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Sladěnost hospodářského cyklu Německa a sousedních zemí
Fuksová, Marie
This thesis deals with the identification and synchronicity of business cycles of Germany and the neighboring countries. The business cycles of the countries was determined using GDP data. There are used two methods to estimate the output gap: Hodrick-Prescott filtr and the method of first order difference. To assess the synchronicity of business cycle in selected countries, a correlation analysis and concordance coefficient were used.
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Metody odhadu potenciálního produktu a produkční mezery aplikované na země Visegrádské čtyřky
Jakubů, Vladislav
The aim of the thesis was the application of robust econometric methods to find the potential product and to determine the production gap of individual Visegrad countries. In total, four estimation techniques were used to find the potential product, namely the Hodrick Prescott filter, the Cobb Douglas production function, the CES production function, and the Kalman filter. The data base of the investigated variable then came from the OECD database and covered the 1995:1 to 2017:4 and 1996 to 2018 years respectively. All the results obtained were then compared both with each other and the estimates published by the Organization for Economic Cooperation and Development and the European Commission.
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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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Search of the most suitable method of estimation of output gap for the czech economy
Kloudová, Dana ; Brožová, Dagmar (advisor) ; Mirvald, Michal (referee) ; Lukáš, Ladislav (referee)
By monetary policy decisions, central banks use output gap to keep macroeconomic variables at their natural levels. A substantial disadvantage of this variable is the fact that it is an unobservable variable which is very problematic to measure, although it is possible to estimate it with various methods of estimation. This thesis aims to find the most suitable method of estimation for Czech economy. Thirteen methods have been chosen for this aim: linear trend, quadratic trend, HP filter, band-pass filters, robust trend, univariate unobserved component model, two types of production function, two SVAR models, multivariate HP filter and multivariate unobserved component model. Own estimations have shown that estimated trajectories of unobservable states were not identical. For own selection of the most suitable method of estimation, quantitative (ability to forecast inflation ,a growth of product and data revisions by selected national and international organisations) and qualitative criterions (qualities of methods of estimation, transparency and easy application) have been selected, where emphasis was put on quantitative criterions. Results of this thesis will show that the most suitable method of estimation output gap for Czech economy is multivariate unobserved component model.
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Přeshraniční dopady fiskálních politik
Maleček, Petr ; Kadeřábková, Božena (advisor) ; Janíčko, Martin (referee) ; Beck, Jiří (referee)
This study seeks to analyse and quantify cross-border effects of discretionary fiscal policies from two major points of view. The aggregate approach rests on the use of the structural vector autoregression model (SVAR) and its extension, the global vector autoregression model (GVAR). The discretionary fiscal impulse itself is then defined as a change in cyclically adjusted balance of the government sector, calculated at quarterly frequencies. This section is then complemented by a case study of a single measure: the German car scrapping scheme during 2009 and its effects on the Czech economy. It was found that cross-border effects of discretionary fiscal policies may be indeed present, in case certain conditions are met. Importantly, a fiscal impulse has to originate from a sufficiently large economy and there needs to be a tight trade linkage between examined countries. In most cases, cross-border effects have also been found of lesser magnitude than direct impacts of fiscal policies on the domestic country. Finally, as demonstrated on the German-Czech case, even a single fiscal measure can trigger substantial cross-border spillovers. It was estimated that this measure positively contributed to real GDP growth in 2009 in the Czech Republic by 0.44 pp.
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Odhad potenciálneho produktu a produkčnej medzery v Českej republike a na Slovensku
Kolárik, Peter
This thesis has two goals. The first goal is to estimate potential output and output gap in the Czech Republic and the Slovak Republic by using Hodrick-Prescott filter. The second goal deals with dependence of stock markets, repre-sented by stock indices, and real output, represented by Gross Domestic Product in the Czech Republic and the Slovak Republic by using correlation analysis and Granger causality test.
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Estimating of potential output in the Czech Republic and its relationship to the business cycle
Svatošová, Ludmila ; Kloudová, Dana (advisor) ; Chytilová, Helena (referee)
Potential output is used as the indicator of the business cycle. The aim of this study is to compare the results of different methods used for estimating potential output and verify the hypothesis that potential output or rather the output gap can serve as a reliable indicator to determine the phase of the business cycle in the Czech Republic in the years 1996-2012. 6 different methods - linear trend, Hodrick-Prescott filter, Baxter-King filter, Butterworth filter, Kalman filter and the production function have been used to estimate potential output. The output gap was determined based on the estimated potential output. The comparison of the results of all methods has confirmed the same development trend of potential output. All the methods for estimating potential output, except Butterworth filter, have showed that their results are good indicators of the business cycle in the Czech Republic.
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Potential output. Econometric application for Czech Republic.
Kyncl, Jan ; Pánková, Václava (advisor) ; Bašta, Milan (referee)
I summarize different methods of potential output and output gap estimation including advantages and disadvantages in this thesis. I also applied two published models on real data for Czech Republic. Concerned models are Hodrick-Prescott filter and so called Production Approach. Both approaches are simultaneously used by ČNB. This thesis offers comparison between HP filter and production approach and comparison of Czech, Austrian and common EU-15 potential output and output gap. Potential output of Austria and EU-15 was obtained from OECD database. Comparison result refers to very similar progress of estimate obtained by univariate and multivariate method. It also shows different trend behavior of domestic economy against more developed EU countries, which is starting to be similar at the end of observed period.
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What is the Predicative Ability for Unemployment Rate of Different Methodologies for Output Gap Estimation?
Holá, Martina ; Kubíček, Jan (advisor) ; Chytil, Zdeněk (referee)
The submitted diploma thesis is dedicated to the calculation of the estimation of output gap by three estimating techniques (Hodrick-Prescott filter, Kalman filtering, and Cobb-Douglas production function) for the Czech Republic during the years 1995-2009, and, consequently, to their usefulness for testing the Okun's law as a suitable predicative tool. In other words, which of the mentioned methods is the most appropriate one for an accurate prediction of the rate of unemployment. To achieve this, the Box-Jenkins methodology is used for modelling and designing the cyclical unemployment forecasts and dynamic version of the Okun's law. The results indicate that, for the given period, there is relatively strong and unstable relationship between changes in output gap and changes in cyclical unemployment in the Czech Republic. The most suitable technique for the estimating of the future development of unemployment gap seems to be the Cobb-Douglas production function approach. This is namely based on the quantity of gained forecast errors and Granger causality.
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