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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
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Development of a mobile application for Windows Phone and its publication in the Windows Phone Store
NĚMEC, Radek
This thesis describes the mobile operating system Windows Phone 8.1 (launched in the middle of 2014) and an application development. A partial goal is to introduce the system, including all parameters, features and technologies, which are necessary for application development. The main goal of my work is to create an application that downloads exchange rates of selected currencies from the website of the Czech National Bank. The app shows current exchange rates. It is possible to convert between different currencies. Also, there is a graph of the selected currency showing exchange rate history in selected period. My app is fully customizable for every user, so they can adjust it to suit their needs. In my thesis there is a summarization of all the information necessary for introducing Windows Phone 8.1 to the beginners in application development.
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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
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Vliv devalvace české koruny na poptávku po incomingovém cestovním ruchu
Novák, Adam
The text identifies significant determinants of the demand for incoming tourism of the Czech Republic, which may focus economic policy makers in the active promotion of tourism in the country. In the empirical part of the work are created some estimates of linear regression models and consequently panel dataset regression describing the influences of selected determinants of the demand for incoming tourism. As the basis for a regression analysis is a general one-equation approach chosen according to Dwyer and Forsyth (2006), applied to the conditions in the Czech Republic
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The Exchange Rate as an Instrument at Zero Interest Rates: The Case of the Czech Republic
Franta, Michal ; Holub, Tomáš ; Král, Petr ; Kubicová, Ivana ; Šmídková, Kateřina ; Vašíček, Bořek
This study examines the use of the exchange rate by the Czech National Bank as a monetary policy instrument at the zero lower bound on interest rates. It provides a review of the economic literature on unconventional monetary policy instruments and particularly on the possibility of using the exchange rate. It explains the CNB’s reasons for further easing monetary policy and for choosing the exchange rate instrument and its specific level, and discusses its expected benefits in the case of the Czech Republic. It also explains why the CNB ultimately decided to transparently declare a one-sided exchange rate commitment with potentially unlimited foreign exchange interventions. The article concludes by assessing the impacts of the exchange rate weakening on the Czech economy to date, as compared to what the CNB had expected, and by describing the public debate of the CNB’s action and related changes in its communication strategy.
Fulltext:  PDF; PDF
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Sources of Asymmetric Shocks: The Exchange Rate or Other Culprits?
Skořepa, Michal ; Komárek, Luboš
We analyze and quantify the determinants of asymmetric shocks showing up in the form of medium-term real exchange rate (RER) changes. First, we discuss sources of asymmetric shocks causing exchange rate variability and the role of the RER as a shock generator. Second, we use data for 21 advanced and late-transition economies to gauge the extent to which medium-term bilateral real exchange rate variability can be explained by various fundamental factors. Using Bayesian model averaging, we find that out of 22 factors under consideration, four types of dissimilarities within a given pair of economies are likely to be included in the true model: dissimilarities as regards (i) financial development, (ii) per capita income growth, (iii) central bank independence, and (iv) the structure of the economy. A regression based on these four factors indicates that these factors explain about one third of the behavior of the three-year RER variability for the whole sample and almost half of the behavior of the three-year RER variability for the RERs involving specifically the euro. The remaining part of the total variability represents an estimate of the influence of the exchange rate market itself (together with the influence of fundamental price level or nominal exchange rate determinants not captured by the regressors used).
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Foreign exchange interventions under inflation targeting: the Czech experience
Holub, Tomáš
This paper discusses the role of foreign exchange interventions in the inflation-targeting regime, focusing on the Czech experience since 1998. It proposes criteria for assessing whether the interventions are consistent with the inflation targeting. It is also stressed that the literature on managed floating usually ignores the difficulty in defining clear procedural rules for the interventions.
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