Politická ekonomie, 2014 (vol. 62), issue 1

Měnová politika: krátkodobá stabilizace versus dlouhodobá rizika

Monetary Policy: Short-Term Stabilization versus Long-Term Risks

Eva Zamrazilová

Politická ekonomie 2014, 62(1):3-31 | DOI: 10.18267/j.polek.935  

Central banks of major advanced economies have already started their sixth year of the greatest ever experiment in monetary policy at place. First, special measures were taken to prevent collapse of financial intermediation. At the same time main policy rates were cut down to historical lows hitting the zero lower bound quite soon after the onset of the financial crisis. After that central banks realised various unconventional measures in order to support their weak economies. While exceptional instruments aimed at restoring financial markets seem to have been inevitable to avert a collapse of a much greater magnitude in the short run, some other...

Cenové skoky během finanční nejistoty: od intuice k regulační perspektivě

Price Jumps during Financial Crisis: From Intuition to Financial Regulation

Jan Hanousek, Jan Novotný

Politická ekonomie 2014, 62(1):32-48 | DOI: 10.18267/j.polek.936  

In this paper, we employ the high-frequency data from Prague Stock Exchange (PSE) and New York Stock Exchange (NYSE) to analyse the variation in extreme price movements and market volatility around the period of fall of Lehman Brothers. The sample ranges from January 2008 to July 2009. We employ the price jump indicators optimal with respect to Type-I and Type-II errors. The former one shows an increase in market volatility and extreme price movements during financial distress, while the later one distinguishes extreme price movements and shows that they do not react in the long-run to fi nancial distress at PSE, while for the matured US market suggests...

Vztah finanční a cenové stability v podmínkách ČR

The Relationship of Financial and Price Stability in the Context of the Czech Republic

Lukáš Pfeifer, Zdeněk Pikhart

Politická ekonomie 2014, 62(1):49-66 | DOI: 10.18267/j.polek.937  

The article deals with the theoretical issues of macroprudential policy, shift of monetary policy paradigm towards application of so called "leaning against the wind" strategy and mutual cooperation of these policies, which are both aimed at maintaining financial stability. For detection of financial instability are mainly used early warning indicators, which are most often based on the credit activity of the economy and asset prices development. In the second part, we examine the impact of the credit activity in the Czech Republic on the prices of particular assets and its subsequent effect on the consumer price index.

Konstrukce výnosových křivek v pokrizovém období

Yield Curve Construction after Crisis

Jaroslav Baran, Jiří Witzany

Politická ekonomie 2014, 62(1):67-99 | DOI: 10.18267/j.polek.938  

Market value of derivatives after crisis requires discounting with interest rates that take into account the credit risk of the involved counterparties of the trade. The increase of credit risk is evidenced by the presence of basis swap spreads. Using one curve to both estimating the forward rates and discounting future cash flows is not plausible given the prerequisite of arbitrage free market. The aim of this paper is to derive discount curves which are consistent with market quotes. In the concluding part, we estimate CZK OIS rates, which can be then used to discount derivatives denominated in CZK and collateralized with CZK cash.

Neparametrický heuristický přístup k odhadu modelu GARCH-M a jeho výhody

Estimating a GARCH-M Model by a Non-Parametric Heuristic Method and Its Advantages

Jaromír Kukal, Tran Van Quang

Politická ekonomie 2014, 62(1):100-116 | DOI: 10.18267/j.polek.939  

The models from the GARCH family are often estimated by maximum likelihood method, either parametrically or non-parametrically. Since the parametric estimation procedure is based on an a priori distribution, its misspecification can lead to the inconsistency of the estimators. Therefore non-parametric approach, in which both model's parameters and the distribution of error terms are estimated from the data, seems to be a better alternative. In our work, we propose a non-parametric technique with the use of a heuristic called differential evolution to estimate the parameters of a GARCH-M model. This technique can more likely reach to a global solution...

Modelování provázanosti trhů potravin, biopaliv a fosilních paliv

Modeling Interconnections within Food, Biofuel, and Fossil Fuel Markets

Štěpán Chrz, Karel Janda, Ladislav Krištoufek

Politická ekonomie 2014, 62(1):117-140 | DOI: 10.18267/j.polek.940  

The interconnections within food, biofuel and fossil fuel markets are first described in the context of biofuels technologies and economic policy framework. Consequently, the econometric analysis consisting of Johansen cointegration, error correction model, vector autoregression and Granger causality is applied to price series of 12 biofuel related commodities. While a number of equilibrium relationships are found across the examined markets suggesting their interconnection, we do not obtain a persuasive confirmation of the thesis that biofuels clearly lead to food shortages via the increase in prices of basic food commodities used in the production...

Nositelé Nobelovy ceny za ekonomii pro rok 2013

Nobel Prize in Economics 2013 Winners

Pavel Sirůček

Politická ekonomie 2014, 62(1):141-150 | DOI: 10.18267/j.polek.941  

Pohled na hospodářské dění z jiného úhlu

Economic Events from a Different Perspective

Marek Loužek

Politická ekonomie 2014, 62(1):151-155 | DOI: 10.18267/j.polek.942  

Aktuální pohled na finanční potenciál českých a slovenských domácností

Current Look at the Financial Potential of Czech and Slovak Households

Diana Bílková

Politická ekonomie 2014, 62(1):155-157 | DOI: 10.18267/j.polek.943