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Stock Price Bubbles: Identification and the Effects of Monetary Policy
Koza, Oldřich ; Matějů, Jakub (advisor) ; Ryska, Pavel (referee)
This thesis studies bubbles in the U.S. stock market and how they are influenced by monetary policy pursued by the FED. Using Kalman filtering, the log-real price of S&P 500 is decomposed into a market-fundamentals component and a bubble component. The market-fundamentals component depends on the expected future dividends and the required rate of return, while the bubble component is treated as an unobserved state vector in the state-space model. The results suggest that, mainly in recent decades, the bubble has accounted for a substantial portion of S&P 500 price dynamics and might have played a significant role during major bull and bear markets. The innovation of this thesis is that it goes one step further and investigates the effects of monetary policy on both estimated components of S&P 500. For this purpose, the block- restriction VAR model is employed. The findings indicate that the decreasing interest rates have a significant short-term positive effect on the market-fundamentals component but not on the bubble. On the other hand, quantitative easing seems to have a positive effect on the bubble but not on the market-fundamentals component. Finally, the results suggest that the FED has not been successful at distinguishing between stock price movements due to fundamentals or the price misalignment.
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Stock Price Bubbles: Identification and the Effects of Monetary Policy
Koza, Oldřich ; Matějů, Jakub (advisor) ; Ryska, Pavel (referee)
This thesis studies bubbles in the U.S. stock market and how they are influenced by monetary policy pursued by the FED. Using Kalman filtering, the log-real price of S&P 500 is decomposed into a market-fundamentals component and a bubble component. The market-fundamentals component depends on the expected future dividends and the required rate of return, while the bubble component is treated as an unobserved state vector in the state-space model. The results suggest that, mainly in recent decades, the bubble has accounted for a substantial portion of S&P 500 price dynamics and might have played a significant role during major bull and bear markets. The innovation of this thesis is that it goes one step further and investigates the effects of monetary policy on both estimated components of S&P 500. For this purpose, the block- restriction VAR model is employed. The findings indicate that the decreasing interest rates have a significant short-term positive effect on the market-fundamentals component but not on the bubble. On the other hand, quantitative easing seems to have a positive effect on the bubble but not on the market-fundamentals component. Finally, the results suggest that the FED has not been successful at distinguishing between stock price movements due to fundamentals or the price misalignment.
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Econometric analysis of the economy in game World of Warcraft
Buchníčková, Michaela ; Kuchina, Elena (advisor) ; Formánek, Tomáš (referee)
This thesis analyses the impact of real exchange rate and the official exchange ratio of fiat currencies and in-game golds on the price level in the game World of Warcraft. The work also includes a brief summary of the mechanisms of the in-game economy. The analysis is based on cointegration test and Granger causality test. Individual estimations are model based on the VAR and VEC models theory. The conclusions of this study are made for specific randomly selected pairs of servers with different populations. These results are not easily generalized for the entire regions, but they offer insight into the possible factors affecting the price level in each virtual economy. The results show that the price level on the American server Aegwynn affects the exchange rates of fiat and game currencies as well as that game currency exchange rate in the European region is sensitive to changes in exchange rates of the euro and the yuan. All calculations in this work were implemented in Eviews 8 software.
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The average wage and GDP - relationships and links
Bieliková, Nikol ; Arltová, Markéta (advisor) ; Bašta, Milan (referee)
The thesis describes interactions and relationships between selected economic indicators. These indicators are the gross domestic product and the average gross monthly wage. The analysis of these selected indicators, are made for the Czech Republic and Slovakia. The work has four main parts, which are divided into several other sections. The first defines the concept of national accounting, the second part contents gross domestic product, the method of its calculating and the frequency of compilation. In the third section is described the field theory of wages and salaries and the concepts such as minimum wage, the average gross monthly wage and median wage and salary are defined. In this two chapters are compared selected countries on the basis of the tables and graphs of selected indicators. The last chapter analyzes the relationships between selected economic indicators in selected countries based on quarterly data from the years 2001-2013.
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VAR Analýza Exchange Rate Pass-Through v České Republice
Borodin, Dmitry ; Chrobok, Viktor (advisor) ; Zouhar, Jan (referee)
The paper will empirically investigate the strength and the speed of the exchange rate pass-through effect in the Czech Republic, i.e. the change in the domestic prices, originally caused by the volatility of the exchange rate. VAR modelling framework has been chosen as a main instrument of analysis. Vector autoregression will also be the subject of the theoretical part of the paper, which aims to provide a clear and at the same time many-sided discussion on the relevant topics. Practical part will be completely devoted to the modelling of the exchange rate pass-through.
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Inflation analysis and its comparison in the Czech Republic and Germany
Maxa, Jan ; Hušek, Roman (advisor) ; Formánek, Tomáš (referee)
The aim of this paper is to analyse and compare inflation and its dynamics between two countries -- the Czech Republic and Germany -- applying a special kind of econometric models. The first part of this paper is dedicated to economic theory of inflation -- fundamental terms, measuring methods and its targeting. The monetary policy in the Czech Republic and Germany is also shortly introduced. Next chapter tries to describe the econometric concept which is used in this paper -- vector autoregression model (VAR model). In connection with the VAR models, Granger causality, impulse response function, cointegration and error correction model are mentioned as well. The empirical part includes application of selected models on real time series of macroeconomic indicators. Next to the interpretation of results, the forecasts are also implemented.
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Statistical analysis and verification of selected gold price determinants
Stolbov, Anatoly ; Borovička, Adam (advisor) ; Pelikán, Jan (referee)
As the title diligent, the aim of this paper is empirical analysis of the relationship between gold price and factors that may affect it. Analysis has included next expected determinants: inflation, inflation volatility, credit risk and the gold's beta coefficient. The study was based on monthly observations. As main instrument, the vector autoregressive models were chosen. Main points of analysis have been found out by Granger causality tests and impulse-response function. Dependence of the gold prices on inflation was proved at 1% significance level. Despite the theoretical expectations dependence is negative in short-run. Dependence of gold prices on USD exchange rate was proved at 10% significance level. Also, the positive dependence of gold price on USD depreciation was confirmed. The significance of other determinants hasn't been proven.
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Convergence analysis of selected financial indicators for CR and EU
Verner, Jan ; Pánková, Václava (advisor) ; Čížek, Ondřej (referee)
This thesis deals with the nominal and real convergence for Czech Republic and the Euro zone. It also includes analysis of synchronization of economic development in Czech and European economies for identifying potential risks associated with introducing the euro in the CR. The thesis describes different types of convergence and the relevant indicators with their historical evolution and hypothesis about future trends. The empirical part of the paper analyzes some selected indicators using econometric VAR models and linear and non-linear models of conditional heteroskedasticity. A suitable model for the analyzed data is chosen which gives a comparison of development in the Czech Republic and the EU. Especially time series causality, the existence of cointegration and conditional variance processes are observed. In conclusion there's a summary of all theoretical and modelled outputs with the risk evaluation of joining the monetary union.
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Causality between money and economic growth in Czech republic
Krhovský, Karel ; Hudík, Marek (advisor) ; Janíčko, Martin (referee)
The aim of this work is to explore in the spirit of Monetary Economics various correlations and links between economic growth on the one hand and monetary aggregate M2, credits, government spending and interest rates on the other hand. Using macro-economic aggregates and statistical methods in empirical verification of selected assumptions, however, indirectly we get to the heart of the dispute on its own methodology in economics. Leaned to Milton Friedman's methodological positivism on quarterly data related to CR in the period 1996 - 2008 we will seek to determine to what extent and whether economic growth is affected by excessive monetary expansion and growth of debt. Therefore, the extent to which money was served as a source of economic growth. The data confirmed the expected dependence of GDP on cash variables, however, in transforming the data on first-order difference was the explained variation of models not too high. Inclusion of interest rates in the multiple regression model, the model did not increase the quality and the correlation between economic growth and it has not been demonstrated.
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Dynamic models of the demand for money. Application to the Czech Republic.
Křemen, Jaroslav ; Hušek, Roman (advisor) ; Pelikán, Jan (referee)
This work deals with the demand for money theories and applications of error correction Models and VAR models for the demand for money in the Czech Republic. In the theoretical part of the work are discussed theory of demand for money, with an emphasis on Patinkins theory of demand for money and the wording of VAR models and error correction models. In the application part are applied VAR (1), VAR (2) models and error correction models on the demand for money in the Czech Republic. Data used in the work come from the information system CNB and the CZSO.
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