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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 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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The Exchange Rate Pass-Through in Central and Eastern Europe
Mirková, Barbora ; Horváth, Roman (advisor) ; Jašová, Martina (referee)
This thesis examines the exchange rate pass-through into consumer prices in Central and Eastern Europe. The study is based on quarterly data of 12 countries from 2003 to 2013. Estimations are conducted using heterogeneous panel cointegration methods, namely the mean group and the pooled mean group estimators. Fixed effects are used as a reference. The thesis provides short- run and long-run estimates of the exchange rate pass-through for the individual countries and for the region as a whole. Based on the results, we conclude that the exchange rate pass-through is highly variable across Central and Eastern Europe. We find that there is no clear distinction between the pass-through rates in euro area countries, EU countries not using the euro and non- EU countries. Further, we find that the generally accepted concept of higher exchange rate pass- though in developing countries does not hold in this region. JEL Classification C23, E31, E52, F31 Keywords exchange rate pass-through, pooled mean group, mean group, heterogeneous panel cointegration Author's e-mail bara.mirkova@centrum.cz Supervisor's e-mail roman.horvath@gmail.com
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The financial impact of monetary factors in the selected company
Mravík, Pavel ; Kozáková, Petra (advisor) ; Žalio, Ladislav (referee)
This dissertation evaluates development of exchange rates and its specific effects on STAP company a.s. The aim of this paper is to present the events that have had influence on the development of the exchange rate between Euro and Czech Crown and precautionary measures taken by STAP a.s. to prevent related risks. The first part comprises a summary of events that had a significant impact on the exchange rate development; the risks created by these events and methods devised to prevent these risks. The second part evaluates the specific financial derivatives used by STAP a.s. and their impact. Finally the recommendation is made for the future more effective usage of the financial instruments.
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Modeling and Forecasting Volatility of Financial Time Series of Exchange Rates
Žižka, David ; Arltová, Markéta (advisor) ; Malá, Ivana (referee) ; Vošvrda, Miloslav (referee)
The thesis focuses on modelling and forecasting the exchange rate time series volatility. The basic approach used for the conditional variance modelling are class (G)ARCH models and their variations. Modelling of the conditional mean is based on the use of AR autoregressive models. Due to the breach of one of the basic assumption of the models (normality assumption), an important part of the work is a detailed analysis of unconditional distribution of returns enabling the selection of a suitable distributional assumption of error terms of (G)ARCH models. The use of leptokurtic distribution assumption leads to a major improvement of volatility forecasting compared to normal distribution. In regard to this fact, the often applied GED and the Student's t distributions represent the key-stones of this work. In addition, the less known distributions are applied in the work, e.g. the Johnson's SU and the normal Inverse Gaussian Distribution. To model volatility, a great number of linear and non-linear models have been tested. Linear models are represented by ARCH, GARCH, GARCH in mean, integrated GARCH, fractionally integrated GARCH and HYGARCH. In the event of the presence of the leverage effect, non-linear EGARCH, GJR-GARCH, APARCH and FIEGARCH models are applied. Using suitable models according to the selected criteria, volatility forecasts are made with different long-term and short-term forecasting horizons. Outcomes of traditional approaches using parametric models (G)ARCH are compared with semi-parametric neural networks based concepts that are widely applicable in clustering and also in time series prediction problems. In conclusion, a description is given of the coincident and different properties of the analyzed exchange rate time series. The author further summarized the models that provide the best forecasts of volatility behaviour of the selected time series, including recommendations for their modelling. Such models can be further used to measure market risk rate by the Value at Risk method or in future price estimating where future volatility is inevitable prerequisite for the interval forecasts.
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The evolution of foreign exchange market
Věříš, Jakub ; Stádník, Bohumil (advisor)
We will investigate the origin of money and its original purpose within this project report and main causes and reasons of the most important financial history milestones of currency exchange rates development are revealed. The last article is solely dedicated to current currency exchange situation of the world's market; its possibilities for exploits by both global and small scale investors; its own dangers within the nowadays financial system and the floating currency rates. I have concluded my thoughts about possibilities of future currency rate development in the very last section.
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