03147ntm a22004937i 4500 000716067 CZ-PrVSE 20240623000300.0 m d cr n|||||||||| 240622s2024 xr fsbm 000 0 eng d NEZPRACOVANÝ IMPORT ABA006 cze ABA006 ABA006 rda Doležal, Matěj ISIS:141089 dis Stock Market and Macroeconomic Variables : VAR and PVAR Approach eng Stock Market and Macroeconomic Variables : VAR and PVAR Approach Matěj Doležal 2024 ?? stran : digital, PDF soubor Vedoucí práce: Karel Brůna Diplomová práce (Ing.)—Vysoká škola ekonomická v Praze. Fakulta financí a účetnictví, 2024 Obsahuje bibliografii Textový (vysokoškolská kvalifikační práce) Rok obhajoby 2024 The study aimed to examine the relationship between the stock market and the real economy. The analysis was conducted based on three models: the S&P 500 stock index, the FTSE 100 stock index, and subsequently, a panel data structure. The observed period chosen was 1Q05-4Q20. The Vector Autoregression (VAR) model was selected for analysis, with subsequent extension to a panel version (PVAR). The macroeconomic variables included inflation, GDP, interest rates, FX rates, and even some market variables such as oil prices and the VIX index. The study concludes that the stock market index generally precedes developments in the real economy across all three models, while the reverse causality was not verified. Furthermore, it was found that there is no significant difference between individual countries, and the results are very similar across all models. Generally, including all variables appears appropriate, as all exhibit statistically significant connections with the stock market. Additionally, it is noted that the panel dataset did not yield any new insights; however, it is important to note that the scope of this dataset is relatively small and focuses only on developed countries, which is subject to criticism. Způsob přístupu: Internet finance [obor dipl. práce] diplomové práce fd132022 czenas master's theses eczenas VAR Model Stock Market Macroeconomic Variables Brůna, Karel, 1973- mzk2009543943 ths Tesařová, Žaneta ISIS:101643 opn Vysoká škola ekonomická v Praze. Fakulta financí a účetnictví kn20010709398 dgg https://insis.vse.cz/zp/86851/podrobnosti VŠKP v InSIS https://insis.vse.cz/zp/86851 Hlavní práce https://insis.vse.cz/zp/86851/posudek/vedouci Hodnocení vedoucího https://insis.vse.cz/zp/86851/posudek/oponent/82587 Oponentura https://insis.vse.cz/zp/86851/podrobnosti dc:identifier NEPOSILAT VSKP vse86851 240619 86851