Prague Economic Papers, 2012 (vol. 21), issue 1

Estimation of the Time-Varying Risk Premium in the Czech Foreign Exchange Market

Vít Pošta

Prague Economic Papers 2012, 21(1):3-17 | DOI: 10.18267/j.pep.407  

The paper presents both the theoretical account of the issue of foreign exchange risk premium and the actual estimates of the time-varying risk premium for the cases of the Czech koruna to euro and US dollar. The risk premium is modelled within a state space framework and estimated using the Kalman filtering procedure. Some financial market fundamentals are used to estimate the risk premium, and thus not only do the estimates give insight into the foreign exchange market behaviour but also into some linkages between the various segments of the financial market as a whole.

Maintenance Commitments for Monopolized Goods

Pu-yan Nie

Prague Economic Papers 2012, 21(1):18-29 | DOI: 10.18267/j.pep.408  

This paper highlights the monopoly firms' commitments for goods requiring high maintenance expenditure, such as elevators, televisions and computers. A guarantee time limit model to maintain these special goods is presented in this paper. Based on this model, several types of commitments with different guarantee time limits are compared under monopoly conditions. This paper finds that the guarantee pattern has no effect on the monopoly firm's profits if all information is known to both the consumer and the monopolist. It is also shown that if a monopoly firm exaggerates its product quality claims in its advertisements, then it cannot meet its warranty...

Collateralized Debt Obligations' Valuation Using the One Factor Gaussian Copula Model

Petra Buzková, Petr Teplý

Prague Economic Papers 2012, 21(1):30-49 | DOI: 10.18267/j.pep.409  

The aim of this paper is to shed light on Collateralized Debt Obligation (CDO) valuation based on data before and during the 2007-2009 global turmoil. We present the One Factor Gaussian Copula Model and examine five hypotheses regarding CDO sensitivity to entry parameters. For our modelling we used data of the CDX NA IG 5Y V3 index from 20 September 2007 until 27 February 2009 and we appropriately transform its quotes into CDO quotes. Based on the results we discovered four main deficiencies of the CDO market: i) an insufficient analysis of underlying assets by both investors and rating agencies; ii) investment decisions arise from the valuation model...

Bank Lending Channel in Slovenia: Panel Data Analysis

Meta Ahtik

Prague Economic Papers 2012, 21(1):50-68 | DOI: 10.18267/j.pep.410  

Channels through which monetary policy affects aggregate demand can be divided into three groups: traditional interest rate channel, other asset price channels and credit channel composed of balance sheet channel (named also broad credit channel), only recently separated bank capital channel and bank lending channel. Banks face troubles in keeping their present or acquiring new financial sources, when central bank tightens its monetary policy. Banks characterized by differences in size, capitalization, liquidity and ownership face different levels of informational asymmetry and are therefore differently affected by changes in monetary policy. If larger,...

On Multivariate Methods in Robust Econometrics

Jan Kalina

Prague Economic Papers 2012, 21(1):69-82 | DOI: 10.18267/j.pep.411  

This work studies implicitly weighted robust statistical methods suitable for econometric problems. We study robust estimation mainly for the context of heteroscedasticity or high dimension, which are up-to-date topics of current econometrics. We describe a modification of linear regression resistant to heteroscedasticity and study its computational aspects. For a robust version of the instrumental variables estimator we propose an asymptotic test of heteroscedasticity. Further we describe robust statistical methods for dimension reduction and classification analysis. We propose the robust quadratic classification analysis based on a new minimum weighted...

Economic and Social Harmonization of Sustainable Public Transport

Anna Černá

Prague Economic Papers 2012, 21(1):83-100 | DOI: 10.18267/j.pep.412  

The paper identifies, formulates and resolves several problems arising from dealing with the economic and social pillars of sustainable public transport. In the first part of the paper three pillars of sustainable transport are presented. The second part studies harmonization problems of economic, spatial and time accessibility of public transport and illustrates them by the Czech situation. The third part studies the cost-revenue-subsidy relation, emphasizes the right choice of fares and suggests a harmonization between the prices of the ticket for individual trip and the monthly one. The fourth part shows several important measures for getting the...

Czech Swap Market in the Crisis Period

Martin Pohl

Prague Economic Papers 2012, 21(1):101-122 | DOI: 10.18267/j.pep.413  

The swap market is key segment of the fixed income market due to its liquidity and tight links to other market segments. In our paper we estimate basic parameters of the swap curve and we test the stability of these parameters during the crises period. Our estimate confirms that the Czech swap curve may be represented by three components that track its level, slope and curvature. These parameters were stable during the crises period that culminated in the autumn 2008. On contrary, the basic swap curve characteristics are showing most abnormal behaviour during periods of relative calm development. The traditional determinants of the Czech swap curve...

Development of European Socio-Economic Systems and Future Challenges

Martin Kuncl

Prague Economic Papers 2012, 21(1):123-126 | DOI: 10.18267/j.pep.414