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The Impact of Short-term Interest Rate on Stock Prices in the Czech Republic
Michlian, Štefan ; Princ, Michael (advisor) ; Brechler, Josef (referee)
This thesis focuses on the relationship between short-term interest rate and stock prices. The main idea is that if interest-rate increases, it makes holding stocks less attractive relative to fixed income securities. Therefore, investors change the structure of their portfolios and switch capital from stocks to banks, which results in stock prices decrease. In our thesis, we apply GJR-GARCH-t-M model to study the impact of Czech interest rate (14-day PRIBOR) on the Prague Stock Exchange (the PX index). In contrast to the majority of research on this topic, we have found no impact of the PRIBOR rate on the PX index- neither on its mean nor on its volatility. We attribute the absence of a significant relationship to exceptional composition of the PX index. Furthermore, we have found that the recent crisis has significantly changed the behavior of the Czech stock market.
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Two-stage backtesting of Value-at-Risk models
Matyáš, Jan ; Seidler, Jakub (advisor) ; Brechler, Josef (referee)
Bachelor Thesis Two-stage backtesting of Value-at-Risk models Jan Matyáš Abstract This paper deals with a comparative evaluation of various Value-at-Risk models in terms of their prediction accuracy. We use two-stage backtesting procedure to find the most robust methodology in several aspects. Backtesting framework comprises of testing properties of independence, unconditional coverage, and conditional coverage and successive stage, that uses loss function allowing us to compare the two selected models from the previous part. Four European indices are taken to represent both well developed countries (DAX, ATX) and developing countries (PX, WIG). Models are examined over the period from January 1997 to February 2014. The best performing model in our selection appears to be the historical method with a 99% confidence interval. The use of stable distribution or lower confidence interval do not produce satisfactory results. Powered by TCPDF (www.tcpdf.org)
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Wind-tunnel Modelling of Turbulent Flow Inside the Street Canyon
Kellnerová, Radka ; Jaňour, Zbyněk (advisor) ; Brechler, Josef (referee) ; Jonáš, Pavel (referee)
Turbulent flow inside a street canyon was investigated in an open circuit wind tunnel and in a blow-down wind channel. Two geometries were used for comparison purposes: buildings with pitched roofs and with flat roofs. Both generate the flow of a different category, so the induced ventilation regimes are fundamentally different. Quadrant, Fourier and Wavelet analysis, Proper Orthogonal Decomposition (POD) and vortex detection methods are used to identify coherent structures in the flow and establish their impact on the ventilation of pollution. Two types of the organised motions are detected: the compact areas of sweep and ejection with the scale comparable to the size of building and the small vortices generated in the shear layer behind the building roof. POD identifies the most dominant modes with high coherency in the flow and evaluates the relative contributions of each mode to the overall kinetic energy of turbulence. Rigorous analysis of the correctness of the physical interpretation for such a decomposition is carried out. Wavelet analysis is applied to the time-series of the POD expansion coefficients in order to reveal control mechanism of the dynamics of the modes. Vorticity, calculated from the original velocity data, is decomposed by POD as well. Finally, the correlation between the vorticity...
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Analysis of the determinants of the entrepreneurship in a country
Palas, Michal ; Bobková, Božena (advisor) ; Brechler, Josef (referee)
This paper aims at explaining the impact of macroeconomic and institutional conditions on cross- country variation in nascent entrepreneurship. Some authors have found significant effects of macroeconomic and institutional variables in their papers. We use data from 56 countries involved in the Global Entrepreneurship Monitor project. We analyse these data from 2006-2012 period using econometric panel data methods. Our results do not confirm the impact of most of the included variables. The results show that the established entrepreneurship rate seems to influence the nascent entrepreneurship rate positively. We also find weak negative effect of amount of paid-in minimum capital associated with starting business. We test the hypothesis of U-shape relation between economic development and nascent entrepreneurship rate. Our results support this hypothesis only in the model without any control variable. The influence of economic development on nascent entrepreneurship rate is insignificant in our full model. Powered by TCPDF (www.tcpdf.org)
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Mathematical modelling of air-flow in geometrically complicated areas
Fuka, Vladimír ; Brechler, Josef (advisor) ; Fürst, Jiří (referee) ; Jaňour, Zbyněk (referee)
The Charles University Large-eddy Microscale Model (CLMM) and its application are presented. It is a numerical model for simulation of turbulent flow and dispersion in the planetary boundary layer. CLMM solves the incompressible Navier-Stokes equations in the Boussinesq approximation and describes turbulence using the large eddy simulation. Three applications of the model are presented. In the first case, the model is applied to the stable boundary layer over a flat terrain. The second case presents the simulations of stably stratified flows over obstacles. The last case deals with the dispersion of a hazardous material within an urban canopy. It was performed in the frame of the COST Action ES1006 and uses the Michelstadt flow and dispersion dataset for model validation.
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Modelling of exoplanetary atmospheric circulation
Novák, Jiří ; Brechler, Josef (advisor) ; Halenka, Tomáš (referee)
In this thesis we study the properties of exoplanetary atmospheres. The first part describes methods for searching exoplanets, statistics of discovered exoplanets and the sampling factors. The second part describes the properties of chosen planets and moons in the Solar system (Venus, Mars and Titan) and also possible properties of the exoplanetary atmospheres that are only briefly understood. The third part describes the atmospheric models which incorporate a full 3D model of the atmosphere, and a shallow- water model. We also show the results of exoplanetary atmospheric models published in the scientific journals. This part also describes the icosahedral geodetic grid that is advantageous for the global climatic models, and also discretisation on sphere and the application of the operators (gradient, divergence, vorticity) on geodetic grid. The last part is about creating program for global shallow water model in divergence-vorticity variables with forcing system with using icosahedral geodetic grid - we describe technical properties connected with model creating, parameters which the model uses during time integration, geographic system for results display and we show results for various kinds of extrasolar planets and planets in the Solar system. We used several numerical tests for testing model...
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Boundary conditions for stratified flows
Řezníček, Hynek ; Beneš, Luděk (advisor) ; Brechler, Josef (referee)
In this thesis is presented mathematical model of stratified 2D flow of viscous incopressible fluid and its program realization. Basic equations of fluid flow in Boussinesq approximation were solved by finite volume method on structured nonortogonal grid. Discretization was done by the principle of semi-discretisation. The space derivative was solved by AUSM me- thod with MUSCL velocity reconstruction. The viscid terms were solved through auxiliary grids. During time discretization artificial compressibility method was used in dual time. The resulting system of ODEs is integrated in time by a suitable Runge-Kutta multistage scheme. Numerical experiments were calculated for flow with Reynolds number equals 1000. Further 3 numerical experiments are presented with different boundary conditions. 1
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Financial Stability Transparency and Interest Rates
Pařízek, Petr ; Horváth, Roman (advisor) ; Brechler, Josef (referee)
Financial Stability Transparency and Interest Rates Petr Pařízek Abstract This paper examines the relationship between financial stability transparency and nominal interest rates on a panel data with more than 50 countries in years 2000 to 2010, controlling for macroeconomic conditions. We investi- gate the same relationship using monetary policy transparency, we compare the results and based on the existing literature we check for non-linear ef- fects of transparency. Moreover, we examine how this relationship changes in financially good and bad times in terms of financial stress. We find nega- tive relationship between both financial stability and monetary policy trans- parency and short-term interest rates. Especially in the case of monetary policy transparency our results suggest non-linear relationship and the exis- tence of an intermediate optimal level of transparency. For financially good and bad times our findings are miscellaneous, some in accordance and some in contradiction with the literature. Generally, our results suggest that the effect of financial stability transparency on short-term interest rates is weaker than the effect of monetary policy transparency. For the long-term interest rates, we find no evidence of the effect of financial stability nor monetary policy transparency. Examining the data in...
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Terrorism and market risk assessment
Lacroix, Jean ; Patáková, Magdalena (advisor) ; Brechler, Josef (referee)
Charles University in Prague Faculty of Social Sciences Institute of Economic Studies Bibliographic Record of a an Academic Thesis Title in the language of the thesis (as recorded in SIS) Terrorism and market risk assessment Subtitle Translation of the title into English/Czech (as recorded in SIS) Terrorism and market risk assessment Type of the Thesis Master's thesis Author: Bc. Jean Lacroix Year 2015 Advisor of the thesis Mgr Magdalena Patakova Number of pages 77 Awards Specialization Economics (CFS) Abstract in Czech Abstract in English Terrorist attacks are one of the best examples of fast evolving institutional framework. In that context investors are impacted by a lot of pieces of information in a limited period of time. This disturbs the trading behavior and consequently the distribution of returns on the period following the attack (the information was not predicted and directly affects the investment choices). The present thesis focuses on the risk aspect of such disturbances. If terrorist attacks reshape the distribution of returns, it may modify the risk measures (multivariate and univariate). The particularity of the change in distribution implies that the observed translation into financial measures of risk will not be equal among all indicators. First a distinction exists between univariate...
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Inter-sector credit exposure: Contingent claims analysis in the Czech Republic
Brechler, Josef ; Hlaváček, Michal (advisor) ; Janda, Karel (referee)
Linkages between economic agents in form of financial assets might contribute to transmission of shocks between different parts of the economy. Aim of this thesis is to enrich the ongoing discussion about the spread of contagion through the economy. We provide an analysis of financial interlinkages in the Czech economy and using the contingent claims analysis (CCA) model we attempt to quantify risks in the system that that are implied by the existence of these linkages. We use different techniques within the framework of the model to obtain various indicators that can be used to assess stability of the system. Using simulations we find that size of losses due to riskiness of debt depends strongly on the origin of a shock and it is higher for shocks originating in the household sector than for shocks originating in the sector of the non-financial corporations. We also find that size of a decrease in capital of the banking sector needed to cause a distress in the system as relatively high and stable in time. JEL Classification E01, E44, G01, G12, G20 Keywords Balance sheet contagion, financial accounts, network models, contingent claims analysis, systemic risk Author's e-mail josef.brechler@gmail.com Supervisor's e-mail michal.hlavacek@cnb.cz
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