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Deflation and Its Implications for Macroeconomic Stability in Europe
Gorobetchi, Marina ; Ryska, Pavel (advisor) ; Kočenda, Evžen (referee)
The subject of this thesis is the relationship that exists between deflation and the macroeconomic stability of the economy. Much literature has been published on this topic, but there is still a dearth of quantitative research based on strong empirical work. In the present work I have used a set of large panel data composed of 18 countries over 34 years in order to analyze the relationship between changes in inflation and output growth in a more complete and rigorous fashion. I use 3 different econometric models, namely fixed effects, random effects and the generalized method of moments. I chose these models in order to more appropriately examine the contemporaneous and lagged correlation between prices and output of countries. I also introduced foreign direct investment as a control variable to avoid the presence of potential bias. The empirical work presented in this paper leads to several findings. First, there is an insignificant relationship between a country's GDP growth and its deflation rate. Second, the relation between inflation and GDP growth is significant, and this relation becomes even positive when the econometric model is conducted on the data excluding outliers. Third, FDI positively contributes to and is partly responsible for the level of economic growth of the countries...
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Wavelet-based Realized Variation and Covariation Theory
Baruník, Jozef ; Vošvrda, Miloslav (advisor) ; Kočenda, Evžen (referee) ; Di Matteo, Tiziana (referee) ; Veredas, David (referee)
English Abstract The study of volatility and covariation has become one of the most active and successful areas of research in time series econometrics and economic forecasting in recent decades. This dissertation contains a complete theory for realized variation and covariation estima- tion, generalizing current knowledge and taking the estimation into the time-frequency domain for the first time. The first part of the theory presents a wavelet-based realized variation theory, while the second part introduces its multivariate counterpart, a wavelet- based realized covariation theory. The results generalize the popular realized volatility framework by bringing robustness to noise as well as jumps and the ability to measure realized variation and covariation not only in the time domain, but also in the frequency domain. The theory is also tested in a numerical study of the small sample performance of the estimators and compared to other popular realized variation estimators under dif- ferent simulation settings with changing noise as well as jump level. The results reveal that our wavelet-based theory is able to estimate the realized measures with the greatest precision. Another notable contribution lies in the application of the presented theory. Our time-frequency estimators not only produce more efficient...
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Essays on International Currency Markets
Poghosyan, Tigran ; Kočenda, Evžen (advisor) ; Orlowski, Lucjan (referee) ; Kutan, Ali M. (referee)
1 ABSTRACT Essays on International Currency Markets By Tigran Poghosyan This dissertation consists of three essays on foreign exchange risks in international financial markets and financial integration in the new EU member countries. The first essay focuses on the determinants of foreign exchange risks in post-transition economies. Using a unique dataset on foreign and domestic currency denominated deposit rates in Armenia, we estimate excess returns on foreign exchange operations, which are free from the impact of country risk and transaction costs. The calculated excess returns are largely positive (existence of the premium for risk) and exhibit substantial variation over time. The two-currency interdependent factor affine term structure model captures the time- variability of the risk premium and predicts that the Central Bank interventions in the foreign exchange market and ratio of volumes of foreign and domestic currency denominated deposits (proxy for external shocks) are important explanatory variables driving the premium. The GARCH-in-Mean approach supports the previous conclusion and suggests that the Central Bank interventions (policy factor) are significant for the premium on the short horizon, while deposit ratios (fundamental factor) are more influential on the long horizon. It was also found...
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Monetary Policy, Inflation and Dollarization in the Economies of Central Asia
Isakova, Asel ; Kočenda, Evžen (advisor) ; Čihák, Martin (referee) ; Wouters, Rafael (referee)
The present dissertation consists of three studies on the issues of inflation, monetary policy effects and dollarization in three economies in Central Asia-Kazakhstan, the Kyrgyz Republic and Tajikistan. These economies have undergone a deep transformation from central planning to market economies. The profound economic transformation which took place after these countries became independent, combined with liberalization of prices and trade, resulted in hyperinflation, general economic instability, and large fiscal and external imbalances. Central banks in the region had managed to combine the policies and tools to take control of inflation in the late 1990s. This was the period when positive economic growth was observed in the region. A negative shock for these countries was caused by the Russian crisis in 1998, though the consequences of this financial turmoil were softened by the measures of the regional central banks concerning the flexibility of the exchange rates. Since 2000, these economies have been characterized by single-digit inflation rates, except Tajikistan, and high positive economic growth. The monetary policy framework has evolved over the transition period. Macroeconomic stabilization has brought important developments in the financial systems of the countries while at the same time a need...
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Essays on Interest Rates and Credit Risk
Vojtek, Martin ; Kočenda, Evžen (advisor) ; Palda, Filip (referee) ; Čihák, Martin (referee)
This dissertation addresses inefficiencies and problems in the financial markets of post-transition countries, which denies the use of standard estimation techniques. It focuses on interest rate markets and empirically analyzes the situation in the countries that joined the EU in May 2004. These countries underwent significant changes over the last two decades and markets in these countries are often not stable and not developed. In my dissertation I am conducting research in the areas where the empirical results are very scarce. A deeper understanding of the specifics in the markets of post-transition countries can be very helpful for example in designing policy measures touching these markets.
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Forecasting the Exchange Rate in the Czech Republic Using Non-linear Threshold Models
Žák, Petr ; Stráský, Josef (advisor) ; Kočenda, Evžen (referee)
The aim of this thesis is to analyze the performance of nonlinear threshold models in forecasting the exchange rate of Czech koruna against EUR. Data for this study were obtained from Statistical Data Warehouse of European Central Bank (ECB) website, from Czech National Bank (CNB) Board decisions minutes and from the press releases of Governing Council of ECB. The data set was split into two periods - from 1999 until November, 2013 when CNB started to use interventions and from November, 2013 until April, 2016. Models used in the thesis are Self-Exciting Threshold Auto Regressive (SETAR) models with one and two thresholds and two Threshold Auto Regres- sive (TAR) models with different threshold variables - meetings of CNB Board as dummy variable and average volatility over recent periods. The forecasting results indicate that SETAR models did not outperform Random Walk in any period. TAR models offered promising results in the period before interventions and surprisingly failed in the period during interventions. This study supports the general belief of exchange rates being difficult to forecast and that it holds in case of Czech koruna as well. JEL Classification F12, F21, F23 H25, H71, H87 Keywords forecasting, exchange rate, time series, nonlin- earity, SETAR, TAR Author's e-mail zaka.one@gmail.com...
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Volatility of Euro: Trends and Modelling
Böhm, Petr ; Hanousek, Jan (referee) ; Kočenda, Evžen (advisor)
The main objective of this work is to model volatility of Euro to Czech Koruna exchange rate between 1.1.1999 and 30.12.2005 and investigate changes in its behaviour. In order to achieve this we search for structural breaks in exchange rate time series. We model the conditional variance with ARCH model (autoregressive conditional heteroscedasticity) between particular break points. Our findings are that since year 2002 volatility of Euro to Koruna exchange rate has been decreasing. This conclusion is confirmed by measuring historic volatility by using month average and daily observations. This may has been caused by changing monetary policy, more precisely by adopting new regime of maintaining monetary stability - implicit inflation targeting.
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The Specifics of Financial Management of Holdings Companies
Ficbauer, David ; Kočenda, Evžen (referee) ; Král, Bohumil (referee) ; Zinecker, Marek (referee) ; Režňáková, Mária (advisor)
The main purpose of the thesis is to explore the specifics of the financial management of holdings companies in the Czech Republic with an emphasis on the area of financial management. However, the author assumes that persistent reasons for holding creation is using of synergy effects consisting mainly of centralized management of cash flows to minimize the cost of capital and minimizing the risk of an individual investor who actively makes managerial functions in view guarantees of individual companies. It was found the lack of a comprehensive and systematic approach for a qualitative research. A total of 15 holding companies was use for the qualitative research. The outcome gives many answers concerning the specifics of the financial management of the holdings companies. It seems guarantee and minimizing cost of capital are key points. The synergistic effect of the holding companies can be used when transferring financial means between companies holding. The impact of the transfer of available financial means was simulated for holding No. 13. It was clearly shown to decrease WACC at one of the companies within the holding.
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