|
|
Essays on monetary policy transmission
Rusnák, Marek ; Horváth, Roman (advisor) ; Baxa, Jaromír (referee) ; Pugh, Geoff (referee) ; Belke, Ansgar (referee)
The dissertation consists of three papers presenting applications of meta-analysis in macroeconomics and two papers dealing with real-time data properties and forecasting. The first two papers examine the effect of monetary policy on price level, while the third paper investigates the habit formation in consumption. Fourth paper presents a model to nowcast Czech GDP in real time, while the last paper looks at the properties of data revisions to Czech national accounts.
|
|
|
The Footbridge
Rusňák, Marek ; Šmak, Milan (referee) ; Buchta, Stanislav (advisor)
The main goal of this diploma thesis is a design and verification of a steel footbridge crossing the river Dřevnice in Zlín. As the basic material steel S355 and for selected members steel S235 was chosen. There are two structural variants designed in the introductory part of the thesis. These variants are then compared and in the next part only selected, more favourable variant, is addressed. The selected variant is a truss footbridge with a bridge deck at the bottom and curved top chords. The bridge deck consists of floor beams and steel plate with longitudinal stiffeners. The span of the structure is 35.0 m, the width of the footbridge is 3.9 m and its height in the middle of the span is 4.2 m.
|
|
|
Least Absolute Shrinkage and Selection Operator Method
Vorlíčková, Jana ; Červinka, Michal (advisor) ; Rusnák, Marek (referee)
The main intention of the thesis is to present several types of penalization techniques and to apply them in economic analyses. We focus on penalized least squares, with a main topic being the lasso. The penalization methods are commonly employed to data sets with a relatively large number of the variables as compared to the sample size. These methods simplify the model by shrinkage of the estimates of the coefficient of the irrelevant variables to wards zero or they put these estimates equal to zero, i.e. they produce a sparse solution. Namely, we present the following methods: ridge regres sion, best subset selection problem, lasso and elastic net. We discuss several applications of the lasso in the current economic and finance research and hence present the lasso in more details. In the practical part of the thesis, we analyze a real economic data using the elastic net, the ridge regression, the lasso and the ordinary least squares method. We use the mean squared error as the measure of performance of the respective method. The penal ized least squares methods surpass the ordinary least squares method, with the elastic net being the best performing method. Keywords penalized least squares, lasso, elastic net, ridge regression, penalization tech niques in economics 1
|
|
|
Determinants of pension expenditure in countries of EU
Pinkrová, Tereza ; Cahlík, Tomáš (advisor) ; Rusnák, Marek (referee)
This work analyzes the current state of pension systems in countries of European union. First this work describes the division of pension systems, then captures the EU's objectives to build a sustainable pension systém.The work also describes in detail the pension systems of Czech Republic and selected countries of EU. Finally, this work identify by statistical method using an econometric model important determinants that affect pension costs of European countries. Econometric analysis uses balanced panel data set, which is compiled from annual observations of 28 member states of the European Union in the 2006-2013 time frame. For endogenous variable were used ratios of state spending on pensions as a percentage of GDP and exogenous variables were used together on the 15th. The model was tested on correlation, heteroscedasticity and normality. It was used econometric model with fixed effects with robust standard errors. Another aim of the work was to determine which the pension system is the best for states, if often used defined benefit or defined contribution system. This was solved by using dummy variables in the model. In conclusion, it outlined possible solutions for a sustainable pension system.
|
|
|
Monetary policy regime through the lense of New Keynesian DSGE model : case of Mongolia
Sukhbaatar, Bilguun ; Maršál, Aleš (advisor) ; Rusnák, Marek (referee)
This paper identifies an optimal monetary policy rule using a calibrated small open economy DSGE model for Mongolian economy. The main result of this study is that domestic inflation-based Taylor rule is the best monetary policy regime for the Central bank of Mongolia (BoM) in terms of welfare loss. Therefore, the result of welfare analysis suggests that BoM should consider not only CPI inflation but also output gap in order to improve household welfare in economy. On the other hand currency board with fixed exchange rate regime could be very harmful to the Mongolian economy because it makes domestic economy more unstable in comparison to the other regimes. Powered by TCPDF (www.tcpdf.org)
|
|
|
Portfolio selection based on hierarchical structure of its components
Ševinský, Robert ; Krištoufek, Ladislav (advisor) ; Rusnák, Marek (referee)
This thesis investigate empirical performance of three portfolio selection and covariance matrix models. The goal is to find a strategy that outperform equally weighted portfolio in the long run and survives even in times of finan- cial distress. Two models based on Markowitz approach absolutely failed in this context, however the last approach based on network analysis indeed out- perform the market even after risk adjustment of returns. Moreover this model have sparse transaction matrix throughout time, therefore exhibit excellent properties even in the presence of transaction costs. Results for network based portfolio were obtained from running a back test on 160 member companies of S&P 500 index for 6'000 trading days. JEL Classification G11, G32, C10 Keywords Portfolio selection, Minimum spanning tree, Transaction costs, Covariance matrix Author's e-mail r.sevinsky@gmail.com Supervisor's e-mail kristoufek@ies-prague.org
|
|
|
The impact of regulation on innovation capacity in the telecommunication sector
Šperková, Lenka ; Cahlík, Tomáš (advisor) ; Rusnák, Marek (referee)
This paper provides an analysis of efficiency and innovation capacity of regulatory measures in two major areas of telecommunication sector: voice telephony and broadband market. In the first part we introduce basic concepts connected with development and performance of voice telephony along with recent European regulatory measures connected to mobile termination rates (MTR) and possible externalities. Impact of introduction LRIC approach on prices of local calls is provided by econometric panel data model covering 17 countries from 2004 till 2011. We have found no significant impact. In the second part we study broadband market segmentation and performance in connection with application "ladder of investments" and "local loop unbundling" approaches. This model is tested on panel dataset of 23 countries in 2004-2010 period of time. Our findings include presence of positive relationship between all three forms of unbundled accesses with different magnitudes of effects. Following test of access payments impact on facility-based competition has detected that: high (average monthly) payments per fully unbundled access do not tend to have positive impact on number of entrants' lines. Despite this result consolidation of our findings supports "ladder of investments" and "local loop unbundling" theory in...
|
|
|
The influence of shale gas on natural gas markets in Europe and North America
Otradovec, Michal ; Gutiérrez Chvalkovská, Jana (advisor) ; Rusnák, Marek (referee)
This thesis studies the impact of shale gas on the integration of natural gas markets in Europe and North America. In our practical part we examine with hard data to what extent integration of natural gas markets exists in Continental Europe and North America. We suppose that the recent changes in natural gas markets have significantly influenced the international integration between North American and European continents towards less integrated natural gas markets, but have strengthened the inner integration in these areas. Our results proved integration of natural gas market in each of the intra regional levels, what is consistent with the literature done on this topic. On the other hand our methods did not prove mutual integration between these trans-Atlantic natural gas markets, just as we expected in the hypothesis of this thesis. In our modelling we apply several approaches such as the Engle- Granger cointegration test, Johansen cointegration test and Vector error correction model to formally test for cointegration, from which we can state conclusions about mutual or inner integration. We use monthly data for a period of 1997-2011. Our research is unique becuase there are only a few existing studies on this topic to date. Our empirical tests are introduced by a solid overview of shale gas,...
|
|
|
Efficiency Analysis of Grammar Schools in the Czech Republic
Červenková, Kateřina ; Šťastná, Lenka (advisor) ; Rusnák, Marek (referee)
This thesis aims to assess the technical efficiency of grammar schools in the Czech Republic. We analyze a sample of 263 grammar schools (out of 362) and use data of cohort that graduated in 2012. We adopt a two-stage approach to efficiency analysis. In the first stage, efficiency scores are obtained through the data envelopment analysis under different returns to scale assumptions. The average efficiency of Czech grammar schools is 92% if variable returns to scale are considered. In the second stage, the efficiency is related to school and environmental characteristics using a Tobit regression. Our results suggest that the percentage of female students has a positive effect on efficiency as well as the school size and the share of students attending the 6 or 8 year study program. On the contrary, schools offering a vocational program along with a grammar school program are found to be less efficient. We have not found evidence that the share of not qualified teachers, yearly salary per teacher, state/private status, size of the town in which a school is located or any other environmental variable affect efficiency. 1
|
|
|
Spread Determinants and Model Uncertainty: A Bayesian Model Averaging Analysis
Seman, Vojtěch ; Rusnák, Marek (advisor) ; Hlaváček, Michal (referee)
The spread between interest rate and sovereign bond rate is commonly used in- dicator for country's probability to default. Existing literature proposes many different potential spread determinants but fails to agree on which of them are important. As a result, there is a considerable uncertainty about the cor- rect model explaining the spread. We address this uncertainty by employing Bayesian Model Averaging method (BMA). The BMA technique attempts to consider all the possible combinations of variables and averages them using a model fit measure as weights. For this empirical exercise, we consider 20 different explanatory variables for a panel of 47 countries for the 1980-2010 period. Most of the previously suggested determinants were attributed high inclusion probabilities. Only the "foreign exchange reserves growth" and the "exports growth" scored low by their inclusion probabilities. We also find a role of variables previously not included in the literature's spread determinants - "openness" and "unemployment" which rank high by the inclusion probability. These results are robust to a wide range of both parameter and model priors. JEL Classification C6, C8, C11, C51, E43 Keywords Sovereign Spread Determinants, Model Uncer- tainty, Bayesian Model Averaging Author's e-mail semanv()gmail()com...
|
guest ::
RSS feed.