Vliv hospodářských cyklů na výkonnost vybraných indexů

This bachelor thesis deals with the impact of economic cycles on the performance of selected indices. Four representatives of financial markets were selected: stock, bond, real estate, and commodity markets. One index was selected as a representative for each financial market: the S&P 500 (stock market), the Treasury Bond index (bond market), the FTSE Nareit All REITs index (real estate market), and the S&P GSCI (commodity market). The aim of the thesis is to analyze the development of selected indices between 1980 and 2019 in the context of economic cycles in the US between 1980 and 2019. The analytical part of the thesis uses regression analysis, within which four separate models are constructed – one for each of the selected financial markets. The endogenous variable in the models is the returns of the relevant financial indices, while the main exogenous variable is a binary recession indicator constructed on the basis of data from the FRED database, based on the official NBER economic cycle dates. The models are further expanded to include key macroeconomic indicators: GDP growth, change in inflation, and change in unemployment. The results show that the recession variable achieves statistical significance, particularly in the bond and real estate models.