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Wealth and its measurement
Vrabec, Václav ; Musil, Petr (advisor) ; Ondruš, Vítězslav (referee)
Wealth, well-being and the standard of living of the population are among the most important topics of economic policy and statistics. This diploma thesis deals with statistical concepts of wealth measurement, especially the wealth of households. The aim of the thesis is to introduce various indicators that deal with the mentioned issues. This thesis will describe Gross Domestic Product, Household Consumption, EU-SILC Survey, or Alternative Indicators Assessing the Living Standard of the Population. The most important indicator characterizing the wealth of households will be the net worth of households. On the presented indicators I will describe the development of wealth of households in the Czech Republic since 1993. Another part of the thesis is focused on describing the relationship between net worth and other indicators of wealth through cointegration analysis of time series. In this cointegration analysis, the ADL model and the EC model will be used. The last part of the thesis is aimed at the international comparison of the wealth of households within selected European countries. For this comparison will be use a cluster analysis to build clusters of states with a similar household wealth.
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Changes in development of fertility and birth rates depending on the economic conditions in the Czech Republic
Sudová, Petra ; Arltová, Markéta (advisor) ; Šimpach, Ondřej (referee)
This diploma thesis deals with the analysis of the birth rate and fertility rate in dependence on the economic conditions of the Czech Republic. The aim of this thesis is to analyze relations between selected socio-economic indicators and total fertility rate on the basis of available data and to evaluate changes related to birth and fertility in the Czech Republic, which occurred in the period 1993-2015. The thesis is divided into two main parts - theoretical and analytical. In the theoretical part are described the basic methods of calculating the characteristics for the analysis of the level of birthrate and fertility, as well as the development of selected socio-economic indicators. An important part of the first part of the diploma thesis is specification of used methods within time series. The second part is practically focused on cointegration analysis and subsequent assembly of single-row models from which error correction models were obtained by transformation. These can be used to describe short and long term relationships between time series. Explained variables are aggregate fertility in all assembled models, the explanatory variables are GDP, average gross monthly wage, final consumption expenditure for households, child allowances, parental allowance and household loans per capita.
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The Regulatory Arbitrage between Basel III and Solvency II: The Role of Alternative Risk Transfers Demonstrated on CDS Spreads - The Case of Italy
Budská, Petra ; Teplý, Petr (advisor) ; Buzková, Petra (referee)
Different capital regulatory requirements in the bank and insurer markets lead to finding and using of new more complex financial tools linked with capital release and subsequent optimization of the investment objectives, but they are also linked with promises and risk transfers that could cause a collapse or a systemic risk of the financial markets, as evidence by the recent financial crisis. The aim of my work is to examine the behavior of credit default swap spreads on the securitization and reinsurance markets, followed by analyzing arbitrage conditions between securitization and reinsurance markets by cointegration analysis. The thesis focuses on Italy because it is one of four main European players in the securitization market and it has highly developed bank and insurer markets. Moreover, it still faces to consequences of the recent financial crisis that is indicator of strong possible bases for above mentioned complex financial instruments. On the dataset of Top 8 Italian banks and insurer companies in the period 2006 - 2012 I showed by cointegration analysis a presence of just one cointegration relationship between securitization and reinsurance market, therefore I rejected possibility of arbitrage between these markets. But on the other hand, they converge to long term equilibrium slowly...
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Analysis of the development of the prices of real estate
Hamouzová, Michaela ; Arltová, Markéta (advisor) ; Blatná, Dagmar (referee)
The aim of this diploma thesis is to analyze the development of the prices of real estate in the Czech Republic. The thesis is divided into three main parts. The first one deals with the theoretical introduction to valuation of the real estate. Moreover, the thesis presents the current development of the prices of real estate on the Czech market. The last part focuses on co-integration analysis, within which an ADL model is created. This model serves as a base for an error correction model, which describes short-term as well as long-term relations within the time series. The explanatory variables are gross domestic product, consumer price index, the amount of finished apartments, interest rate of mortgage loans, common rate of unemployment, and average gross monthly income. It is the one-equation model which describes the relation among the already mentioned explanatory variables and the HPI index. analysis of the development of the prices of real estate
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Economic analysis of currency pair EUR/USD
Peťura, Michal ; Procházka, Petr (advisor) ; Václav, Václav (referee)
This thesis deals with the relationship of exchange rate theory regarding the currency pair EUR / USD. The theoretical part defines the fundamental issue of exchange rates, exchange-rate regimes and the foreign exchange market, where the exchange rates are made. The crucial part of the theory is devoted to economic theories causing currency movements. In conclusion of the theoretical part attention is also given to econometric methods and statistics time series analysis.
The analytical part of the thesis examines the short and long term relationships of purchasing power parity, the theory of parity of interest rates and monetary approach to the exchange rate for the currency pair EUR / USD. A regression analysis is used for investigating short-term relationships, and is applied to the relative changes in the value of the currency pair EUR / USD and the changes in the relative values of the theory of exchange rate determination. The long-term equilibrium relationship is analyzed by using a cointegration analysis, specifically the Engle-Granger and Johansen tests. The estimated results are evaluated and discussed in the final part of the thesis.
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Export and Import functions (Empirical analysis on the example of the Czech Republic)
Obešlo, František ; Mandel, Martin (advisor) ; Tran, Van Quang (referee)
This work focuses on import and export of goods of the Czech Republic. The Czech Republic is very open country in European Union. Ratio of import and export of goods and services to GDP is above European Union average. The goal is to find explaining variables, which has an influence on import and export of goods and to create robust and economically interpretable models. Models are created by cointegration analysis. The advantage of cointegration analysis and error correction models is avoiding spurious regression and differentiation of short-term and long-term relations. There will be used two attitudes for creation of models: with help of ADL models and Johansen method, which serve to comparison of results. There is a space for test of influence of exchange rate shocks on import and export of goods in the end.
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Analysis of the Price Convergence of CR towards EU
Havrlant, David ; Pánková, Václava (advisor) ; Mandel, Martin (referee) ; Singer, Miroslav (referee)
The price level convergence of the transition economies towards the reference economies is linked to the relative price of nontradables, which is explained by the total factor productivity differentials in tradable and nontradable sector. Basic concept is offered by the Balassa Samuelson model and its modifications. Testable equations are derived from these models, and the panel data approach is applied for their estimation. The results indicate faster growth of the relative price of nontradables in transition economies as succession of higher growth rate of the total factor productivity in tradable sector. Hence estimated models confirm the price level convergence of transition economies towards the reference economies. The analyses of price dynamics of the complementary field, i. e. of the tradables, follows, and the basic concept is represented by the rational bubble hypothesis. The stress is putted on the impact of the word prices on the price levels of the Czech Republic. After a cointegration analysis of the time series is carried out, the influence of the word prices of tradable commodities is estimated within a vector error correction model and regression analysis. This cost factors analysis is afterwards related to the export dynamics of the Czech Republic, and models suitable for quantitative analysis of export dynamics as well as its prediction based on vector error correction model and regression analysis are evaluated. Their forecasting ability is assessed within a simulation of ex-post forecasts and a root mean squared error. The aim is to consider the relationship between the price levels and the export dynamics, for the relation of both variables evaluated within the Granger causality seems to be less straightforward then the standard export equations suggest, and the estimated equations confirm significant influence of the export dynamics on the price level.
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