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Independency of central banks
Pištej, Daniel ; Vejmělek, Jan (advisor) ; Šíma, Ondřej (referee)
Bachelor thesis focuses on the topic of central bank independence and its relation on inflation development. The main point of the thesis is description and formation of the coefficient of independence, its distribution on individual parts and subsequent examination of influence of the degree of independence on the course of inflation and the magnitude of the deviations of inflation from target inflation rate on the selected sample of countries. Further, the thesis focuses on the analysis of the independence of monetary policy according to the trilemma and its subsequent comparison with the coefficient of independence. It is assumed that higher levels of central bank independence will lead to more favorable inflation developments, smaller deviations from targeted inflation rate and long-term sustainability. At the same time, the coefficient of independence will very much resemble the independence of monetary policy.
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Testování technické analýzy na USD/JPY
Danilov, Evgenii ; Vejmělek, Jan (advisor) ; Šíma, Ondřej (referee)
The main objective of this thesis is to create a successful Forex trading strategy based only on chart patterns as an instrument of the technical analysis method. To fulfill the aim of the work, it is devided into two parts. Part One describes theoretical aspects of Forex trading such as basic terms and principles and gives the reader an insight into evaluation methods used on the market. There is an introduction to the technical analysis and a detailed explanation of the instruments used in this method. Part Two is dedicated to practical aspects of the work. There is the strategy compiling and its subsequent testing and analysis. Testing is made on real historical data from 2016. As an underlying instrument, the USD/JPY pair was chosen. The main contribution of the bachelor thesis is a detailed description of the strategy building process. It is also tested if the strategy based on chart patterns may be successful without using indicators as a supporting instrument.
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Euro adoption in Slovakia
Panáková, Patrícia ; Vejmělek, Jan (advisor) ; Šíma, Ondřej (referee)
The subject of the bachelor thesis is to describe the process of preparation and adoption of euro currency in the Slovak Republic. Slovakia showed a significant convergence to the euro area after joining the EU in 2004. Despite the worsening economic situation due to the global economic crisis, Slovakia did not have problems meeting the Maastricht convergence criteria. Long-standing and thorough preparation helped smooth transition from the Slovak crown to the euro. The Slovak Republic became the sixteenth member in the euro area on 1st January 2009. Currency change brought advantages and disadvantages to the banking sector. In the long run, banks lost a significant part of foreign exchange transactions, but on the other hand, they gained better access to the European interbank market.
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Hodnotové investování (Value Investing)
Kaňka, Matěj ; Vejmělek, Jan (advisor) ; Šíma, Ondřej (referee)
Bachelor thesis is focused on finding suitable investments in stocks and bonds based on evolution of value investing. Two main concepts of value investing are intrinsic value and margin of safety. Thesis includes theoretical knowledge of stocks and bonds investments as well as examples of investment strategies. The result is a guidance of how to apply theory on capital markets to achieve capital appreciation. During the research for a potential investment great emphasis is placed on investment idea. Investment story is based on qualitative and quantitative information. Key aspects of this thesis are to provide needed theoretical basics and practical examples of investment decision making. The examples may be used as a support during other investment analyses.
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Methods for Estimating Potential Output
Skok, Daniel ; Vejmělek, Jan (advisor) ; Šíma, Ondřej (referee)
The purpose of this thesis is to describe selected methods for estimating potential output. In the first part, methods used for the estimation of potential output are described including the discussion of advantages and disadvantages of their application. Subsequently, the potential output from 1996 to 2016 is estimated based on three selected methods using the data of gross domestic product in the Czech Republic. The methods used are Hodrick-Prescott filter, Kalman filter and Cobb-Douglas production function. In the conclusion, results of those three methods are compared with each other and furthermore compared with results published by the Czech National Bank and the Mistry of Finance.
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Moddeling of interest rates at the financial markets
Myška, Petr ; Hurt, Jan (advisor) ; Vejmělek, Jan (referee) ; Keprta, Stanislav (referee)
Traditional Monte Carlo methods for a calculation of risk quantities (mainly VaR and TVaR) use for modeling of individual risk factors very simplified models of stochastic differential equations, where the drift and diffusion functions contain usually only one or two parameters. Such approach naturally reduces the accuracy of the final result and may significantly underestimate the risk of the portfolio. In this paper we focus on the construction of a portfolio risk model that uses nonparametric statistics theory. We shall assume the development of risk factors (specifically interest rate curve) is described by stochastic differential equation, but set minimum requirements for the drift and diffusion functions and thus better reflect the information contained in historical observations. Keywords: stochastic process, nonparametric estimation, diffusion, drift, local time, VaR, TVaR
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Foreign-exchange interventions as an unconventional tool of monetary policy of the CNB: the Swiss National Bank and the Bank of Israel experience comparison
Poláková, Aneta ; Vejmělek, Jan (advisor) ; Šíma, Ondřej (referee)
This thesis deals with the use of foreign-exchange interventions as an unconventional tool of monetary policy in inflation targeting regime. It is primary focused on monetary policy of the Czech National Bank and foreign-exchange interventions that have been executed since November 2013. Further, it is devoted to interventions executed by the Swiss National Bank and the Bank of Israel. The main aim is to analyse the experience of previously mentioned central banks with foreign-exchange interventions, to describe main reasons and goals, and especially impacts of interventions on economies of related countries while focusing on inflation, GDP and unemployment. The last part provides the evaluation of referred intervention regimes and their comparison.
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Importance of reference interest rates and LIBOR manipulation
Kolář, Petr ; Vejmělek, Jan (advisor) ; Šíma, Ondřej (referee)
This diploma thesis is focused on a role of reference interest rates in developed market economies. There are described interest rate transmission mechanism and discussed factors, which led to manipulation of the LIBOR. How the manipulation was done and what reactions of supervisory authorities it induced. There are also listed proposed recommendations to ensure transparent reference indicators. This work also includes analysis of reference interest rates used in the Czech Republic. At the end of the thesis can be found application of a reference rate fixing process in a game theory model as well as application of Benford´s law as an indicator of the manipulation.
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Heterogeneity and segmentation of participants on the Czech foreign exchange market
Paleček, Jiří ; Vejmělek, Jan (advisor) ; Šíma, Ondřej (referee)
The work focuses on the history and development of the foreign exchange market, and consequently the overall characteristics of the foreign exchange market. Then this work compares retail and wholesale foreign exchange market. In examining the volume and structure of the turnover on the foreign exchange market. Access to the information of individual entities, where wholesale participants have a huge benefit because of the many advantages, mainly financial benefits. Determining whether the market is centralized or decentralized, it depends on the subject, retail market is decentralized and wholesale is centralized. It was also examined the behavior of the marginal individual entities, there are large differences between small and large entities. And that's also true for their influence, but to this I came up with Noise Trader theory, which shows that the situation can be reversed and retail traders streamlines the market. The work points out that problem when retail market penetrate on the wholesale market. And finally, the work offers insights into the problem of the missing middle market, or a stronger segmentation of market. The last point is the nightly news, and how individuals respond to them.
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Currency interventions: comparison of czech and suisse central bank.
Kohout, Eduard ; Vejmělek, Jan (advisor) ; Šíma, Ondřej (referee)
This thesis aims at currency interventions executed by Czech and Suisse central bank and their following comparison. Currency interventions became lately monetary instrument that both central banks adopted. Effect of intervention on real economic situation in both countries will be content of this thesis. Because of the scale off the interventions, this issue is still current and it is still publicly debated. First part of this thesis introduces systems of exchange rate arrangements and describes the role of central bank. Second part of this thesis deals with currency interventions in Czech Republic and focuses on intervention impacts on real economics. Third part is devoted to Suisse currency intervention.
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