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Role ekonomického sentimentu v ekonomice zemí EU
Simajchlová, Barbora
This master thesis deals with the identification and quantification of the relationship between selected economic indicators and economic sentiment in EU countries. The literature part is devoted to the definition of the relationship be-tween economic sentiment and selected economic indicators. Econometric methods, in particular VAR models, impulse-response analysis and Granger causality, have been used to identify and quantify the examined relationships. The results showed that ESI has some interdependence with the selected economic variables and can predict their development to some extent.
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PPI and CPI: What is the relationship?
Červený, David ; Polák, Petr (advisor) ; Havránek, Tomáš (referee)
This bachelor thesis examines the relationship between the PPI and the CPI in the Czech Republic and the euro area. The primary method used in this thesis is the Granger causality test. Granger causality between the price indices is tested for in a bivariate model and also conditional on other variables describing the development of real GDP, a given monetary aggregate and wages. The most apparent conclusion that can be drawn from the empirical results indicates that the PPI Granger-causes the CPI in the Czech Republic and that there is no Granger causality going from the CPI to the PPI in the euro area. These results are consistent with conventional economic theory, which suggests a pass-through effect in the production chain going from producer prices to consumer prices.
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Stock Price Bubbles: Identification and the Effects of Monetary Policy
Koza, Oldřich ; Matějů, Jakub (advisor) ; Ryska, Pavel (referee)
This thesis studies bubbles in the U.S. stock market and how they are influenced by monetary policy pursued by the FED. Using Kalman filtering, the log-real price of S&P 500 is decomposed into a market-fundamentals component and a bubble component. The market-fundamentals component depends on the expected future dividends and the required rate of return, while the bubble component is treated as an unobserved state vector in the state-space model. The results suggest that, mainly in recent decades, the bubble has accounted for a substantial portion of S&P 500 price dynamics and might have played a significant role during major bull and bear markets. The innovation of this thesis is that it goes one step further and investigates the effects of monetary policy on both estimated components of S&P 500. For this purpose, the block- restriction VAR model is employed. The findings indicate that the decreasing interest rates have a significant short-term positive effect on the market-fundamentals component but not on the bubble. On the other hand, quantitative easing seems to have a positive effect on the bubble but not on the market-fundamentals component. Finally, the results suggest that the FED has not been successful at distinguishing between stock price movements due to fundamentals or the price misalignment.
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Granger's causality in financial time series
Marčiny, Jakub ; Voříšek, Jan (advisor) ; Lachout, Petr (referee)
The bachelor thesis discusses causality in multiple time series. Granger causality, along with its more general counterparts instantaneous causality and multistep causality, are utilized to study the mutual influence of the individual components of a multiple time series. These concepts are investigated within the framework of vector autoregressive models VAR. After the introduction of basic definitions and facts, the construction of VAR model is described including methods for order selection and verification. Subsequently, causal relations within the model are examined. Finally, empirical analysis of real financial market data is performed using tests procedures programmed with computational software Mathematica.
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Bitcoin: Pyramid-scheme Wildfire, New Online Payment Medium, or Future Alternative Currency?
Vozak, Hugo ; Dědek, Oldřich (advisor) ; Polák, Petr (referee)
This thesis explores the price determinants of Bitcoin using a macroeconomic model based on the economic equation of exchange presented by Joseph Wang (2014). The thesis provides a concise and structured introduction to Bitcoin and a comprehensive literature review on Bitcoin. The analysis begins with the application of the functions of money to Bitcoin, arguing that while Bitcoin does fulfill the three classical functions of money to a certain extent, its use remains mainly as a speculative instrument. Wang's model is criticized and amended to reflect the realities of empirically analyzing the Bitcoin market. Using the daily number of transactions and Bitcoin days destroyed as proxies for economic activity and inactivity - to measure Bitcoin's velocity on the block chain - vector autoregression modelling is used to determine if there is Granger causality between the price of bitcoin and the two proxies. The results demonstrate that there is a bidirectional Granger-causal relationship between Bitcoin days destroyed and the price of bitcoin and that there is none between the daily number of transactions and the price of bitcoin; proving Wang's two main assumptions. Impulse- response functions are provided to illustrate and discuss this bidirectional relationship. The results are in line with the...
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The Inflation-Output Variability Relationship in the CEE countries: A Bivariate GARCH Model
Kubovič, Jozef ; Čech, František (advisor) ; Červinka, Michal (referee)
This thesis examines the output-variability relationship and causal relationships among the inflation, the output growth and their uncertainties for the Central and Eastern European region during the period of time that covers the economic crisis of 2008. We apply the bivariate GARCH(1,1) model with the constant conditional correlation covariance matrix to obtain conditional variances that proxy the two uncertainties and use Granger causality test to determine the causal effects among four variables. We come up with a number of interesting results. First, we did not find statistical evidence neither for the inflation-output variability relationship nor for the Phillips curve. Second, we uncovered support for the positive causal effect of the inflation on its uncertainty and negative causal effect for the reverse direction. Additionally, we also found some support for the indirect negative causal effect of the inflation on the output growth. These results support the policy of low and stable inflation in the countries. Finally, we showed that crisis has a significant impact on the results, changing the behaviour of conditional variances and causal effects among the variables. Powered by TCPDF (www.tcpdf.org)
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The Profitability of Standard Trading Strategies in Cryptocurrency Markets
Duda, Miroslav ; Krištoufek, Ladislav (advisor) ; Brož, Václav (referee)
The thesis attempts to determine how strategies used for forecasting and trad- ing on foreign exchange and stock markets perform when applied to cryptocur- rency markets. The approaches explored are ARIMA, VAR, MA Crossover, and Granger Causality using gold prices and S&P 500. The currencies traded are Bitcoin, Ethereum, Binance Coin, and Basic Attention Token. The models are trained on logarithmically transformed and differenced time series composed of the currencies' daily and hourly closing prices. Applying these strategies mostly leads to ambiguous results, with MA Crossover generally performing better than VAR, which in turn performs better than ARIMA. However, every strategy was moderately successful for at least one of the currencies examined. Trading on the hourly dataset was negatively influenced by sudden price jumps. ARIMA and VAR perform better in the inter-bubble periods. No significant Granger causality was found. Keywords Cryptocurrency, Trading, Bitcoin, Ethereum, Binance Coin, Basic Attention Token, ARIMA, VAR, MA Crossover, Granger Causality Title The Profitability of Standard Trading Strategies in Cryptocurrency Markets Author's e-mail miroslav.duda11@gmail.com Supervisor's e-mail ladislav.kristoufek@fsv.cuni.cz
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Volatility spillovers between crude oil and food commodities
Hrycej, Martin ; Krištoufek, Ladislav (advisor) ; Janda, Karel (referee)
In this thesis, we analyze volatility spillovers between crude oil and food commodities. The principal hypothesis assumes crude oil to behave as a production factor of the agricultural food commodities, thence we are looking for appropriate price effects. We mainly employ wavelet coherence and partial wavelet coherence, which provide us with valuable insight into the commodities nexus, without any strict restraints and assumptions levied on our data. Secondly, we build a DCC-GARCH model in order to model the presumed volatility spillovers. We also perform several simple benchmark analyses, in particular we test for Granger causality and we compute the Pearson correlation coefficients. Our data sample, including 10 commodities and 2 indices, covers the latest decade, significantly widening the existing contextual literature. Our results are mostly compliant with related literature, especially regarding the crude oil-fuels bundle and food commodities bundle, respectively. Considering the main research question of volatility spillovers between food commodities and crude oil, our results are indicating reasonably strong relationships with crude oil for soybeans and corn, leaving cotton and wheat rather on the verge of strong relationship and finding cattle to be completely unrelated. Main merits of the thesis...
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Presidential rhetoric, sentiment and their relation to stock markets
Partelová, Mária ; Šopov, Boril (advisor) ; Žigraiová, Diana (referee)
This thesis intends to uncover the linkages between the emotions contained within remarks of the president of the United States expressed on Twitter and movements of the stock market indices. The daily comments of the two consecutive presidents, Barack Obama and Donald Trump are annotated with sentiment intensity values using the lexicon-based model called VADER. Our analysis further focuses on testing for Granger causality using the bivariate vector autoregression. Overall, three major stock market indices are employed in testing, namely DJIA, S&P 500 and NASDAQ. The results yield a statistically significant Granger causal relationship in the case of the first differences of DJIA and S&P 500 logarithms with time series of Barack Obama's sentiment values.
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Forecasting Capability of the GDP Components: Granger Causality Approach
Michalec, Jan ; Cahlík, Tomáš (advisor) ; Vozková, Karolína (referee)
This work aims to provide with the procedure of bivariate causality testing based on Granger (1969). We focused on exploration of forecasting capability of GDP components on output itself. We examine, which of five components defined in accordance with the expenditure approach can be useful in forecasting economic growth. Overall, the causal relationship is examined on national accounts data from three member states of the European Union: Austria, France and Germany. For the sake of general inference, the Granger causality tests are executed on panel data, too. We concluded, that consumption and investment possess ability to forecast economic growth. In contrast, GDP was found to be useful in forecasting government expenditures.
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