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National Repository of Grey Literature 2 records found  Search took 0.01 seconds. 
Testování kvality predikcí: vyhodnocení modelu g3
 Tkáčik, Marcel ; Vozárová, Pavla (advisor) ; Janíčko, Martin (referee)
Recent developments of New Keynesian models attracted many central banks to develop their own DSGE models for policy analysis and forecasting. The aim of this study is to evaluate the quality of the predictions made by the Czech National Bank which developed its own DSGE model and use it as the core forecasting model from July 2008. The quality of the predictions has been evaluted by comparing it with the Ministry of Finance of the Czech Republic and two commercial banks (Česká spořitelna and Komerční banka). Using the econometrical tests for the structural break and time series analysis, it has been concluded that the Czech National Bank experienced significant improvement in its prediction quality when employing the DSGE model, and surpassed the other three institutions. This study suggests that a well-specified DSGE model may enhance the prediction quality of key macroeconomic indicators compared to non-structural models and expert judgment.
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Možnosti předpovědi finanční krize
 Salvetová, Veronika
This bachelor thesis examines methods for prediction of financial crisis. Using the statistical program Statistica 12, selected statistical predictive instruments are evaluated in their ability to predict along one dimensional time series the structural break related to the emergence of the financial crisis that developed in the years 2007-2008. The quality of the predictive models is evaluated using selected statistical criteria. The results show that contemporary predictive mathematical methods are not very good tools for prediction of crises. This is the basis for further discussion. On the basis of this information, this text offers suggestion for improving predictive instruments and better prevention of crises.
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