Úrokové sazby jako indikátor vývoje cen akcií

Abstract

The aim of the dissertation is to quantifiy the correlation between interest rates and equity index on the German market using an econometric model. The work is divided into five chapters with an introduction and conclusion. In the theoretical part of the dissertation is approached the stock market along with a description of shares and share indexes. Next is the description of interest rates and analyzed their impact on the share price by empirical studies and there are also presented individual markets. Afterwards there is an approximation method for estimating, production and subsequent verification of the vector error correction model. In the empirical part of the work are described the time series and their properties, which are important for the construction of an econometric model. For the modeling of long-term equilibrium is used cointegration analysis. Then the model is applied to the selected time series in Germany to analyze the relationship of interest rates with share index. It is estimated vector error correction model and the results are interpreted.