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Analysis of the Impact of Media Important Events on Financial Markets
Siuda, Vojtěch ; Witzany, Jiří (advisor) ; Fičura, Milan (referee)
This thesis analyses the impact of announcements of macroeconomic indicators in United States on price development of the VIX Futures, S&P500 Futures and EUR/USD FX rate. Theoretical part contains construction and description of individual markets. Empirical part investigates the reaction of market prices after 1, 10 and 30 minutes after announcement of an individual indicator value on a market surprise demonstrated as a difference between reported value and analysts' expectations. We tried to find a systematic reaction of market participants and the pace of absorption of new information into the market price. There have been found minimum of situations, where we explained the market move as a linear combination of market surprise. However, there was a several cases, where the market did not adjust to announced information quickly and was inefficient in a short period. In the second part of empirical research we tested all significant models on an out-sample data. The goal was to determine whether the market inefficiencies persisted and stable profit could be achieved. We analysed the brutto performance, then netto performance including all transaction costs. Finally, we defined a simple trading rules with a purpose of profit stabilization and lowering the riskiness of trades. For VIX Futures and EUR/USD markets we achieved a low loss, respectively negligible profit. For S&P 500 Futures we obtained a profit strategies for all selected indicators, total profit was high with a very low volatility of invested capital.
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Analysis of the Economic Development of BRICS Countries in 2007–2015
Berka, Kryštof ; Procházka, Pavel (advisor) ; Dyba, Karel (referee)
The aim of the bachelor's thesis is economic development assessment among and within BRICs countries in the context of developed world during 2007-2015. Based on yearly panel data, an analysis for following macroeconomic indicators was carried out: gross domestic product, inflation rate, unemployment rate, current account on the balance of payments, exchange rate. The profound analysis of selected indicators is instrumental in the comparison of member states and is supplemented by the comparison of BRICs and G6. Based on its evidence, I come to a conclusion that the BRICs as a whole succeeded in establishing as a strong global actor. That has been achieved with the help of global financial crisis, but also with regard to the economic policy implemented in 2007-2015. As a result, GDP of BRICs in terms of GDP of G6 achieved stable growth rate leading to its increase by 52 %. Besides providing main findings, outcomes of this thesis enable to identify main weaknesses and strengths of BRICs economies affecting the prospects for continuance of stable economic growth.
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Hlavní inflační faktory v České republice
Kraváčková, Lenka
The bachelor thesis deals with the main inflationary factors and their changes caused by the onset of the economic crisis. It is focused on the time series analysis of selected macroeconomic data using Gretl software package. To determine main inflationary factors, two-variable and multiple regression models are created. The results prove that the most sigificant foreign factors are commodity prices, which limits monetary policy effects. However, the most important domestic factors have been changed from product and wages to M2 monetary aggregate and inflation expectations. The results form the basis for discussion and prove that the inflationary factors change over time.
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Fundamental problems of the UK´s economy during time period from 2008 to 2012 and effort for their solution.
Švecová, Ivana ; Karpová, Eva (advisor) ; Kačírková, Eliška (referee)
Bachelor thesis deals with development of the UK's economy during the time period of 2008-2012, economic problems which afflict it nowadays and possibility of their solution. The main emphasis is put on the analysis of basic macroeconomic indicators. The first chapter briefly characterizes the economy of the UK from nineties to 2007. The next part is concerned with the period between years 2008 and 2012, where using particular macroeconomic indicator analysis defines the fundamental problems of the UK's economy and suggestions of their possible solution. The last chapter compares the economy of the UK with the economies of other countries within the EU and outlines its future development as well.
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