Politická ekonomie, 2007 (vol. 55), issue 6
Ke kritice používání konceptu solidarity a diskriminace v intertemporální analýze tzv. globálních problémů
Towards a critique of the concepts of solidarity and discrimination as applied in inter-temporal analyses of the so-called global problems
Václav Klaus, Dušan Tříska
Politická ekonomie 2007, 55(6):723-750 | DOI: 10.18267/j.polek.621 
The authors' approach to the ethical and political aspects of inter-temporal interactions is the following: 1) Two representative agents Ra and Râ are analyzed and asymmetries in their wealth and voting powers are dealt with by a the text-book tool of a welfare function - its intra and inter-temporal application. 2) A generalized concept of a distance (measured in miles and years, respectively) is to indicate to what extend similarities and differences can be reasonably expected between Ra and Râ - their interests and values. With respect to a given distance, a discount factor then represents the weight that Ra ascribes to the well-being of his counter-party...
Testování slabé formy efektivnosti na českém akciovém trhu
Testing the weak form of efficient market hypothesis for the czech stock market
Tran Van Quang
Politická ekonomie 2007, 55(6):751-772 | DOI: 10.18267/j.polek.622
Efficient Market Hypothesis has dominated the field of research on capital market theory. It postulates that asset prices are rationally connected to economic realities and always incorporate all the information available to the market. A huge quantity of theoretical works around the world have been devoted to testing this hypothesis. In this paper, the weak form of the Efficient Market Hypothesis is tested on data from the Czech stock market of period 1996-2006. The tested hypothesis is verified by both linear and nonlinear methods. Those linear are: Box-Pierce test, variance ratio test, test of sequences and reversals nad Hurst exponent....
Test slabé formy efektivnosti středoevropských akciových trhů
Weak-form efficiency test in the central european capital markets
Jan Hájek
Politická ekonomie 2007, 55(6):773-791 | DOI: 10.18267/j.polek.623
This study thoroughly analyzes the stock market efficiency hypothesis - its weak form - in the Czech Republic, Poland and Hungary in 1995-2005. It aims to reveal whether trading on historical information about stock prices or indices may lead to economically significant abnormal profits and whether the analyzed markets are comparably efficient. It also tests relative efficiency of the Central European markets compared to developed capital markets that are considered the most effective - the American NYSE, German and Netherlands stock exchanges. Complexity of the results is enhanced by analyzing daily, weekly and monthly returns of both the major regional...
Konstrukce výnosové křivky pomocí vládních dluhopisů v České republice
Vield curve construction using government bonds in the Czech republic
Jiří Málek, Jarmila Radová, Filip Štěrba
Politická ekonomie 2007, 55(6):792-808 | DOI: 10.18267/j.polek.624
The paper deals with yield curve construction methods using coupon bonds in Czech bond market. Generally, there are more possibilities how to approach this problem: bootstraping, splines, parametric functions. Due to the lack of tradable public bonds and due to the fact that existing bonds do not pay coupons at the same date of the year, traditional bootstraping method could not be applied under Czech market conditions. It seemed appropriate to use parametrical solutions to the yield curve issue and minimise the sum of squares of differences between market and theoretical prices. There were presented three function types which arrived to similar results...
Vliv zveřejněných informací na výnosovou křivku
The impact of fresh releases on the yield curve
Vladimír Pikora
Politická ekonomie 2007, 55(6):809-828 | DOI: 10.18267/j.polek.625
The paper deals with the impact of new information on the fixed income market. We expect this to be the first study covering such a topic in Central European markets. We prepared a model of a market reaction and found out that the market is not significantly driven by new macroeconomic figures. The sharpest moves have never been caused by a new number, but developments abroad and unexpected statements of central bankers. Scheduled central bank decisions on the interest rates did not affect yields as much as these two factors. The main message of this text for short term investors is, that in contrast to the USA, it is better for them to follow trading...
Úrokový transmisní mechanismus a řízení úrokové marže bank v kontextu dezinflační politiky České národní banky
The interest rate transmission mechanism and the management of interest margin in the context of Czech national bank disinflation policy
Karel Brůna
Politická ekonomie 2007, 55(6):829-851 | DOI: 10.18267/j.polek.626
The paper analyzes the relationship between interest rate transmission mechanism and bank's management of interest rate risk during the disinflation monetary policy in the Czech Republic in 1999-2006. In theoretical part, main determinants of short-run and long-run equilibrium of client interest rates are discussed (market power, duration of credits and deposits, pricing mechanism, credit risk, operation efficiency). Using the error correction model, sensitivity of credit and deposit interest rates on market interest rates is tested. It is found out that in the short equilibrium client interest rates changes follow dynamics of CNB repo rate, the sensitivity...