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Gold as a Stable Asset in Economic Recession: An Econometric Analysis
Petrželka, Václav ; Baruník, Jozef (advisor) ; Kukačka, Jiří (referee)
Due to its reliability, durability and rarity, gold has been seen for centuries as a safe haven investment that should prevent large losses during financial crises. However, the question arises whether this characteristic is still relevant for gold. In our thesis, we distinguish between two main aspects of a safe haven asset, namely the degree of volatility and the ability to predict as accurately as possible the evolution of the volatility of a given asset. The major economic crises of the 20th century show us that the volatility of gold during them was lower than that of other assets. We therefore follow up with a detailed analy- sis comparing the volatility of daily returns for gold, stocks, commodities and cryptocurrencies over the period 2006-2021. We find that gold volatility was indeed lowest during the Great Recession after 2007 and after the outbreak of the Covid-19 pandemic in 2020. We also confirm an asymmetric response to negative returns for stocks and commodities, which is not the case for gold and cryptocurrencies. We test the ability to predict assets by comparing predicted daily volatilities and realized daily volatilities over more than a six-month inter- val in 2014 and 2021. We find no relationship to confirm that gold has higher predictability than other assets. Our findings...
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Economic incidence of corporate income tax
Petrželka, Václav ; Janský, Petr (advisor) ; Godar, Sarah (referee)
The main objective of this thesis is to determine whether and if there is any incidence of corporate income tax on the level of wages. This topic has been discussed for decades, and the conclusions of empirical analyses vary across available studies. Data on 35 OECD Member States for the period 2000-2018 are examined to verify this impact. Because we believe that our variables affect each other over time and at the same time there is a variable in the model that causes heterogeneity, we use a panel VAR model. Altogether, two models are estimated, as we have demonstrated two datasets. However, the results show that there is no evidence that changes to the corporate income tax rate affect wages in any way. Although this discovery is not very statistically significant, it is a very interesting finding, which is consistent with some of the authors of contemporary scientific literature.
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