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The System for Collection and Analysis of Cryptocurrency Exchange Rates
Čaládi, Filip ; Pluskal, Jan (referee) ; Veselý, Vladimír (advisor)
Táto bakalárska práca je zameraná na kryptomeny, kryptomenové zmenárne a spôsoby cenotvorby na nich. Cieľom tohoto projektu je zber aktuálnych a historických dát o zmenárenských kurzoch, z dostupných zdrojov, zameraných na kryptomeny a Fiat peniaze. Zozbierané dáta su uložené v štruktúrovanej databáze s ohľadom na efektivitu a správu pamate. Navrhovaný systém, ktorý je schopný popísané dáta zozbierať, poskytuje všetky dostupné informácie vo forme REST API alebo webovej aplikácie a je nasadený v docker kontajneri. Validitu takéhoto systému som odtestoval výkonnostným testovaním modulu zodpovedného za zbieranie dát a implementovaním jednotkových testov pre každú časť systému.
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ECB monetary policy and commodity prices
Aliyev, S. ; Kočenda, Evžen
We assess the impact of ECB monetary policy on global aggregate and sectoral commodity prices over 2001–2019. We employ a SVAR model and separately assess periods before and after the global financial crisis. Our key results indicate that contractionary monetary policy shocks have positive effects on commodity prices during both conventional and unconventional monetary policy periods, indicating the effectiveness of unconventional monetary policy tools. The largest impact is documented on fuel and food commodities. Our results also suggest that the effect of ECB monetary policy on commodity prices transmits through the exchange rate channel, which influences European market demand.
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Econometric Systems of Equations as a Tool for Financial Data Analysis
Vaverová, Jana ; Zichová, Jitka (advisor) ; Krtek, Jiří (referee)
This thesis deals with analysing multivariate financial and economical data. The first section describes various types of econometric systems of equations, vector autoregression and constucting models based on this theory. The second part deals with analysing the dependence of time series of inflation rates on various macroeconomical indicators and reciprocal dependence of two exchange rates time series. All results were obtained by the Mathematica 8.0 software.
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Selected methods for multivariate financial data analysis
Andráš, Adrián ; Zichová, Jitka (advisor) ; Hurt, Jan (referee)
In practice, we often meet data in the form of observations of several variables at various points in time. These data are called time series. We present various approaches in time series analysis; graphical models, vector autoregres- sive models and vector moving-average models. We try to get information about mutual relationship of the variables and then to model their behavior. The used techniques are illustrated on log returns of monthly average exchange rates. The programs are processed in the software Mathematica 7 and can be found on the CD. 1
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Evaluating the predictability of virtual exchange rates using daily data
Řanda, Martin ; Polák, Petr (advisor) ; Kukačka, Jiří (referee)
Virtual worlds have garnered the attention of researchers from various disci- plines and are viewed as particularly valuable to economists due to their open- ended design. In this thesis, we review a popular online multiplayer game's economy and focus on exchange rate predictability in a virtual setting as only a limited body of literature investigated this topic. The well-established unpre- dictability puzzle is addressed by exploiting a unique daily time series dataset using a vector autoregressive framework. Apart from a significant Granger- causal relationship between the virtual exchange rate and the player popula- tion, the system is shown to be less interconnected than expected. Furthermore, an out-of-sample exercise is conducted, and the forecasting performance of our models is examined in comparison to that of a simple no-change benchmark in the short term. Based on the evaluation methods used, the two measures of the virtual exchange rate are found to be somewhat predictable. We suggest two explanations for this inconsistency between the virtual and real-world exchange rates: data frequency and lack of complexity in the considered online economy.
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The System for Collection and Analysis of Cryptocurrency Exchange Rates
Čaládi, Filip ; Pluskal, Jan (referee) ; Veselý, Vladimír (advisor)
Táto bakalárska práca je zameraná na kryptomeny, kryptomenové zmenárne a spôsoby cenotvorby na nich. Cieľom tohoto projektu je zber aktuálnych a historických dát o zmenárenských kurzoch, z dostupných zdrojov, zameraných na kryptomeny a Fiat peniaze. Zozbierané dáta su uložené v štruktúrovanej databáze s ohľadom na efektivitu a správu pamate. Navrhovaný systém, ktorý je schopný popísané dáta zozbierať, poskytuje všetky dostupné informácie vo forme REST API alebo webovej aplikácie a je nasadený v docker kontajneri. Validitu takéhoto systému som odtestoval výkonnostným testovaním modulu zodpovedného za zbieranie dát a implementovaním jednotkových testov pre každú časť systému.
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Dynamics of Exchange Rates in Selected Emerging Markets in Risk-on/Risk-off Periods
Ivanov, David ; Brůna, Karel (advisor) ; Šíma, Ondřej (referee)
This thesis focuses on exchange rates dynamics in Mexico, Turkey and South Korea. We examine the capital flow development in mentioned countries and currency dynamics of the Mexican Peso, Turkish Lira and Korean Won. The main goal of the paper is to evaluate the performance of these currencies in risk-on and risk-off episodes on a sample period from 1997 until 2016. We use analysis and comparison as a methodology for this paper, emphasizing on the relationship and causality between capital flow and exchange rates. We shall reveal that the examined currencies depreciate in risk-off periods and only the Korean Won appreciates in risk-on periods.
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The impact of changing exchange rates on Czech companies
Klečka, Michal ; Baxa, Jaromír (advisor) ; Semerák, Vilém (referee)
This thesis analyses impact of exchange rate exposure in Czech Republic on sample of ten Czech companies. Empirical part of thesis builds on Nazl, Kar, Akel (2014) and through market-based approach states significant impact of exchange rate exposure for 40 % of companies. Higher robustness of results was achieved through improvements in the methodology which, contrary to related literature, eliminates endogeneity of market index through instrumental variable. Surprisingly, the correlations between exchange rates and stocks of Czech companies are positive. An alternative model considering ROA of individual companies as dependent variable was used to confirm these results. The resulting impact of exchange rate exposure of alternative model is opposite. This inconsistency of the results of both models is confusing. The sudden change in exchange rate policy of the Czech National Bank in November 2013 did not affect the sensitivity of the relationship between exchange rates and stocks. The reaction of stock market in November 2013 indicates that policy change made by CNB was not entirely expected. Contrary to the related literature, higher data aggregation decreases the significance of the exchange rate exposure, signifying higher ability of Czech companies to reduce exchange rate risk in longer...
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Coexceedance in Exchange Rates - Analysis of Contagion in Central and Eastern European Countries
Bláhová, Pavla ; Horváth, Roman (advisor) ; Kočenda, Evžen (referee)
The objective of this thesis is to examine the contagion in Central and Easter European countries, namely in Czech Republic, Hungary, and Poland. From all possible propagation channels, it chooses to focus on exchange rates. The method of coexceedance with consequent quantile regression is employed. We find that coexceedance does occur but not as frequently as assumed. The coexceedance occurs more frequently during the depreciation of the currencies. The persistence effect is very significant and the coexceedances are ``continual'' rather than ``correcting'' for previous extremes. We found evidence for both asset class effect and volatility effect. These effects have different impact during the 2008 Financial Crisis most of the times. An evidence for both Hungarian and Polish government bond yields having influence on the coexceedance with Czech Republic. Surprisingly, we did not find evidence for oil market influence on coexceedance.
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