Template-Type: ReDIF-Article 1.0
Author-Name: Yu Hsing
Title: Tests of Functional Forms, Currency Substitution, and Capital Mobility of Czech Money Demand Function
Abstract: The demand for real M2 in the Czech Republic is positively influenced by real output and negatively associated with the deposit rate, the koruna/euro exchange rate, and the euro interest rate. The coefficient of real output for the demand for real M1 is insignificant. Hence, depreciation of the koruna or a higher euro interest rate would help raise Czech real output. The Box-Cox transformation test shows that the log-linear form for real M1 and M2 demand cannot be rejected at the 5% level while the linear form for real M1 and M2 demand can be rejected at the 5% level. The CUSUM and CUSUMSQ tests show that parameters in the demand for both real M1 and M2 demand are stable. In comparison, real M2 is a better monetary aggregate.
Keywords: currency substitution, wealth effect, Box-Cox transformation, capital mobility effect, cost of borrowing effect, stability tests
Classification-JEL: E41, O52
Pages: 291-299
Volume: 2006
Issue: 4
Year: 2006
File-URL: http://www.vse.cz/pep/download.php?jnl=pep&pdf=289.pdf
File-URL: http://www.vse.cz/pep/289
File-Format: text/html
Handle: RePEc:prg:jnlpep:v:2006:y:2006:i:4:id:289:p:291-299
X-File-Ref: http://www.vse.cz/RePEc/prg/jnlpep/references/289

Template-Type: ReDIF-Article 1.0
Author-Name: Michal Skořepa
Author-Name: Viktor Kotlán
Title: Inflation Targeting: To Forecast or To Simulate?
Abstract: Perhaps the most notable development in the area of monetary policy over the last decade is the growing popularity of inflation targeting. This regime is based to a great extent on communication and, more specifically, on using and communicating assessments of future inflation. The central banking literature, however, devotes surprisingly little attention to some important issues connected with such assessments. There are some non-trivial choices that need to be made regarding future inflation assessments on three distinct levels: construction, decision making and communication. One of the most important choices relates to the treatment of central bank's behaviour within the assessment. We differentiate between forecast and simulation as two basic ways of assessing future inflation and we discuss the pros and cons of using the two ways of assessing future inflation on the three above-mentioned levels.
Keywords: monetary policy, inflation targeting, forecast, simulation, projection, communication, decision making
Classification-JEL: E52, E58
Pages: 300-314
Volume: 2006
Issue: 4
Year: 2006
File-URL: http://www.vse.cz/pep/download.php?jnl=pep&pdf=290.pdf
File-URL: http://www.vse.cz/pep/290
File-Format: text/html
Handle: RePEc:prg:jnlpep:v:2006:y:2006:i:4:id:290:p:300-314
X-File-Ref: http://www.vse.cz/RePEc/prg/jnlpep/references/290

Template-Type: ReDIF-Article 1.0
Author-Name: Mejra Festić
Title: Procyclicality of Financial and Real Sector in Transition Economies
Abstract: Financial sector is prone to cyclical movements and procyclicality of the financial system may endanger financial stability, which depends on asset prices and loan losses due to the fact that the deterioration of bank assets through non-performing loans is characteristics of banking distress. This was the case during Japan's lost decade and the Nordic banking crises. Even the classic banking panics of the Great Depression are being revised in the light of new evidence on the fundamental deterioration of bank assets. Much empirical evidence supports the view that balance sheet variables, such as net worth affect investment and produce business cycle dynamics. In an upswing, the greater availability of credit leads to higher asset prices, which then serve as collateral for more borrowing. Relatively unstable development of share prices on the capital market increases equity risk. This paper is based on the presumption that the stability of macro economic environment, less pronounced cyclical movements and insignificant procyclicality between GDP and equity (used as collaterals for credit insurance) lower equity risk. There was proved no significant procyclicality between collaterals and GDP according to low stock market capitalization. And due to the relation that equity risk (as a part of market risk) is determined by unstable development of shares prices, I accepted the hypothesis of low equity risk in the analysed transition economies on the basis of tested procyclicality.
Keywords: macro environment, collaterals, procyclicality, credit risk, equity risk, banking sector
Classification-JEL: E31, E37, E61, G15
Pages: 315-349
Volume: 2006
Issue: 4
Year: 2006
File-URL: http://www.vse.cz/pep/download.php?jnl=pep&pdf=291.pdf
File-URL: http://www.vse.cz/pep/291
File-Format: text/html
Handle: RePEc:prg:jnlpep:v:2006:y:2006:i:4:id:291:p:315-349
X-File-Ref: http://www.vse.cz/RePEc/prg/jnlpep/references/291

Template-Type: ReDIF-Article 1.0
Author-Name: Egon Žižmond
Title: Impact of Price-Deregulation on Market Outcomes - The Case of Chimney Sweep Services in Slovenia
Abstract: In transition countries, especially in the period of central planning or semi-command regulation, prices of goods and services in the non-tradable sector were regulated, which was one of the main obstacles to normal functioning of the supply-demand market mechanism after the breakdown of the socialist economic system. In the period of economic transition reestablishment of market institutions arises, with price deregulation as one of the fundamental constitutional parts of this process. But in the case of transition economies there exists a recognized doubt in an immediately well functioning market system after deregulation because of inadequate development of the economic system in the past that produced a gap in the development of institutions typical for market economies. The aim of this article is to present the results of the empirical analysis on the market outcomes of price deregulation for chimney sweep services in the Slovenian economy. For this purpose we developed an original model for analysing market outcomes after price deregulation occurs. For the selected case study we recognize large cumulative price growth, that was a consequence of significant supply-side imperfection, since the selection among suppliers is based on the concession system at the municipality level.
Keywords: transition, Slovenia, Inflation inertia, non-tradable sector, technical efficiency, costs, technical coefficient, market competitiveness
Classification-JEL: D, D4, D43
Pages: 350-363
Volume: 2006
Issue: 4
Year: 2006
File-URL: http://www.vse.cz/pep/download.php?jnl=pep&pdf=292.pdf
File-URL: http://www.vse.cz/pep/292
File-Format: text/html
Handle: RePEc:prg:jnlpep:v:2006:y:2006:i:4:id:292:p:350-363
X-File-Ref: http://www.vse.cz/RePEc/prg/jnlpep/references/292

Template-Type: ReDIF-Article 1.0
Author-Name: Srečko Devjak
Author-Name: Andraž Grum
Title: Third Moment of Yield Probability Distributions for Instruments on Slovenian Financial Markets
Abstract: Due to the capital decree legislated by the Bank of Slovenia, Slovenian commercial banks can apply internal models for capital requirements calculation for currency risk and selected market risks (general position risk in line with debt and equity instruments, price change risk for commodities) as an alternative or in combination with standardised methodology. In risk management process banks consider the first and the second moment of a yield probability distribution as portfolio managers seek to achieve the best possible trade-off between risk represented by variance of returns and expected return. In cases when liquidity of instruments on financial markets is low, banks should consider also the third (skewness) and the fourth (kurtosis) moment of a yield probability distribution. All moments define the characteristics of yield probability distribution and therefore affect the risk measure value, being calculated on the basis of yield probability distribution function. The goal of this paper is to calculate the third moment of a yield probability distribution functions for a set of selected assets in financial market in Slovenia and to initiate implementation of a proper risk measure when yield distribution function is not elliptic.
Keywords: skewness, risk management, value at risk, bank, yield propability distribution function, risk aversion
Classification-JEL: C10, G21
Pages: 364-373
Volume: 2006
Issue: 4
Year: 2006
File-URL: http://www.vse.cz/pep/download.php?jnl=pep&pdf=293.pdf
File-URL: http://www.vse.cz/pep/293
File-Format: text/html
Handle: RePEc:prg:jnlpep:v:2006:y:2006:i:4:id:293:p:364-373
X-File-Ref: http://www.vse.cz/RePEc/prg/jnlpep/references/293