Template-Type: ReDIF-Article 1.0
Author-Name: Jiří Trešl
Author-Name: Dagmar Blatná
Title: Dynamic Analysis of Selected European Stock Markets
Abstract: The behaviour of selected European stock indices in the period 2001-2005 was analysed. UKX (GB), DAX (Germany), CAC (France) and MIBTEL (Italy) represented well established West European markets, whereas PX-50 (Czech Republic), SKSM (Slovak Republic), BUX (Hungary) and WIG (Poland) were the examples of Central European emerging ones. The subject of this analysis were logarithmic daily returns computed from closing values of corresponding indices. Cross correlation function reached typical values 0.7 (West Europe) and 0.4 (Central Europe) excepting the Slovak Republic. The patterns of both common and solitary movements were revealed with the use of principal component and cluster analysis. To establish some dynamical relations in return time-series, vector autoregression models and Granger causality tests were employed. As for West Europe, the causal chain UKX_MIBTEL_DAX_CAC was revealed. On the other hand, the form of this chain for Central Europe was PX-50_BUX_WIG. Finally, the behaviour of both BUX and WIG returns was strongly determined by all West European counterparts.
Keywords: return modelling, stock indices, inancial time series, Granger causality
Classification-JEL: C32, G15
Pages: 291-302
Volume: 2007
Issue: 4
Year: 2007
File-URL: http://www.vse.cz/pep/download.php?jnl=pep&pdf=309.pdf
File-URL: http://www.vse.cz/pep/309
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Template-Type: ReDIF-Article 1.0
Author-Name: Jan Hájek
Title: Czech Capital Market Weak-Form Efficiency, Selected Issues
Abstract: The article discusses several factors that should be addressed when analysing linear dependences and testing the Efficient Market Hypothesis on the Czech capital market in order to avoid possible interpretation biases. The conclusions are based on the empirical analysis of the stock return behaviour in 1995-2005 and the generalization of the up-to-date local studies outcomes. It also discusses the market's relative efficiency compared to capital markets that are considered the most effective worldwide and on the European territory - the American NYSE and the German and Netherlands stock exchanges. Significant linear dependences of daily returns are typical on the Czech capital market; its relative efficiency still lags behind the efficiency of the developed markets.
Keywords: conditional heteroskedasticity, efficient market hypothesis, weak-form efficiency, relative efficiency, random walk, variance ratio test, non-synchronous trading, data frequency, Czech stock market
Classification-JEL: C22, G14
Pages: 303-318
Volume: 2007
Issue: 4
Year: 2007
File-URL: http://www.vse.cz/pep/download.php?jnl=pep&pdf=310.pdf
File-URL: http://www.vse.cz/pep/310
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Handle: RePEc:prg:jnlpep:v:2007:y:2007:i:4:id:310:p:303-318
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Template-Type: ReDIF-Article 1.0
Author-Name: Jaromír Hurník
Author-Name: Dana Hájková
Title: Supply-Side Performance in the Czech Republic: A Macroeconomic View (1995-2005)
Abstract: In this paper, we apply the aggregate production function to approximate the path of potential output and decompose it into its determinants. Based on the decomposition we evaluate the supply side performance from a macroeconomic perspective. We use a time-varying NAIRU to derive the amount of potential labour and a newly developed measure of capital services to account for the productive impact of capital. In addition, trend total factor productivity is estimated. During 1995-2000, the growth in potential output was constrained by a gradual increase in the NAIRU, a temporary drop in investment activity and, most importantly, by only a modest rise in total factor productivity. For the period 2001-2005, we observe substantial improvements in the supply-side performance, except for the functioning of the labour market.
Keywords: growth accounting, potential output, production function, NAIRU, total factor productivity, capital services
Classification-JEL: E23, O11, O12, O47
Pages: 319-335
Volume: 2007
Issue: 4
Year: 2007
File-URL: http://www.vse.cz/pep/download.php?jnl=pep&pdf=311.pdf
File-URL: http://www.vse.cz/pep/311
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Handle: RePEc:prg:jnlpep:v:2007:y:2007:i:4:id:311:p:319-335
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Template-Type: ReDIF-Article 1.0
Author-Name: Filip Tichý
Title: Impact of Accession to Emu on International Trade - Case of the Czech Republic
Abstract: The goal of this paper is to determine one of the consequences of accession of the Czech Republic to the European Monetary Union. The gravity equation is used to estimate the impact of exchange rate volatility and currency unions on international trade. Model's variables include GDPs per capita and populations of each partners, distance between them, exchange rate volatility and several dummy variables, including those, that are signifying membership of given country in the euro area. This model is estimated by general least squares method using panel data for members of the European Union.
Keywords: international trade, panel data, monetary union, exchange rate volatility, gravity model
Classification-JEL: C51, F13, F15
Pages: 336-346
Volume: 2007
Issue: 4
Year: 2007
File-URL: http://www.vse.cz/pep/download.php?jnl=pep&pdf=312.pdf
File-URL: http://www.vse.cz/pep/312
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Handle: RePEc:prg:jnlpep:v:2007:y:2007:i:4:id:312:p:336-346
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Template-Type: ReDIF-Article 1.0
Author-Name: Jan Čadil
Title: Growth Accounting, Total Factor Productivity and Approximation Problem
Abstract: The paper deals with the approximation problem of standard growth accounting method first introduced by Solow (1957). This method is still used widely by lots of economists and institutions (IMF, national banks and others) for computing the technological or total factor productivity (TFP) dynamics. According to standard growth accounting the TFP growth is a residual, computed simply out of dynamic Cobb-Douglas (original or modified) production function.  The purpose of this paper is to show that the usual TFP calculation as a residual is more or less inaccurate and for certain cases can cause slightly biased conclusions. The idea of such weak approximation is based on the nature of differential itself. The growth accounting computes the TFP dynamics accurately only under certain conditions based mainly on assumption of sufficiently small changes in variables.
Keywords: growth accounting, TFP, approximation problem, Taylor Theorem, Hessian Matrix
Classification-JEL: C02, E25
Pages: 347-357
Volume: 2007
Issue: 4
Year: 2007
File-URL: http://www.vse.cz/pep/download.php?jnl=pep&pdf=313.pdf
File-URL: http://www.vse.cz/pep/313
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Handle: RePEc:prg:jnlpep:v:2007:y:2007:i:4:id:313:p:347-357
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Template-Type: ReDIF-Article 1.0
Author-Name: Pavel Hnát
Author-Name: Eva Cihelková
Title: New Regionalism as a Part of the Transformation Strategy - Cases in Central and Eastern Europe and Asia (Czech Republic, Russia and China)
Abstract: New Regionalism differs markedly from previous development of regional integration. These changes are connected mainly to the necessity of regionalism to react to changing global conditions, new world political order and entrance of new actors into regional integration (i.e. states and superpowers that did not take part in previous waves at all or on a limited scale, i.e. China). This applies also for the transforming countries, at which the regionalism can be observed as late as in its third wave during the 1990s (which applies for the Central and Eastern Europe as well as for the Commonwealth of Independent States' countries) or even later (which applies for China). The aim of this paper is to compare the role of the New Regionalism in most eminent cases in the three parts of the transforming region: in Central and Eastern Europe, in the Commonwealth of Independent States' region and in East Asia. As cases, the Czech Republic, Russia and China were selected, which should enable the study of not only regional aspects, but also selected global impacts of regionalism.
Keywords: Czech Republic, new regionalism, transformation strategy, Russia, China
Classification-JEL: F02, F13, F15, F55
Pages: 358-377
Volume: 2007
Issue: 4
Year: 2007
File-URL: http://www.vse.cz/pep/download.php?jnl=pep&pdf=314.pdf
File-URL: http://www.vse.cz/pep/314
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