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Phillips curve verification by time series analysis of Czech republic and Germany
Král, Ondřej ; Arltová, Markéta (advisor) ; Blatná, Dagmar (referee)
Government fiscal and monetary policy has long been based on the theory that was neither proven nor refuted since its origination. The original form of the Phillips curve has undergone significant modifications but its relevance remains questionable. This thesis examines the correlation between inflation and unemployment observed in the Czech Republic and Germany over the last twenty years. The validity of the theory is tested by advanced methods of time series analysis in the R environment. All the variables are gradually tested which results in the assessment of the correlation between the time series. The outcome of the testing is presented for both countries and a comparison at international level is drawn. Is is discovered that both of the countries have dependencies in their data. Czech republic has significant dependency in both ways, for Germany is the dependency significantly weaker and only in one way.
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Analysis of debt development in the Czech Republic
Krýslová, Petra ; Bašta, Milan (advisor) ; Helman, Karel (referee)
The aim of this diploma thesis is to analyze the development of the total volume of debt in the Czech Republic and the analysis separately for the household sector and non-financial corporations. From economic theoretical assumptions it can be concluded that there is a correlation between the amount of loans and GDP development or between credit and economic cycle. The thesis is divided into three parts. The first part made up of chapters 1 to 4, describes the theory used further in the text. The second part, Chapter 5, describes the specific time series used in the thesis, i.e. The time series of the volume of debt for the Czech Republic, GDP and interest rates. Interest rates and the volume of debt are further broken down by maturity and also by two selected sectors. The last part, Chapter 6, focusing on co-integration analysis, ADL and error correction models, attempts to capture short-term and long-term relationships between the time series.
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How does gasoline stations in Czech republic react to change of crude oil price on commodity exchange?
Hrabalík, Ondřej ; Stroukal, Dominik (advisor) ; Vozárová, Pavla (referee)
Aim of this thesis was finding out whether there is asymmetry on gasoline market in Czech republic, which is common knowledge or if asymmetry is only illusion. With daily data about gasoline and diesel prices from CZ market and also daily Brent Crude Oil price, thesis tires to prove that there is no asymmetry on the market. Analysis was done with asymmetric error correction model and further testing of asymmetry with koeficients from ECM. Results yield that both gasoline and diesel markets show rather symmetrical reaction on entry price change. Asymmetry was proven only in few lags and final statement is that asymmetry on market in Czech republic is rather illusion then reality.
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Inflation analysis and its comparison in the Czech Republic and Germany
Maxa, Jan ; Hušek, Roman (advisor) ; Formánek, Tomáš (referee)
The aim of this paper is to analyse and compare inflation and its dynamics between two countries -- the Czech Republic and Germany -- applying a special kind of econometric models. The first part of this paper is dedicated to economic theory of inflation -- fundamental terms, measuring methods and its targeting. The monetary policy in the Czech Republic and Germany is also shortly introduced. Next chapter tries to describe the econometric concept which is used in this paper -- vector autoregression model (VAR model). In connection with the VAR models, Granger causality, impulse response function, cointegration and error correction model are mentioned as well. The empirical part includes application of selected models on real time series of macroeconomic indicators. Next to the interpretation of results, the forecasts are also implemented.
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Models of inflation and its volatility in CZ
Bisová, Sára ; Hušek, Roman (advisor) ; Pelikán, Jan (referee)
This paper focuses on analysing and modelling inflation and its dynamics in Czech Republic applying a special kind of econometric models. Firstly economic theory of inflation is mentioned - fundamental terms, measuring methods of inflation, the way Czech national bank is monitoring the inflation and obviously a short summary of historical evolution of inflation in Czech economy. In the second part of this paper two econometric concepts of modelling time series are introduced - vector autoregression models (VAR models) and volatility models, concretely ARCH and GARCH models. In connection with the VAR models, Granger causality, impulse response functions, cointegration and error correction models are described. The empirical part includes application of selected models on real time series of chosen macroeconomic indicators. The estimation outputs are interpreted and forecasts are implemented. The quality of chosen econometric models for modelling inflation in Czech Republic is discussed.
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Econometric analysis of inflation in the Czech Republic
Demeš, Jiří ; Hušek, Roman (advisor) ; Pánková, Václava (referee)
The degree work is focused on analysis of inflation with help of suitable econometric models. Inflation with it's forms and possibilities of measuring is described at the beginning of the paper. There is mentioned an importance of monitoring and analysing inflation in view of Czech national bank. Consequently there are described characteristics of time series, which are important from viewpoint of construction of econometric models. Next part of this paper is focused on characterization of econometrics models. At first there is vector autoregression model, in this connection there is discussed the essence of Granger causality and impulse reaction. There are also noticed both error correction model and vector error correction model. The empirical part of degree work involves the use of these models on selected macroeconomic time series of the Czech republic. The objective is to analyze the relationship between inflation and other individual macroeconomic quantities. There is established the optimal vector autoregressive model and the results of Granger causality and impulse reaction are interpretated. Both error correction model and vector error correction model examining cointegration are also applied.
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