|
|
The spillover effects of quantitative easing on major emerging economies: the case of South Africa
Kaulinge, Ndilimeke Nelao Mbabyona
In this study, I analyse the potential spillover effects of large-scale asset purchases (LSAP) or quantitative easing (QE) implemented by the US Federal Reserve Bank (US Fed) and European Central Bank (ECB) on the South African economy. To start, I survey the literature and summarize the general themes that arise. The two main themes that I focused on for my research were that QE depreciated global currency rates and raised sovereign bond rates and that strong country fundamentals mitigated against the spillover effects of QE. I highlight the importance of macroeconomic and financial variables in determining the effects of QE, therefore the chosen model incorporates interest rates, credit default swap spreads, debt to GDP ratio, GDP growth, inflation, market capitalization to GDP and credit ratings. I quantify the effects of QE on South African long-term government bond yields and foreign exchange rates using a vector autoregressive (VAR) model, while making use of monthly data from March 2009 to December 2021. I measure the shock of QE using impulse response functions with a 24-month horizon. I found that QE implemented by the US Fed and the ECB significantly affected long-term government bond yields and foreign exchange rates in South Africa, and that they responded more to US QE than to ECB QE. While acknowledging that the model does not account for certain structural and socio-economic issues prevalent in South Africa today, I recommend that policymakers take steps toward developing domestic policies and institutions, maintaining a robust current account balance, reducing energy shortages, and maintaining political stability.
|
|
|
Role ekonomického sentimentu v ekonomice zemí EU
Simajchlová, Barbora
This master thesis deals with the identification and quantification of the relationship between selected economic indicators and economic sentiment in EU countries. The literature part is devoted to the definition of the relationship be-tween economic sentiment and selected economic indicators. Econometric methods, in particular VAR models, impulse-response analysis and Granger causality, have been used to identify and quantify the examined relationships. The results showed that ESI has some interdependence with the selected economic variables and can predict their development to some extent.
|
|
|
Vliv nabídky peněz na akciové indexy ve státech G8
Marcinová, Alexandra
The main aim of this diploma thesis is to evaluate the consequences of changes in the nominal money supply on selected G8 countries’ stock indices. The theoretical part explains the basic concepts of the financial markets, the criteria for classification of money aggregates, their composition and definition for individual G8 countries. The stock indices are also explained further in the part of this diploma thesis and the theoretical part is completed by previous empirical studies dealing with impact of the money supply on stock prices. The practical part focuses on examining the causal relationship between money supply and G8 stock indexes, where the correlation analysis and analysis of multivariate time series in the form of VAR models are used to achieve the goal.
|
|
|
Can Bitcoin serve as an inflation hedge in the USA, Euro area, and Czech markets?
Volkov, Aleksandr ; Krištoufek, Ladislav (advisor) ; Šestořád, Tomáš (referee)
Since the 1970s, economists have started studying the concept of inflation hedging as a way to protect investments. With the recent high inflation rates, investors might be interested if newly created assets such as cryptocurrencies can be effective against inflation. This thesis paper aims to find out whether thelargest crypto asset Bitcoin can be used as an inflation hedge. To answer this question, Fisher coefficient estimation and hedging demand for the US, Euro Area, and the Czech Republic for the period between November 2014 and October 2022 will be analyzed. In addition, the vector autoregressive model (VAR)will be used for the US market in the same time frame. The results showed overall positive Bitcoin returns but all three methods indicated no or negative correlation between inflation rates in three regions and Bitcoin returns. The thesis paper concludes that Bitcoin cannot be used as an inflation hedge as notall requirements are met. Keywords Cryptocurrency, Bitcoin, gold, inflation, inflation hedge, Fisher coefficient,VAR model Title Can Bitcoin serve as an inflation hedge asset in the US, Euro Area, andCzech markets?
|
|
|
Selected methods for multivariate financial data analysis
Andráš, Adrián ; Zichová, Jitka (advisor) ; Hurt, Jan (referee)
In practice, we often meet data in the form of observations of several variables at various points in time. These data are called time series. We present various approaches in time series analysis; graphical models, vector autoregres- sive models and vector moving-average models. We try to get information about mutual relationship of the variables and then to model their behavior. The used techniques are illustrated on log returns of monthly average exchange rates. The programs are processed in the software Mathematica 7 and can be found on the CD. 1
|
|
|
Vlivy změn cen ropy na směnné kurzy
Oberreiterová, Monika
The aim of this thesis is to verify the hypothesis that changes in oil prices have a significant impact on the real effective exchange rates. Vector autoregressive (VAR) model is used to empirically test this influence for monthly data from January 2001 to January 2016 in USA and the Russian Federation. The result was not proving significant impact on the REER. Oil price and REER have demonstrable impacts on total import and export of these countries.
|
|
| |
|
|
Souvislosti vývoje akciových indexů a HDP států G8
Brychtová, Tereza
The aim of the thesis is to reveal the relationship between stock indices and GDP of selected countries. The theoretical part explains the concepts of financial mar-kets, the essence of a functioning of public limited companies and earlier studies dealing with this theme are also included. The practical part is focused on an ac-tual relationship between the variables, both in terms of its existence, its strength and direction. To reveal the relationship between variables and its strength, the correlation analysis is used. Then In case of direction of this relationship a multivariate time series analysis is used in a form of the VAR model using Granger causality.
|
|
|
Ukazatele trhu práce ČR v období devizových intervencí ČNB
Nováková, Michaela
The diploma thesis focuses on the development of the Czech labour market in the period of the CNB monetary interventions that took place in 2013-2017. Within the VAR models, the causal relationship between the labour market indicators and the GDP growth is verified. The delayed effect of the change in GDP on the labour market indicators was found. The thesis also pays attention to the trend models of the selected time series. Within them the presence of the structural break indicating the start of using CNB foreign exchange interventions was detected. In conclusion the possible solutions of the long-term unemployment of disadvantaged groups in the labour market are presented.
|
|
|
Důsledky zrušení mléčných kvót pro ceny mléka v České republice a okolních státech
Stehlík, Jaroslav
This bachelor thesis deals with the results of the abolition of milk quotas in European union on the milk prices from the producers in Czech Republic, Germany, Slovakia, Poland and Austria. In thesis there are used VAR models to test Granger causality between prices in particular countries. There are also used descriptive statistics for understanding the prices before and after quotas abolition. There are calculated basic characteristics of all time series, which are used for period between January 2008 and December 2017.
|
guest ::
