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Econometric Systems of Equations as a Tool for Financial Data Analysis
Vaverová, Jana ; Zichová, Jitka (advisor) ; Krtek, Jiří (referee)
This thesis deals with analysing multivariate financial and economical data. The first section describes various types of econometric systems of equations, vector autoregression and constucting models based on this theory. The second part deals with analysing the dependence of time series of inflation rates on various macroeconomical indicators and reciprocal dependence of two exchange rates time series. All results were obtained by the Mathematica 8.0 software.
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Stress testing of the banking sector
Procházková, Jana ; Jakubík, Petr (advisor) ; Todica, Doina (referee)
This bachelor thesis deals with stress testing of the banking sector. Stress testing as a risk measurement technique has attracted much attention especially in recent years due to the increased instabilities in financial markets. This work defines two objectives. The aim of theoretical section is to provide a complex survey of stress testing principles and methodologies and to contribute to a better understanding of why stress tests are employed. The empirical section focuses on the credit risk in the Czech Republic. It tries to estimate whether there is an empirical relationship between the quality of credit portfolio of the Czech banking system and the development in key macroeconomic variables. For this purpose the econometric model of vector autoregression has been applied.
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Monetary Transmission Mechanism in Ukraine on its Way to Inflation Targeting Regime Implementation
Shepel, Nataliia ; Horváth, Roman (advisor) ; Babin, Adrian (referee)
This thesis investigates the role of the exchange rate and interest rate channels in the monetary transmission mechanism in Ukraine. The responses on the domes- tic as well as Russian economy shocks are estimated using the Vector Autoregression Model with block-exogeneity restriction. Monetary transmission did not prove to be strongly effective via neither of the estimated channels, although the exchange rate channel demonstrates the results which are more in line with the economic theory. In addition, the exchange rate channel shows the higher and more significant pass through. Further, we estimate the importance of the shocks of both home and for- eign economies for the domestic variables deviations using variance decomposition technique. The relevance of the Russian shocks in fluctuations of home variables is found out. The current estimation of the transmission mechanism is relevant due to the planned inflation targeting regime implementation in Ukraine which requires understanding of that processes in the economy. 1
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Forecasting Ability of Confidence Indicators: Evidence for the Czech Republic
Herrmannová, Lenka ; Horváth, Roman (advisor) ; Mikolášek, Jakub (referee)
This thesis assesses the usefulness of confidence indicators for short term forecasting of the economic activity in the Czech Republic. The predictive power of both the business confidence indicator and the customer confidence indicator is examined using two empirical approaches. First we predict the likelihood of economic downturn defined as a discrete event using logit models, later we estimate GDP growth out of sample forecasts in the framework of vector autoregression models. The results obtained from the downturn probability models confirm the ability of confidence indicators (especially the business confidence indicator) to estimate the current economic situation and to anticipate economic downturn one quarter ahead. Results from the out-of-sample GDP growth value forecasting are ambiguous. Nevertheless the customer confidence indicator significantly improved original forecasts based on a model with standard macroeconomic variables and therefore we conclude in favour of its predictive power. This result was indirectly confirmed by OECD as the Czech customer confidence indicator has been included as a new component in the OECD domestic composite leading indicator since April 2012.
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CEE fiscal deficits in the course of financial crisis
Mareš, Jan ; Schneider, Ondřej (advisor) ; Jeřábek, Jakub (referee)
The thesis covers the fiscal adjustments of countries in Central and Eastern Europe (CEE) since the financial crisis of 2008/2009. The topic revolves around ongoing debate about the right steps to stabilize government finances and encourage economic activity. It provides an overview of the measures undertaken by the governments of the Czech Republic, Estonia, Latvia, Lithuania, Hungary, Poland, Slovenia and Slovakia. The discussion of fiscal rules and institutions in CEE is also presented along with their influence on budgetary discipline. We follow with the review of literature debating government expenditures and government revenues having impact on economic growth. These relationships are then explored for countries of the CEE region based on the data from 1999 onwards. We apply Granger causality tests on reduced-form vector autoregressions and since we find no significant relationships between the government revenues, expenditures and GDP, we continue with structural vector autoregression using identification procedure developed by Blanchard and Perotti (2002). After identification, we utilize impulse response analysis to compute the multipliers of government expenditures and revenues. The multipliers generally take values close to zero and are found insignificant.
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Macroeconomic stress-testing of banking systems: survey of methodologies and empirical application
Šimečková, Jana ; Geršl, Adam (advisor) ; Pečená, Magda (referee)
This thesis deals with stress testing as a process that helps to assess the impact of potential adverse shocks on the soundness of a financial system. First section is dedicated to non-technical discussion about stress testing and to some methodological issues. The main focus lies on the system-wide macroeconomic stress testing. The empirical part of the thesis is a contribution to macroprudential analysis of the quality of the aggregate loan portfolio in the Czech Republic. This study adopts a vector autoregression model applied to the Czech banking sector in order to judge its stability and present some evidence on macroeconomic variables affecting the Czech banking system. As a measure of the strength of the loan portfolio is used the stock of non-performing loans vis-à-vis total loans in the sector. The thesis follows the widely used methodology and seeks to identify significant macroeconomic risk factors affecting the loan portfolio quality. The latter part aims also to forecast the most likely development of the loan portfolio.
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Optimal Monetary and Fiscal Policy at Zero Lower Bound
Šestořád, Tomáš ; Potužák, Pavel (advisor) ; Kadeřábková, Božena (referee)
This thesis concerns the interaction of monetary and fiscal policy. Using New Keynesian model, we show the impact of fiscal expansion under different specifications of monetary policy rules. The analysis of the transmission of fiscal expansion focuses on the situation in which central bank's nominal interest rate reaches zero lower bound. We verify the economic model using vector autoregression based on data of the United States. The results of the theoretical and empirical research suggest that the influence of government spending on the product is greater at the zero lower bound.
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The Impact of Financial Variables on Czech Macroeconomic Developments: An Empirical Investigation
Adam, Tomáš ; Plašil, Miroslav
This paper investigates empirically to what extent financial variables can explain macroeconomic developments in the Czech Republic and how the results are sensitive to some (usually reasonable or routinely made) modeling choices. To this end, the dynamic model averaging/selection framework is applied to a universe of (potentially large) time-varying parameter VAR models, which allows one to assess the explanatory power of financial variables at each point in time. Based on a set of 27 competing models and an extensive ensemble of alternative specifications of those models, we find that financial variables were particularly relevant in explaining developments in the lead-up to and during economic downturns. By contrast, in tranquil times, models containing only traditional macroeconomic variables explained macroeconomic dynamics reasonably well. Within the broad set of financial variables considered, credit to the private sector, bank profitability, and leverage seem to be among the most relevant indicators.
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What the Data Say about the Effects of Fiscal Policy in the Czech Republic?
Baxa, Jaromír
In this paper, we provide the estimates of the fiscal multiplier in the Czech economy, based on the methodology of the fiscal VAR. The basic idea, adding fiscal variables into the macroeconomic VAR model, follows Blanchard and Perotti (2002). For estimation of our model, we utilize the dataset with quarterly data on a sample from the first quarter of 1998 to the second quarter of 2009. Our main results are as follows. Firstly, government expenditures have a positive and significant impact on the GDP. By contrast, a response of GDP on a shock to government revenues is slightly negative and in most specifications not significant. Secondly, these results are robust to various sensitivity checks. Consequently, the restoration of sustainable fiscal policy should focus rather on the revenues side than in the government expenditures, since a significant cut in government spending would probably have slowed down economic growth. Finally, we should note, that uncertainty connected with our results is large, namely in comparison with existing studies on the effects of monetary policy.
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Fundamental analysis of RWE AG title
Nemšáková, Alena ; Musílek, Petr (advisor) ; Witzany, Jiří (referee)
The goal of the diploma thesis: "Fundamental analysis of RWE AG title" is to determine an intrinsic value of the RWE AG share using detail analysis. The first -- theoretical -- part deals with financial environment where the title is being traded and quoted. This part characterised german indices, mainly index DAX 30, because its component is also RWE AG share. The electronic system Xetra is described here as well. Fundamental analysis itself - including global, sector and enterprise analysis - is the subject of the second section. At the end of this work, the intrinsic value is evaluated and subsequently the forecast is outlined.
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