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Statistical analysis and modeling of inflation
Baniar, Matúš ; Zichová, Jitka (advisor) ; Hurt, Jan (referee)
Title: Inflation modeling Author: Matúš Baniar Department: Department of probability and mathematical statistics Supervisor: RNDr. Jitka Zichová Dr., Department of probability and mathematical statistics Abstract: Inflation, the growth of the general price level, is a common economic phenomenon, which is a macroeconomic problem. The thesis deals with the me- thods by which it is possible to model inflation and therefore to understand its de- velopment. In the first case, the correlation and regression analysis, which deal with the relationship of two or more variables and the following selection of the appro- priate mathematical model. The model of linear regression is described also with methods by which we analyze its adequacy. Another described method is the analy- sis of one-dimensional time series, which we apply so called Box-Jenkins methodol- ogy. Both approaches are illustrated on real financial data using the software Wol- fram Mathematica 8. Keywords: inflation, correlation analysis, regression analysis, time series
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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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Central Bank Transparency and Price Stability
Katuščáková, Dominika ; Horváth, Roman (advisor) ; Luňáčková, Petra (referee)
The thesis investigates the central bank transparency employing the Monetary Policy Transparency Index. The main objective is to investigate recent trends in the central bank transparency. First, the level of monetary policy transparency is investigated from various aspects, as, for instance, time or geographical aspect. In the next part, all the data are averaged and linear regression analysis is carried out to detect the determinants of the monetary policy which explain the variation among the individual central banks. Finally, panel regressions are conducted to explore the time variation in the monetary policy transparency in the countries. Throughout the text, all the results are compared with the results presented in the paper by Dincer & Eichengreen (2009). The data show that the overall time trend in the level of monetary transparency is increasing. It can be concluded that inflation targeters are generally more transparent than countries with other frameworks. The same applies to advanced countries and emerging and developing countries. The de facto exchange rate regime and all political variables used significantly determine the variation in the monetary policy transparency comparing individual countries. GDP per capita and financial depth significantly influence the time variation in 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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Comparison of the inflation prediction approaches: Monetary growth vs. Output gap analysis
Kuliková, Veronika ; Horváth, Roman (advisor) ; Hlaváček, Michal (referee)
Inflation is one of the often used monetary indicators in conducting monetary policy. Even though money supply is an essential determinant of inflation, it is not used in inflation modeling. Currently, output gap is considered as most predicative variable. This thesis brings the empirical evidence on the hypothesis of money supply carrying more information on estimating inflation than the output gap. It is provided on the case of 16 developed European economies using Bayesian Model Averaging (BMA). BMA is a comprehensive approach that deals with the model uncertainty and thus solves the variable selection problem. The results of analysis confirmed that money supply includes more information of inflation than the output gap and thus should be used in inflation modeling. These outcomes are robust towards prior selection and high correlation of some variables. Powered by TCPDF (www.tcpdf.org)
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Comparison of the inflation prediction approaches: Monetary growth vs. Output gap analysis
Kuliková, Veronika ; Horváth, Roman (advisor) ; Babin, Adrian (referee)
Inflation is one of the often used monetary indicators in conducting monetary policy. Even though money supply is an essential determinant of inflation, it is not used in inflation modeling. Currently, output gap is considered as most predicative variable. This thesis brings the empirical evidence on the hypothesis of money supply carrying more information on estimating inflation than the output gap. It is provided on the case of 16 developed European economies using Bayesian Model Averaging (BMA). BMA is a comprehensive approach that deals with the model uncertainty and thus solves the variable selection problem. The results of analysis confirmed that money supply includes more information of inflation than the output gap and thus should be used in inflation modeling. These outcomes are robust towards prior selection and high correlation of some variables.
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Central Bank Transparency and Price Stability
Katuščáková, Dominika ; Horváth, Roman (advisor) ; Luňáčková, Petra (referee)
The thesis investigates the central bank transparency employing the Monetary Policy Transparency Index. The main objective is to investigate recent trends in the central bank transparency. First, the level of monetary policy transparency is investigated from various aspects, as, for instance, time or geographical aspect. In the next part, all the data are averaged and linear regression analysis is carried out to detect the determinants of the monetary policy which explain the variation among the individual central banks. Finally, panel regressions are conducted to explore the time variation in the monetary policy transparency in the countries. Throughout the text, all the results are compared with the results presented in the paper by Dincer & Eichengreen (2009). The data show that the overall time trend in the level of monetary transparency is increasing. It can be concluded that inflation targeters are generally more transparent than countries with other frameworks. The same applies to advanced countries and emerging and developing countries. The de facto exchange rate regime and all political variables used significantly determine the variation in the monetary policy transparency comparing individual countries. GDP per capita and financial depth significantly influence the time variation in the...
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Forecasting Exchange Rates: A VAR Analysis
Mida, Jaroslav ; Horváth, Roman (advisor) ; Ivanková, Kristýna (referee)
This thesis aims to out-of-sample forecast the USD/EUR exchange rate using four macroeconomic variables, namely ination, interest rate, unemployment rate and industrial production index. The model applied is the vector autoregressive model. We use monthly data for a period of 2002-2011 and use the data from 2012 in order to compare the forecast accuracy with the random walk, which is believed to outperform many models when forecasting for a short-time horizon, such as one year. We found out that the vector autogressive model beat the random walk in the period of one and three months, which was surprising. In the longer horizon of six, nine and twelve months, random walk, as expected, heavily outperformed vector autogressive model. The reasoning behind this could be that there was no clear trend in the USD/EUR exchange rate during this period.
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Statistical analysis and modeling of inflation
Baniar, Matúš ; Zichová, Jitka (advisor) ; Hurt, Jan (referee)
Title: Inflation modeling Author: Matúš Baniar Department: Department of probability and mathematical statistics Supervisor: RNDr. Jitka Zichová Dr., Department of probability and mathematical statistics Abstract: Inflation, the growth of the general price level, is a common economic phenomenon, which is a macroeconomic problem. The thesis deals with the me- thods by which it is possible to model inflation and therefore to understand its de- velopment. In the first case, the correlation and regression analysis, which deal with the relationship of two or more variables and the following selection of the appro- priate mathematical model. The model of linear regression is described also with methods by which we analyze its adequacy. Another described method is the analy- sis of one-dimensional time series, which we apply so called Box-Jenkins methodol- ogy. Both approaches are illustrated on real financial data using the software Wol- fram Mathematica 8. Keywords: inflation, correlation analysis, regression analysis, time series
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