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Time-frequency analysis of Czech republic gross domestic product
Tráge, David ; Poměnková, Jitka (referee) ; Maršálek, Roman (advisor)
The aim of this master's thesis is to get familier with problematic and concepts of econometrics (GDP, investment, usage and others). We see into used data mainly their characters and expectations and we discuss possibilities of frequention and time-frequention analysis of these data by Fourier and Wavelet transform. Data of quarter development of gross domestic product in Czech Republic, EU and USA will be analysed by the help of programm MATLAB. Data will be filtered by three ekonomic filters: Hodrick-Prescott, Baxter-King and Christiano-Fitzgerald filters. The aim is to find cyclic elements in developments of GDPs and to suggest an optimal type of analysis.
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Methods for Estimating Potential Output
Skok, Daniel ; Vejmělek, Jan (advisor) ; Šíma, Ondřej (referee)
The purpose of this thesis is to describe selected methods for estimating potential output. In the first part, methods used for the estimation of potential output are described including the discussion of advantages and disadvantages of their application. Subsequently, the potential output from 1996 to 2016 is estimated based on three selected methods using the data of gross domestic product in the Czech Republic. The methods used are Hodrick-Prescott filter, Kalman filter and Cobb-Douglas production function. In the conclusion, results of those three methods are compared with each other and furthermore compared with results published by the Czech National Bank and the Mistry of Finance.
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Time-frequency analysis of Czech republic gross domestic product
Tráge, David ; Poměnková, Jitka (referee) ; Maršálek, Roman (advisor)
The aim of this master's thesis is to get familier with problematic and concepts of econometrics (GDP, investment, usage and others). We see into used data mainly their characters and expectations and we discuss possibilities of frequention and time-frequention analysis of these data by Fourier and Wavelet transform. Data of quarter development of gross domestic product in Czech Republic, EU and USA will be analysed by the help of programm MATLAB. Data will be filtered by three ekonomic filters: Hodrick-Prescott, Baxter-King and Christiano-Fitzgerald filters. The aim is to find cyclic elements in developments of GDPs and to suggest an optimal type of analysis.
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Producer price index and customer price index and their mutual relation
Benkovičová, Michaela ; Fischer, Jakub (advisor) ; Musil, Petr (referee)
The Bachelor thesis regards a producer price index a customer price index and their mutual relation. Main purpose of this Bachelor thesis is to prove that there is dependence between these indices and the producer price index influences customer price index. Achieving this goal is the main contribution this Bachelor thesis. The Bachelor thesis contains basic information about indices. Basic statistical methods are used for data analysis as graphic analysis, accordance of the first differences, additive decomposition of time series, seasonality F-test, X-12-Arima and Durbin-Watson test. Special attention is paid to the description of Hodrick-Prescott filter. The correlation coefficient is used to determine dependencies between producer price index and customer price index. Finally, it is indicated the direction in which the research could proceed.
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Potential output. Econometric application for Czech Republic.
Kyncl, Jan ; Pánková, Václava (advisor) ; Bašta, Milan (referee)
I summarize different methods of potential output and output gap estimation including advantages and disadvantages in this thesis. I also applied two published models on real data for Czech Republic. Concerned models are Hodrick-Prescott filter and so called Production Approach. Both approaches are simultaneously used by ČNB. This thesis offers comparison between HP filter and production approach and comparison of Czech, Austrian and common EU-15 potential output and output gap. Potential output of Austria and EU-15 was obtained from OECD database. Comparison result refers to very similar progress of estimate obtained by univariate and multivariate method. It also shows different trend behavior of domestic economy against more developed EU countries, which is starting to be similar at the end of observed period.
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