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Vplyv nekonvenčnej menovej politiky na devízové kurzy
Gáťová, Jana
Gáťová, J. The impact of unconventional monetary policy on exchange rate. Diplo-ma thesis. Brno: Mendel University, 2023 The diploma thesis deals with the impact of unconventional monetary policy on the exchange rate. The literary review deals with the instruments of unconven-tional monetary policy and their specific use by the central banks ECB and FED. The aim of the thesis was to identify the impact of unconventional monetary poli-cy, primarily quantitative easing, on the USD/EUR exchange rate. In the empirical part of the diploma thesis, an analysis was carried out that examined this relation-ship using graphs and a VAR model, from which Granger causality and Impulse-response analysis were subsequently derived. Based on the analysis, the relation-ship between the quantitative easing of the central banks of the ECB, the FED and the movement of the USD/EUR exchange rate was proven.
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Vplyv sentimentu správ na obchodovanie inštitucionálnych investorov na Forexe
Holá, Silvia
The bachelor thesis examines the impact of the irrational factor, the sentiment of economic and financial announcements, on exchange rates traded on the forex market. The framework of the paper is based on the theory of behavioral economics, drawing attention to the psychological aspects that explain the behavioral anomalies of investors. The analysis refers to the EUR/USD currency pair that institutional investors trade most often. The results of the paper indicate the economic inconsistency of sentiment, which points to the inappropriateness of including this irrational factor in investment decision.
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Dynamika zmien devízového kurzu v čase
Glaichová, Klaudia
Tato bakalářská práce se zabývá dynamikou změn determinantů devizového kurzu v čase vybraných světových párů - EUR/USD, GBP/USD, JPY/USD. Práce si klade za cíl na základě teoretických přístupů k determinaci devizového kurzu identifikovat makroekonomické ukazatele, které mají vliv na devizový kurz a identifikovat a popsat změny vybraných makroekonomických determinantů pohybu kurzu v čase. Změny determinantů v čase, které mohou být úzce spjaty s chováním a strategií jednotlivých centrálních bank, jsou identifikovány pomocí QLR testu přítomnosti strukturálních zlomů a následně je ověřována statistická významnost těchto zlomů prostřednictvím Chow testu. Závislost mezi jednotlivými měnovými páry a makroekonomickými determinantmi je zkoumána pomocí metody klouzavých korelačních koeficientů při různých délkách okna, jejichž vychýlení jsou v empirické části práce blíže specifikovány a zdůvodněné.
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Switzerland as a Safe Haven: Does the Foreign News Matter?
Kühnl, David ; Brushko, Iuliia (advisor) ; Hayat, Arshad (referee)
David Kühnl, Bachelor Thesis Abstract This thesis investigates the relationship between financial news and Swiss franc exchange rate in the context of Switzerland being safe haven for European investors. We employ the ARMA-GARCH econometric model extended by our custom component called "Floating Returns" to estimate the reaction of the investors to particular financial news. We find out that the bad news lead to significant short-term appreciation of the Swiss franc. Furthermore, we find out that not only the real macroeconomic data but also the investors' expectations are important for exchange rate determination. Finally, our model quantify the reaction to the particular news depending on the expected values and the announced values. 1
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Economic consequences of the dissolution of Czechoslovakia in 1993
Ječmeň, Tomáš ; Tóth, Andrej (advisor) ; Chalupecký, Petr (referee)
The aim is to analyze the economic and political aspects of the dissolution of Czechoslovakia in 1993 in the context of monetary separation and further analyze its impact on monetary indicators in the Czech Republic and the Slovak Republic. The thesis provides a comprehensive view of the development of relations within Czechoslovakia after 1989 and monetary separation in 1993. First, attention is focused on description and analysis of economic and political relations between the two nations, which are demonstrated in the illustrative examples of the development of Czechoslovakia between 1989 and 1993. Then analyzes the preparation, conduct and impact of monetary separation on the inflation rate, balance of payments, interest rates and foreign exchange reserves, and consequently macroeconomic indicators are compared both newly formed states. The thesis is written for use with the description, analysis and comparison. Based on the analysis, we can conclude that the collapse of the state was no longer possible in 1993 to avoid. It can be concluded that the monetary separation had no immediate impact on the study of monetary indicators. Based on comparison of selected macroeconomic indicators of the countries we were able to demonstrate that in the first years after the collapse of the federation with the Czech economy developed better and more stable than Slovak Republic. Implementation and results of the disintegration of Czechoslovakia and the associated monetary separation can be considered as a basis for solving current problems eg. In any disintegration of the common currency in the European Union or the possible dissolution of several national states. A proper currency separation in 1993 had a negative impact on the development of monetary variables surveyed states.
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The currency derivatives and their use for hedging of currency rate risk
Bartoš, Ondřej ; Málek, Jiří (advisor) ; Staniek, Dušan (referee)
My Bachelor s thesis deals with the analysis of currency derivatives and their use for hedging of currency rate risk. In the first part (chapters 1 and 2) the thesis describes foreign exchange markets and currency rate risk. In the second part (chapters 3 to 7) the thesis describes derivative instruments, in particular currency forwards, foreign exchange swaps and currency swaps, currency futures and currency options. In my thesis I focused only on the potential of hedging currency rate risk. The bachelor s thesis is theoretical and drew from Czech book publications, foreign book publications, information sources of the financial institutions and real statistical data. Based on the combination of theoretical facts and exact data the thesis illustrates that financial derivatives offer effective solution for hedging of currency rate risk a their use prevents future financial losses of the negative development of currency rates.
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Vplyv devízového kurzu na vývoj akciových trhov
Jágriková, Veronika
Jágriková, V.: Influence of foreign exchange rate on stock markets development. Bachelor thesis, Brno: PEF Mendelu in Brno, 2015. This bachelor thesis analyses the influence of foreign exchange rate EUR/USD on stock markets within the United states of America and the Europe during the years 2002-2014. The American stock market is represented by the Standard & Poor's 500 Index. The European stock market is represented by Standard & Poor's Europe 350 Index. The influence is analysed also in the sectional periods in order to determine whether the influence rate of currencies EUR/USD on stock indexes will change accordingly. Recommendations for investors are based first and foremost on the conclusions drawn from the conducted empirical analysis.
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Rovnovážný reálný devizový kurz české koruny vůči euru
Galusková, Klára
This diploma thesis deals with the real equilibrium exchange rate of the Czech Koruna to Euro which represents an important role in modern macroeconomics. To this purpose many methods are used and the most advanced work with the estimation on the principle of using macroeconomic fundamentals. The partial aim of this thesis is estimation the real equilibrium exchange rate of the Czech koruna and Euro currency by using the purchasing power parity theory and econometric analyses of BEER and PEER models. Based on the resuls of these estimations will be fulfil the main aim of this thesis - defining the recommendations for the national economic policies' decisions.
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Analysis of the relationship between interest rate and exchange rate within boarders of a small open economy
Brigant, Michal ; Mandel, Martin (advisor) ; Kučera, Lukáš (referee)
Primary objective of this thesis was to analyse the relationship between exchange rate and interest rate within borders of a small open economy. Different theoretical approaches often present us with various, sometimes even opposing conclusions when it comes to the matter of direction and intensity of the causal influence between these two variables. From author's point of view it is important to perceive the interaction between exchange rate and interest rate as a dynamic process rather than a static relationship. The empirical analysis was conducted on monthly time series (2000-2012) of three selected small open economies -- Poland, Hungary and Czech Republic. Graphical analysis, linear regression, vector autoregression and cointegration analysis were selected as suitable tools for meeting the objective of this thesis. Models themselves presented us with interesting conclusions, for example a proof of the international Fisher effect, exchange rate causally affecting the interest rate (interest rate differential) in case of spot rates against euro. Another curious phenomena was the inflow of foreign debt capital, which, as it seems, was actually pulling the exchange rate down rather than pushing it up due to rising indebtedness of the economy.
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