confirm the presence of volatility spillovers among all markets. Interestingly, we find significant opposite trans- mission of shocks from Czech Republic to Poland and Hungary, suggesting that investors see the Central European exchanges as separate markets. Bibliographic Record Janhuba, R. (2012): Volatility Spillovers in New Member States: A Bayesian Model. Master thesis, Charles University in Prague, Faculty of Social Sciences, Institute of Economic Studies. Supervisor: doc. Roman Horváth Ph.D. JEL Classification C11, C32, C58, G01, G11, G14 Keywords Volatility spillovers,...
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Two Essays on the Modeling of Monetary Policy Transmission Mechanism
Rusnák, Marek ; Horváth, Roman (advisor) ; Svoboda, Svatopluk (referee)
In first essay, we investigate the evolution of monetary policy transmission mechanism in the Czech Republic over 1993:1 - 2009:9 period by employing time varying parameters Bayesian vector autoregression model with stochastic volatility. We document relative stability of monetary policy transmission mechanism over time. However, there is some evidence that the transmission to prices was weakened temporarily during the climax of the financial crisis, but appear to be back to its pre-crisis strength already in the second half of 2009. Further, we augment the estimated system with a financial variable to investigate the significance of financial shocks for the transmission. The results suggest that financial shocks indeed play relatively important role in explaining the fluctuations of the output and prices. Second essay presents a meta-analysis of the effects of a monetary policy shock on prices. First, we present some summary statistics that document the pervasiveness of the price puzzle, which denotes an increase in the price level following a contractionary monetary policy shock, in the results of empirical studies. Next, using meta-regression methods such as funnel asymmetry test, we find the evidence of publication selection bias that increases with the horizon studied. Finally, we use explanatory...
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Two Essays on Inflation Targeting
Matějů, Jakub ; Horváth, Roman (advisor) ; Holub, Tomáš (referee)
Title: Two Essays on Inflation Targeting Author: Mgr. Jakub Matějů Department: Institute of Economic Studies Supervisor: Roman Horváth, PhD. Abstract: The thesis consists of two essays on inflation targeting. The first essay examines how do monetary authorities set their inflation targets. Survey of central banks' communication regarding the target is presented, theoretical model is developed and finally empirical analysis is conducted on a panel of inflation targeting countries. This pioneering analysis of the topic leads us to conclusion that inflation targets are influenced by more variables than central banks admit. In addition to past and foreign inflation, inflation variability and GDP growth we find significant impact of central bank credibility and other institutional factors. The short second essay surveys literature assessing performance of inflation targeting and outlines perspectives of inflation targeting as a monetary policy framework. The conclusion is that if inflation targeting central banks stick to their best practice in transparency and communication and remain open to innovations, inflation targeting will have a good chance to score well even in the periods of turmoil.
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Low Interest Rates and Asset Price Fluctuations: Empirical Evidence
Ali, Bano ; Horváth, Roman (advisor) ; Vácha, Lukáš (referee)
The thesis focuses on estimating the effect of expansionary monetary policy concerning asset prices, specifically house and stock prices as they are of pri- mary importance in financial markets. A structural vector autoregressive model is used including data for the Euro Area, the United Kingdom, and the United States from 2007 to 2017. Moreover, instead of short-term nominal interest rate, the shadow policy rate is used to measure the stance of both conventional and unconventional monetary policy. It is useful when policy rates of central banks are at or near zero as it neglects the zero-lower bound. Using both impulse response functions and forecast error variance decomposition, results suggest that higher interest rates are indeed associated with lower asset prices. That is confirmed by including two different estimates of shadow rates into the model and observing the effect for two specific types of assets. More precisely, house prices react almost immediately showing the most substantial decrease for the United Kingdom, while stock prices slightly increase at first and de- crease afterward with similar size of the effect for all areas under consideration. Finally, the discussion of how the monetary authority should react to asset price fluctuations is provided, summarizing the vast amount of literature...
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Inflation Target Setting in Emerging Markets
Orosz, Előd ; Horváth, Roman (advisor) ; Herrmannová, Lenka (referee)
This thesis focuses on emerging market economies which are using inflation targeting as a monetary policy framework. We present an analyses of development of inflation target in emerging market economies and detected its determinants by econometric methods. We used Random Effects Interval Regression, Ordinary Least Squares, Random Effects Generalized Least Squares and Fixed Effects estimator. The thesis contains two main parts. First part surveys theoretical background of inflation targeting focusing on emerging markets. Second part contains an empirical study on inflation targeting. We find out that inflation target in emerging countries is affected by more factors than central banks report. Moreover we found out that price level has an inverse effect on inflation target if we examine just emerging countries, than if we examine whole group of inflation targeting countries.
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