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RBC model - application to the Czech Republic
Báča, Petr ; Pánková, Václava (advisor) ; Chrobok, Viktor (referee)
The diploma thesis deals with the basic Real Business Cycle (RBC) model. RBC theory provides pure supply-side explanation of economic fluctuations. Generaly acknowledged contribution of RBC theory is the fact that the model is developed strictly on microeconomic basis. The thesis consists of two basic parts, theoretical and practical. First, historical background of RBC theory is mentioned. Then the basic RBC model is step-by-step derived and all equations are provided with explanations. In the last theoretical part section RBC theory critisism is discussed. In the practical part the derived basic model is applied to the Czech economy. First certain properties of the Czech business cycles are examined. Then, the basic model is calibrated, simulated and the results are commented.
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Demand functions as an econometric model
Horáček, Jan ; Pánková, Václava (advisor) ; Křepelová, Marika (referee)
Topic of this bachelor thesis explores influence of monetary policy and GDP on aggregate demand and differences between USA, Germany and Czech Republic. It uses annual and quarterly data since 1995 and for USA since 1985. The work proves influence of inflation and interest rates on this demand. There is significantly lower influence on Germany and Czech Republic then on USA because these European central banks have more strict monetary policy then FED. Second explored aspect is influence of GDP. It was proved that GDP influences aggregate demand in each country differently. It is partly due to transformation of Czech Republic and East Germany from socialistic system to free market economy and partly due to size and international economic integration.
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The Productivity of Farmland depending on Chosen Elements
Partynglová, Soňa ; Pánková, Václava (advisor) ; Voltr, Václav (referee)
This thesis is focused on analysis of the factors that influence the yields of the wheat. This thesis is divided into three parts. The first part opens the problem of wheat cultivation. The second one concerns the methodologies of creating the econometrics models and the third one solves the problem as a whole. Considering a large data file I have a need to reduce it by the factor analysis. I estimate relevant econometric model by application different econometrics methods. This model will show the influences of technological, soil and climatic factors on the yields of wheat. At the end I confront the observed variables with predicted ones by the graininess of soil, climate and the year of the crops.
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Modelování měnového kursu – parity a česká koruna
Mäsiarová, Jana ; Pánková, Václava (advisor) ; Havrlant, David (referee)
The paper analyses validity of main exchange rate theories in case of the Czech crown. Investigated relationships comprise purchasing power parity, interest rate parity and real interest monetary model. Technical part of the analysis involves cointegration, namely Johansen's method based on vector autoregressive models. Two currency pairs are in the focus: CZK/EUR and CZK/USD. Empirical calculations did not prove the absolute validity of the theories but pointed out to other factors of exchange rate, such as convergence process, impacts on inflation targeting decisions, non-monetarist determinants and the recent financial crisis.
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An Interrelationship Between Stock Indices
Křepelová, Marika ; Pánková, Václava (advisor) ; Ráčková, Adéla (referee)
This work analyzes an interrelationship between stock indices S&P 500, FTSE 100, DAX, HSI, Nikkei, BSI and PX in a time period from September 2004 till March 2010. Such an interrelationship has already been examined and a dominating position of American indices has been found. This influence was stronger during a financial crisis. Because the examined time period covers both financial crisis and the period before, the work studies their interrelationship in the whole period and at the end in the time period before financial crisis. The influence of one stock index on the other can be cause by several factors: (i) dominance of influencing stock index, (ii) efficient market and (iii) financial crisis. As the reaction of stock index is evoked from new information, the intention of this work is to take into account nonsychronous trading of stocks exchanges. Therefore I explored those exchange stocks closing earlier than the others start in two ways by respecting the time lag and by non-respecting the time lag. The interrelationship between the indices was modeled with help of VAR models and proved by Granger causality test.
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Pricing of Financial derivatives – European options
Mertl, Jakub ; Pánková, Václava (advisor) ; Čížek, Martin (referee)
In the present study I deal with a pricing of derivatives especially with the European option. In the first chapter there are described basic principles of pricing financial derivatives. I focus on the options strategies from the simplest to the more difficult one. The second chapter is dedicated to the Binomial pricing model. It is introduced its derivation, application, its pro and con. Next chapter contains a description of Black-Scholes model. Again it is explained derivation of this model and its properties. At the end of this chapter it is described relationship between Binomial and Black-Scholes models. The forth chapter is consisted of an analysis of real data of stocks company Philip Morris International, Lehman brothers Holding and American Insurance Group. I focus on the relationship between shares and options in time of the financial crisis. Last chapter is dedicated to the description of software concerning options which was created in Microsoft Excel and which is part of this study.
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Vliv měnového kurzu na akciový trh ČR
Kubánek, Ondřej ; Pánková, Václava (advisor) ; Tichý, Filip (referee)
Tato práce se věnuje měnovému riziku a jeho vlivu na český akciový trh. Cílem této práce je pomocí ekonometrických modelů GARCH zjistit, zda a jaký má vliv volatilita měnového kurzu na volatilitu akciového trhu. Akciový trh je v této práci popisován pomocí hlavních burzovních indexů. Kurz koruny je zkoumán ve vztahu k významným světovým měnám, americkému dolaru, britské libře a euru.
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Spotřební výdaje na zdraví a vzdělání: Ekonometrické modely a vývoj v rámci zemí OECD 1970-96
Charvátová, Petra ; Pánková, Václava (advisor) ; Čížek, Ondřej (referee)
V oblastech zdraví a vzdělávání dochází k substitučním efektům mezi veřejnými a soukromými výdaji, které bych chtěla prokázat pomocí ekonometrických modelů. Tyto efekty se nejvýrazněji projevují v oblasti zdraví. Z analýz vývoje sledovaných proměnných je zřejmé, že růst výdajů v obou sledovaných oblastech souvisí s ekonomickým rozvojem sledovaných států a tento růst je pozitivní pro prosperitu a podřizuje se racionálnímu chování spotřebitelů. Pro tuto práci byla použita data soukromých výdajů obyvatel 13 zemí OECD za období 1970 - 1994 a data veřejných a soukromých výdajů obyvatel pro 24 států OECD v roce 1996.
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Econometric analysis of inflation in the Czech Republic
Demeš, Jiří ; Hušek, Roman (advisor) ; Pánková, Václava (referee)
The degree work is focused on analysis of inflation with help of suitable econometric models. Inflation with it's forms and possibilities of measuring is described at the beginning of the paper. There is mentioned an importance of monitoring and analysing inflation in view of Czech national bank. Consequently there are described characteristics of time series, which are important from viewpoint of construction of econometric models. Next part of this paper is focused on characterization of econometrics models. At first there is vector autoregression model, in this connection there is discussed the essence of Granger causality and impulse reaction. There are also noticed both error correction model and vector error correction model. The empirical part of degree work involves the use of these models on selected macroeconomic time series of the Czech republic. The objective is to analyze the relationship between inflation and other individual macroeconomic quantities. There is established the optimal vector autoregressive model and the results of Granger causality and impulse reaction are interpretated. Both error correction model and vector error correction model examining cointegration are also applied.
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