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Regime-Switching Models and Their Application in the Financial Markets
Fišerová, Tereza ; Vošvrda, Miloslav (advisor) ; Skuhrovec, Jiří (referee)
The thesis is divided into two parts. The theoretical part introduces the reader to the theory of ARCH-type models and their extensions which are represented by the Markov regime-switching models that allow for capturing of structural breaks in the data dynamics. In addition, the first part summarizes the current state of art. In the empirical part, the model of Klaassen (2002) is adopted to find evidence on the existence of two distinct volatility regimes in four of the Central European stock markets (Austria, the Czech Republic, Germany and Poland). The model is also used as a tool for economic crises identification. Analysis of the daily and weekly observations covering the period from January 3, 2000 to December 31, 2010 provides three remarkable results. First, MRS-GARCH(1,1) model is adequate for modelling stock market volatility in Central Europe. Second, the high volatility regime tends to be associated with a financial crisis. Third, the current crisis is exceptional in terms of its duration in comparison with previous works' conclusions.
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Current economics crisis in the works of Paul R. Krugman and Joseph E. Stiglitz
Tóth, Lukáš ; Skuhrovec, Jiří (referee) ; Mertlík, Pavel (advisor)
This bachelor thesis deals with the thoughts on current economic crisis in works of Paul Krugman and Joseph Stiglitz. It starts with an overview of their current criticisms and comments on the deregulatory policies that took place in the U.S. for almost 20 years and the government stimulus and bailout bills that according to Krugman and Stiglitz do not sufficiently reflect the underlying issues that causes the crisis in the first place. Thesis continues with identification of these issues in works of both economists and links them to their previous works. I argue, that many of these issues have been identified long before the crisis and could be dealt with in time by proper regulatory measures. The last chapter contains several thoughts on issues I believe represent a more general layer of what lead to the current economic crisis.
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The financial instability hypothesis of Hyman P. Minsky and its apllication to the current financial crisis
Paulus, Michal ; Skuhrovec, Jiří (referee) ; Mertlík, Pavel (advisor)
This bachelor thesis deals with the financial instability hypothesis of Hyman P. Minsky and its application to the current financial crisis. The first part of the thesis summarizes the hypothesis, and it mentions works elaborating the hypothesis. The second part of the bachelor thesis applies the hypothesis to the current financial crisis. The whole thesis refers to the general discussion about relations of the Minsky's hypothesis to the current financial crisis and to the fall of the insurance company AIG Corporation. The second part concludes that many relevant parts of Minsky's hypothesis can be applied to the recent financial crisis but important differences of the current financial system to the system in Minsky's times should be awared of. There are two most important differences: changes in risk management and new financial instruments. At the end, the thesis discusses the implications of these differences for applicability of the hypothesis on the current financial crisis. The thesis regards the fact that the recent financial crisis is caused by rational behaviour of economic agents and not by exogenous forces as the most important lesson to learn from the financial instability hypothesis of Hyman P. Minsky.
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Inflation of virtual currencies
Skuhrovec, Jiří ; Strecker, Ondřej (referee) ; Holub, Tomáš (advisor)
This papers examines formation of prices in virtual economy World of Warcraft, and its interconnection with real economy through Real Money Trade - exchange of in-game currency for real cash. Paper nds, that WoW economy is heavily leveraged through this channel, namely that it determines price level within the game. It empirically shows that causes of long-run in ation of currency are EUR/CNY FX rate and patches issued by game operator. Later on author builds general microeconomic model of arti cial scarcity, to explain motivation of game operator to in ate own currency. Last chapter is devoted to potential of virtual currencies, argumenting with thoughts of Karl Menger, that these currencies may be able to compete with real ones. Paper heavily relies on unique data, collected using software developed by author.
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Inflation of virtual currencies
Skuhrovec, Jiří ; Strecker, Ondřej (referee) ; Holub, Tomáš (advisor)
This papers examines formation of prices in virtual economy World of Warcraft, and its interconnection with real economy through Real Money Trade - exchange of in-game currency for real cash. Paper nds, that WoW economy is heavily leveraged through this channel, namely that it determines price level within the game. It empirically shows that causes of long-run in ation of currency are EUR/CNY FX rate and patches issued by game operator. Later on author builds general microeconomic model of arti cial scarcity, to explain motivation of game operator to in ate own currency. Last chapter is devoted to potential of virtual currencies, argumenting with thoughts of Karl Menger, that these currencies may be able to compete with real ones. Paper heavily relies on unique data, collected using software developed by author.
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Portfolio diversification on P2P loan markets
Polák, Petr ; Skuhrovec, Jiří (advisor) ; Džmuráňová, Hana (referee)
This thesis presents ways how investors can construct optimal portfolios on on-line peer-to-peer lending platforms. Thesis uses standard portfolio theory and unique dataset from Lending Club platform of over 886 thousand loans issued since 2008 till the end of 2015. Firstly, this thesis shows that there is a non- zero covariance between loans from different credit grades and it is necessary to include it in portfolio management optimization. Secondly, the thesis with the help of a logistic regression identifies loan default determinants. Using the default predictions, the portfolio performance can be improved significantly. Thirdly, the thesis simulates diversification benefits stemming from investing into multiple loans. Powered by TCPDF (www.tcpdf.org)
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Determinants of Claims Satisfaction in Insolvency Proceedings in the Czech Republic
Pařízek, Petr ; Skuhrovec, Jiří (advisor) ; Luňáčková, Petra (referee)
This paper examines determinants of creditors' claims satisfaction in insolvency proceedings in the Czech Republic. To our knowledge, it is the first research to such extent in the Czech Republic covering this field. Combining microdata from Insolvency Register, Business Register, Ministry of Finance and other sources, we construct a unique dataset of more than 2,600 cases. We identify several basic determinants of satisfaction: a higher share of secured claims, real estate and cash in assets of a company, submission of financial statements into Business Register, selling the business as a whole within the proceedings, and entrepreneur cases. We find no such effect for the audit of financial statements or for the age of a company. Moreover, we search for other indicators that may result in the lower satisfaction of claims, out of which five are statistically significant: a homeless person in statutory body, registered office at a firm nest, being listed as unreliable VAT payer, a connection to persons that have multiple records in Insolvency Register and a substantial increase in depreciation in the period between the last two submitted financial statements. In contradiction to the bankruptcy prediction literature, we show that the financial data are unreliable for predicting the outcome of insolvency...
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Three essays on public procurement
Skuhrovec, Jiří ; Janda, Karel (advisor) ; Mejstřík, Michal (referee) ; Tóth, István János (referee) ; King, Lawrence (referee)
The core of thesis lays in quantitative analysis of microeconomic data on public procurement and alternative forms of dealing with public money. It consists of three essays with one common attribute: extensive groundwork with data, including overlaps into legal and technical disciplines. The fist essay examines the relationship between transparency of ownership structure and (i) profits of firms winning public procurement contracts and (ii) competition for the contracts and savings of the public authority. It identifies a significant advantage of firms with opaque ownership structure in terms of access to public money. It concludes with a possible explanation of conflict of interest and corruption, which might channel such advantages. The second essay proposes and tests a novel methodology for benchmarking of contracting authorities. The proposed rating measures a deviation from best practice recommendations in the areas of openness, competition and transparency. Indirectly it measures efficiency and corruption potential in public procurement. The pilot results of the methodology are provided and extensively discussed for a group of Czech municipalities. Third essay investigates issue of crowding out effect potentially introduced by EU funds provision. It studies direct budgetary impacts of...
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Data in the service of the journalists
Šlerka, Josef ; Minařík, Karel ; Skuhrovec, Jiří ; Knitl, Jiří
V posledních letech se stává světovým trendem tzv. datová žurnalistika, neboli využívání pokročilé práce s velkými objemy dat v novinařině. Pomalu si hledá cestu i do českých redakcí, systematická práce s daty je ale zatím spíše záležitostí odvážných pionýrů. Cílem workshopu bylo přiblížit českému publiku základní metody práce datové analýzy. Na konkrétních datech jsme si ukázali širokou škálu postupů: strukturování, čištění, interpretaci a vizualizaci dat.
Slides: idr-583_5 -  PDF
Video: idr-583_1 -  MP4; idr-583_2 - MP4; idr-583_3 - MP4; idr-583_4 - MP4
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