Politická ekonomie, 2010 (vol. 58), issue 4

Articles

Vliv vnitrodenních makroekonomických zpráv na akciové trhy nových států EU

Effect of Intraday Information Flow on the Emerging European Stock Markets

Jan Hanousek, Evžen Kočenda

Politická ekonomie 2010, 58(4):435-457 | DOI: 10.18267/j.polek.740  

We analyze effect of intraday information flow in three emerging EU stock markets-the Czech Republic, Hungary, and Poland. We use five-minute intraday data on stock market index returns and 15 types of EU and U.S. macroeconomic announcements during 2004-2007. We measure each announcement as its difference from market expectation. Mean and variance equations are jointly estimated. We bring evidence of strong spillovers from matured stock markets as well as effects of the macroeconomic news originating thereby. We find varying effects of the real economy news. Information on current account and prices has strong effect across all markets. We find limited...

Proces učení a transparentnost centrální banky

Learning Process and Transparency of Central Bank

Tomáš Holinka

Politická ekonomie 2010, 58(4):458-470 | DOI: 10.18267/j.polek.741  

Learning process is a new approach of filling the gap between adaptive expectations and rational expectations. Private agents are learning new information and adjust their expectation about the inflation and output gap. Central bank transparency is one of the key factors of learning by private agents. However the learning process is also very important aspect for central bankers to improve their credibility.

Dlouhá paměť a její vývoj ve výnosech burzovního indexu PX v letech 1997-2009

Long-Term Memory and Its Evolution in Returns of Stock Index PX Between 1997 and 2009

Ladislav Krištoufek

Politická ekonomie 2010, 58(4):471-487 | DOI: 10.18267/j.polek.742  

Long-term memory processes have been extensively examined in recent literature as they provide simple way to test for predictabilty in the underlying process. However, most of the literature interprets the results of estimated Hurst exponent simply by its comparison to its asymptotic limit of 0.5. Therefore, we use moving block bootstrap method for rescaled range and periodogram method. In our analysis of evolution of Hurst exponent between 1997 and 2009, we show that PX experienced persistent behavior which weakened in time. Nevertheless, the returns of PX remain close to confidence interval separating independent and persistent behavior.

Integrácia akciových trhov: DCC MV-GARCH model

Stock Market Integration: DCC MV-GARCH Model

Eduard Baumöhl, Mária Farkašovská, Tomáš Výrost

Politická ekonomie 2010, 58(4):488-503 | DOI: 10.18267/j.polek.743  

In this paper we analyze the dynamic conditional correlations between CEE stock markets (also known as countries from Vysehrad Group - V4) and developed European stock markets, with German DAX utilized as a benchmark. Our methodology is based on the DCC MV-GARCH approach. It is shown that the dynamic conditional correlations exhibit statistically significant growth after the integration of CEE countries to European Union, i.e. after the May 2004. The only index not exhibiting this trend is the Slovak SAX index.

Posouzení odhadu měnového rizika portfolia pomocí Lévyho modelů

Examination of Portfolio Currency Risk Estimation by Means of Lévy Models

Tomáš Tichý

Politická ekonomie 2010, 58(4):504-521 | DOI: 10.18267/j.polek.744  

Financial risk modeling, measuring, and managing are an inherent part of management in financial institutions. It is also an important step within the setting of optimal level of capital eligible to cover risk exposures. A significant portion of capital is usually assigned to cover the risk of unexpected changes in FX rates. FX rates (the returns) commonly exhibit significant skewness and relatively huge kurtosis. In this paper, we apply subordinated Lévy models coupled together by ordinary elliptical copula functions in order to estimate the FX rate risk of normalized portfolio. Selected models are applied in order to estimate the risk ex-post, as...

Mimorozpočtové důvody růstu veřejného zadlužení

Off-Budgetary Reasons of the Growing Public Indebtedness

Pavel Dvořák

Politická ekonomie 2010, 58(4):522-541 | DOI: 10.18267/j.polek.745  

The interpretation of the relation between a budget deficit and a government debt in the standard economic theory is based on its unilateral causality, where the government debt comes into being due to the accumulation of budget deficits. The logic of the development of the government indebtedness is, in this approach, unambiguously determined by public finance processes monitored by Parliament in the framework of the course of fiscal years. The main objective of this paper is to stress that in reality the development of government indebtedness is significantly influenced by off-budgetary factors. The presented results endorse the hypothesis that...

Analýza chudoby na Slovensku založená na koncepte relatívnej deprivácie

Analysis of Poverty in Slovakia Based on the Concept of Relative Deprivation

Tomáš Želinský

Politická ekonomie 2010, 58(4):542-565 | DOI: 10.18267/j.polek.746  

It is always difficult to define the one and only measure of poverty, as there are different concepts of poverty based on a number of welfare indicators. The paper discuses main approaches to individual welfare measurement. A measure of individual welfare in the concept of relative deprivation is proposed. Three dimensions of relative deprivation are considered (economic strain, inability to afford certain items, and housing). The measure is based on multiplicative approach and thus is more sensitive to changes and differences in data than measures based on additive approach. The measure reflects the complex nature of households' relative deprivation...

From scientific life

Postavení hospodářských dějin na vysokých školách

Miroslav Šepták

Politická ekonomie 2010, 58(4):566-567 | DOI: 10.18267/j.polek.747