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Essays on Data-driven, Non-parametric Modelling of Time-series
Hanus, Luboš ; Vácha, Lukáš (advisor) ; Witzany, Jiří (referee) ; Ellington, Michael (referee) ; Trimborn, Simon (referee)
This thesis consists of four contributions to the literature on data-driven and non-parametric modelling of time series. In the first paper, we study the synchronisation of business cycles and propose a multivariate co-movement measure based on time-frequency cohesion. We suggest that economic inte- gration may lead to increased co-movement of business cycles, which may reflect the benefits of convergence and coordination of economic policies. The second paper presents a new methodology for identifying persistence in macroeconomic variables. Using time-varying frequency response func- tions, we identify heterogeneous persistence effects in US macroeconomic variables. The third and fourth papers propose data-driven techniques for probabilistic forecasting of time series using deep learning. We introduce a multi-output neural network that selects the most appropriate distribution for the data. The distributional neural network is valuable for modelling data with non-linear, non-Gaussian and asymmetric structures. The third paper demonstrates the usefulness of the method by estimating information-rich macroeconomic fan charts and distributional forecasts of asset returns. In the last paper, we present the distributional neural network to obtain the proba- bility distribution of electricity price...
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Transformation of real estate sector in post-crisis period
Dvorská, Michaela ; Aigel, Petr (referee) ; Ivanička, Koloman (advisor)
Main subject of this diploma thesis is real estate sector, his basic principles, structure and factors of influence. Diploma thesis is analysing actual post - crisis trends in real estate sector, origins and causes of these trends. Special attention is concentrated into the specific development and surroundings of real estate sector in Czech republic. The analysis of the sector transformation intensity is used for searching of future potential of real estate sector, future trends and appropriate measures for healthy growth of real estate sector and long - term sustainability of real estate sector projects. The next one of the main baselines of the thesis is research of behavioral changes of real estate market demand because of cyclicality of real estate market. The research shows context between real estate cycle and business cycle and analyses typical behavioral reaction of demand in various phases of real estate sector cycle.
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Influence of the American economic crisis of 2007 on Czech economy
Gajdošová, Veronika ; Tichá, Milena (advisor) ; Samek, Tomáš (referee)
This diploma thesis focuses on financial crisis from 2007 and its impact on Czech economy. Special attention is given to four macroeconomic indicators in Czech Republic and their transformation during this crisis and after it. First part focuses on definition and description of characteristics and stages of business cycles, first in general and then specifically when talking about 2007's economic crisis. Subsequent practical part analyses specific economic repercussions stemming from the crisis, pointedly in macroeconomic indicators, state budget and mortgage market. In the final part of this thesis, the knowledge and findings about these areas, which accurately depict overall status of Czech economy during the crisis and after it are evaluated and commented on. This thesis may be used by humanities' teachers to illustrate the functioning of business cycles and their impacts on economies. KEYWORDS: Czech economy, business cycle, trade cycle, economic crisis, mortgage crisis, globalization
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An empirical approach to understanding Japan's secular stagnation through Austrian business cycle theory
Kessl, Daniel ; Ryska, Pavel (advisor) ; Moravcová, Hana (referee)
The present thesis estimates an econometric model based on the Austrian business cycle theory on data from the 'lost decades' in Japan - a period of economic stagnation from 1990 to 2010. The results show a negative significant effect both of the ratio of consumption to investment expenditure and the term spread on aggregate economic activity, a result consistent with the expectations and with other empirical studies done on the subject. Overall, the estimation confirms the hypothesis of Austrian business cycle theory that monetary shocks explain business cycles. JEL Classifications B25, C22, C52, E32, E43 Keywords Austrian business cycle theory, Japan, linear regression, time series models, business cycles Author's e-mail 80022787@fsv.cuni.cz Supervisor's e-mail pavel_ryska@volny.cz
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Monetary Expansion and Economic Crises: An Austrian Perspective
Jára, Karel ; Průša, Jan (advisor) ; Havránek, Tomáš (referee)
The study of economic crises has been a major topic of interest in economics since at least the Great Depression and it has come to the fore once again after the latest crisis of late 2000s. It has also been one of the key themes for the Austrian school of economics in the form of the Austrian Business Cycle Theory (ABCT), which puts emphasis on monetary factors influencing capital structure of the economy. In this thesis we provide a comprehensive exposition of the distinctive points of Austrian approach to the study of markets, the ABCT's propositions and conclusions and also the most important criticism of the theory and replies to it. The theoretical part is accompanied by an empirical illustration on the economy of the United States of America in the period starting at the end of the latest crisis. Powered by TCPDF (www.tcpdf.org)
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Czech-German Economic Ties: The Relevance of the Neofunctionalist Approach in the Contemporary Socio-Economic Context
Janíčko, Martin ; Kučerová, Irah (advisor) ; Zemplinerová, Alena (referee)
The thesis was most importantly concerned with the intensity of economic ties between the Czech Republic and Germany from 2004 enlargement, using neofunctionalist approach framework as a theoretical background. Two main hypotheses have been tested and the effects of financial and economic crisis have been also taken into account. We can affirm, based on the observed data and analysis made, that the intensity of economic ties has grown substantially since 2004 as well as the synchronization of the business cycles. Much of these effects could be attributed to the practical working of neofunctionalist premises. This is demonstrated by the fact the EU integration leads to a more significant interconnection in many spheres of economic activity that in turn affect the whole economic development and determination. Economic reciprocity has in general strengthened the political one, which is now being perceived on quite many political levels. However, more or less exogenous effects of the financial and economic crisis of 2008 and 2009 have led to a relatively visible slowdown in further integration and interconnection. From this reason, we can ask ourselves a pertinent question to what extent the integration is about to continue and what will be its impact on political relations of both countries in the...
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Empirical verification of short-run aggregate supply based on Lucas model and new Keynesian theory
Marošová, Ivana ; Potužák, Pavel (advisor) ; Janíčko, Martin (referee)
The aim of the master thesis is to empirically analyze if there is a support for new classics or new Keynesians as a dominant theory of short-run aggregate supply curve. The analysis is based on dynamic panel data model for 38 countries and period between 1970 and 2014. Because the results show some evidence on negative significance of level of inflation in contrast with its variability, I conclude that there is support for the new Keynesian theory. I focus on examination of the panel data assumptions such as the stationarity of explanatory variables, existence of the individual or random effects, validity of homogeneity of slope coefficients and mainly the cross-sectional dependence of error terms. After testing for these assumptions, I choose the most suitable method of estimation for dynamic panel data models. I use these methods for analyzing both linear and non-linear specification of the given model. As a result, we can see that the selection of right estimation method plays a great role in final outcomes. I also check model robustness by including changes of real oil price as a proxy variable for the supply shock in the economy.
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Transformation of real estate sector in post-crisis period
Dvorská, Michaela ; Aigel, Petr (referee) ; Ivanička, Koloman (advisor)
Main subject of this diploma thesis is real estate sector, his basic principles, structure and factors of influence. Diploma thesis is analysing actual post - crisis trends in real estate sector, origins and causes of these trends. Special attention is concentrated into the specific development and surroundings of real estate sector in Czech republic. The analysis of the sector transformation intensity is used for searching of future potential of real estate sector, future trends and appropriate measures for healthy growth of real estate sector and long - term sustainability of real estate sector projects. The next one of the main baselines of the thesis is research of behavioral changes of real estate market demand because of cyclicality of real estate market. The research shows context between real estate cycle and business cycle and analyses typical behavioral reaction of demand in various phases of real estate sector cycle.
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Business Cycle from The Viewpoint of Monetary and Credit Variables
Metrah, Samy ; Mandel, Martin (advisor) ; Koderová, Jitka (referee)
The master's thesis critically analyses the works of John Maynard Keynes and Friedrich August von Hayek concering the explanation of business cycles based on monetary determinants. The analysis is primarily based on J. M. Keynes's Treatise on Money (1930) and Prices and Production (1935) author of which is F. A. Hayek. The thesis, on one hand, refutes the main explanation of the cause of business cycles of the Austrian business cycle theory and, on the other hand, it argues the imcompatibility of the main analytical tool of Treatise with the theory of innovation by J. A. Schumpeter.
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How bussiness cycles infuence property crime?
Havlíková, Iveta ; Lahvička, Jiří (advisor) ; Babin, Jan (referee)
This thesis aims to look into a relationship between business cycles, which are represented by unemployment, and property crime. I used daily data for years 2005-2010 from Prague. Models for seven different types of crimes (Pickpockets, pilfering of motor vehicle, car theft, pilfering of shops, pilfering of restaurants and two kinds of burglaries,(flats, houses) were used to help to examine this relationship. Positive impact of unemployment on property crime was not proven. On contrary there is negative and signifficant effect of unemployment on car thefts and pilfering of shops. One percentage point growth of unemployment causes decrese of car theft by 1,2 cars for one milion inhabitants per day and by 0,32 shops for one milion inhabitants per day. Also a negative impact of state holiday and different impact of climate contitions were proven.
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