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Inflation: Predictive Power of Google Trends Data
Suchánek, Jan ; Stráský, Josef (advisor) ; Holub, Tomáš (referee)
This thesis explores the utility of Google Trends data in enhancing predictive power accuracy of ARIMA models for forecasting inflation in the Czech republic. The research was structured to address two core hypotheses: the rationality of inflation expectations as reflected in Google Trends search queries and the ability of the data to augment the predictive power of traditional inflation forecasting models. Our findings indicate that Google Trends data, when incorporated as an ex- ternal regressor in ARIMA models, significantly improve the model's predictive accuracy, especially in periods characterized by high inflation rates and eco- nomic turbulence. This provides evidence for the claim that Google Trends is able to effectively capture shifts in consumer sentiment and expectations. However, the study acknowledges limitations, including the specificity of the time domains analyzed and the exclusive focus on the Czech Republic. These factors may limit the generalizability of the results. In summary, this thesis contributes to the evolving field of economic fore- casting by demonstrating the value of integrating unconventional digital data sources like Google Trends into traditional econometric models. It opens av- enues for future research to explore the broader applicability of such data in...
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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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What is the Effect of Money Supply Changes to the Real Economy of the Czech Republic?
Trnková, Adéla ; Potužák, Pavel (advisor) ; Kadeřábková, Božena (referee)
The thesis analyses in detail the relationship between the money stock defined by money aggregates M1 and M2 and the real GDP in the Czech Republic for period between 1996 and 2015. A long-term relationship between the real GDP and the money aggregate is not found using quarterly time series data. These conclusions are in accordance with the economic theory which does not confirm that money affects level of the real GDP in the long run. Short-term relationship between given variables is also analysed. Results indicate that the growth rate of the money aggregate M1 statistically significantly affects the growth rate of the real GDP in the same direction which is in line with monetary theories of business cycle. On the other hand, any statistically significant relationship for the money aggregate M2 is not found which speaks in favour of the Real Business Cycle theory. The Policy Ineffectiveness Proposition accepted by New Classical Macroeconomists is also tested in the thesis. The issue is investigated for the whole period and subsequently for shorter time from 2000 to 2015 where the uniform monetary policy is applied. Results for the money aggregate M1 imply that expected changes in the growth rate of M1 play important role in the money-output relationship which is consistent with the New Keynesian Macroeconomic theory. Considering the shorter period of time, Lucas' theory seems to be more appropriate explanation. Outcomes for the aggregate M2 provide mixed conclusions which support rather the Real Business Cycle theory. At the end of the thesis, there is a section devoted to the quasi money (one of M2 aggregate components) as a possible source of mixed results.
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Příspěvek k rakouské teorii hospodářského cyklu: Nejistota a cenová očekávání
Frömmel, Tomáš ; Ševčík, Miroslav (advisor) ; Potužák, Pavel (referee)
Common critique of the Austrian business cycle theory states that the Austrian cycle could not be initiated under the rational expectations hypothesis. This thesis therefore investigates the role of price expectations of entrepreneurs in the Austrian cycle theory. We conclude that this theory might be compatible with rational expectations only under several assumptions. The rational expectations hypothesis is, however, evaluated rather critically concluding it is quite strong and unrealistic assumption. Various regimes of monetary policy are discusses in the context of price expectations.
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Monetary causes of the business cycle
Tůma, Aleš ; Koderová, Jitka (advisor) ; Havel, Jan (referee)
This thesis deals with the monetary theory of business cycles as presented by the so called Austrian school of economics. It analyzes the different economic effects of investments financed by saving as opposed to investments financed by credit expansion. It shows that in the latter case an unsustainable situation results in which economic actors try both to invest and to consume more at the same time, which is physically impossible. The result is recession and liquidation of malinvestments made during the boom. The thesis also provides an answer to critiques of the Austrian business cycle theory by proponents of the rational expectations hypothesis. Furthermore, a critique of traditional national income accounting measures, namely GDP, is put forward. These measures fail to adequately show the described cyclical changes in the economy's productive structure, e.g. the artificial boom and subsequent correction. Gross domestic revenue (GDR) is proposed as an alternative measure that adds the expenditure on intermediate products back to GDP. In the last part of the thesis GDR is calculated for the Czech economy.
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