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Methods of exchange rate analysis and an application of the equilibrium exchange rate model on selected currencies
Attendorn, Filip ; Potužák, Pavel (advisor) ; Čermáková, Klára (referee)
The thesis deals with the fundamental analysis of exchange rates of CZK/EUR, GBP/EUR and PLN/EUR. First, the validity of uncovered interest rate parity is tested in the empirical part using the method of least squares. The same econometric method is applied for testing of the validity of the relative version of purchasing power parity. The tested theories are rejected based on the outcome of the empirical models. Another part of the study is estimating the equilibrium exchange rate using the vector autoregression model. The data of inflation, real exchange rate, and interest rate of treasury bills are utilized. The model is statistically significant in case of the Czech Republic and Poland. The real exchange rates of these countries have similar deviations from the equilibrium level in the period before the financial crisis and in at the beginning of the crisis. However, for the UK the model is not statistically significant.
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Manifestation of carry trade on financial markets
Sadykova, Albina ; Brůna, Karel (advisor) ; Kučera, Lukáš (referee)
This thesis concerns with speculative carry trade strategy. Carry trade is based on breach of Uncovered Interest Parity. The theoretical part is focused on traditional fundamental analysis. This thesis deals with the identification of carry trade existence and capture their expressions in the financial markets, verification profitability and attractiveness of carry trade operations, analysis of conditions for carry trade on financial markets before and after global financial crisis 2008. Important part of the work was also description of the consequences of carry trade transactions and their effects on the exchange rate and financial situation
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Analysis of the relationship between interest rate and exchange rate within boarders of a small open economy
Brigant, Michal ; Mandel, Martin (advisor) ; Kučera, Lukáš (referee)
Primary objective of this thesis was to analyse the relationship between exchange rate and interest rate within borders of a small open economy. Different theoretical approaches often present us with various, sometimes even opposing conclusions when it comes to the matter of direction and intensity of the causal influence between these two variables. From author's point of view it is important to perceive the interaction between exchange rate and interest rate as a dynamic process rather than a static relationship. The empirical analysis was conducted on monthly time series (2000-2012) of three selected small open economies -- Poland, Hungary and Czech Republic. Graphical analysis, linear regression, vector autoregression and cointegration analysis were selected as suitable tools for meeting the objective of this thesis. Models themselves presented us with interesting conclusions, for example a proof of the international Fisher effect, exchange rate causally affecting the interest rate (interest rate differential) in case of spot rates against euro. Another curious phenomena was the inflow of foreign debt capital, which, as it seems, was actually pulling the exchange rate down rather than pushing it up due to rising indebtedness of the economy.
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Model malé otevřené ekonomiky a možnost komplexnějšího dynamického chování
Kodera, J. ; Sladký, Karel ; Vošvrda, Miloslav
The purpose of this paper is study a three-equation dynamic model. The first equation describes commodity market. The second one demonstrates the dynamics of money market and the third equation is the interest rate parity. The task is to investigate the conditions of more complex behaviour of the model and its dependence on the money stock. The more complex dynamic behaviour, i.e., limit cycle, could appear by adding nonlinear perturbations in the investment demand function.
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