Template-Type: ReDIF-Article 1.0 Author-Name: Petr Jakubík Author-Name: Jaroslav Heřmánek Title: Stress testing of the czech banking sector Abstract: The results of stress tests of the Czech banking sector based on credit risk and credit growth models, applied to the household and corporate sector are presented in the paper. The use of these newly developed models enables the stress tests to be linked to the CNB's official quarterly macroeconomic forecast. In addition, the article updates the stress scenarios, including simple sensitivity analyses of credit risk for individual sectors. Based on the analysis, an answer is sought to the question of whether the observed credit growth to corporate sector and households poses any threat to the stability of the banking sector. The analyses conclude that the banking sector as a whole seems to be resilient to the macroeconomic shocks under consideration. Keywords: credit risk, financial stability, stress testing, credit growth, Czech banking sector Classification-JEL: G21, G28, G32, G33, K20 Pages: 195-212 Volume: 2008 Issue: 3 Year: 2008 File-URL: http://www.vse.cz/pep/download.php?jnl=pep&pdf=329.pdf File-URL: http://www.vse.cz/pep/329 File-Format: text/html Handle: RePEc:prg:jnlpep:v:2008:y:2008:i:3:id:329:p:195-212 X-File-Ref: http://www.vse.cz/RePEc/prg/jnlpep/references/329 Template-Type: ReDIF-Article 1.0 Author-Name: Radka Štiková Title: Models of political cycles: the czech experience Abstract: This paper studies whether the dynamic behaviour of real GDP, unemployment and inflation is systematically affected by the timing of elections and by changes of government in the Czech Republic. Two basic models of political cycles are tested - political business cycle models and partisan theories. Political business cycle models emphasize the opportunistic behaviour of incumbents who strive to get re-elected regardless of party affiliation. On the other hand, partisan politicians are faithful to their ideological opinions and therefore attract a specific constituency. The tests partly support the opportunistic motives for the behaviour of Czech politicians. On the contrary, suppositions of partisan motives were not proved. Keywords: fiscal policy, political cycle, models of political business cycle, partisan theories Classification-JEL: C22, E32, E61, E62 Pages: 213-229 Volume: 2008 Issue: 3 Year: 2008 File-URL: http://www.vse.cz/pep/download.php?jnl=pep&pdf=330.pdf File-URL: http://www.vse.cz/pep/330 File-Format: text/html Handle: RePEc:prg:jnlpep:v:2008:y:2008:i:3:id:330:p:213-229 X-File-Ref: http://www.vse.cz/RePEc/prg/jnlpep/references/330 Template-Type: ReDIF-Article 1.0 Author-Name: Miroslav Svoboda Title: History and troubles of consumer surplus Abstract: The paper is focused on history of the concept of consumer surplus presented by Alfred Marshall as an economic tool to measure benefits and losses resulting from changes in market conditions. As it assumes constant marginal utility of money, it was refused by further development of economics. Subsequently, John Hicks redefined the concept using indifference analysis, inducing the use of compensating and equivalent variations in welfare economics. However, we reveal substantial errors in the Kaldor-Hicks-efficiency justification of economic policy and suggest an alternative use for the concept of consumer surplus - in an analysis of economic discrimination. Keywords: consumer surplus, compensating variation, Alfred Marshall, John Hicks Classification-JEL: D61, N30 Pages: 230-242 Volume: 2008 Issue: 3 Year: 2008 File-URL: http://www.vse.cz/pep/download.php?jnl=pep&pdf=331.pdf File-URL: http://www.vse.cz/pep/331 File-Format: text/html Handle: RePEc:prg:jnlpep:v:2008:y:2008:i:3:id:331:p:230-242 X-File-Ref: http://www.vse.cz/RePEc/prg/jnlpep/references/331 Template-Type: ReDIF-Article 1.0 Author-Name: Alexandr Kuchynka Title: An empirical application of a two-factor model of stochastic volatility Abstract: This contribution focuses on the modelling of volatility of returns in Czech and US stock markets using a two-factor stochastic volatility model, i.e. the volatility process is modeled as a superposition of two autoregressive processes. As the volatility is not observable, the logarithm of the daily range is employed as the proxy. The estimation of parameters and volatility extraction are performed using the Kalman filter. We have obtained a meaningful decomposition of the volatility process into one highly persistent factor and another quickly mean-reverting factor. Moreover, we have shown that although the overall level of the volatility of returns is roughly the same in both markets, the US market exhibits substantially lower volatility of the volatility process. Keywords: volatility, stochastic volatility models, Kalman filter Classification-JEL: C22, G15 Pages: 243-253 Volume: 2008 Issue: 3 Year: 2008 File-URL: http://www.vse.cz/pep/download.php?jnl=pep&pdf=332.pdf File-URL: http://www.vse.cz/pep/332 File-Format: text/html Handle: RePEc:prg:jnlpep:v:2008:y:2008:i:3:id:332:p:243-253 X-File-Ref: http://www.vse.cz/RePEc/prg/jnlpep/references/332 Template-Type: ReDIF-Article 1.0 Author-Name: Ibrahim L. Awad Title: Towards measurement of political pressure on central banks: the case of the central bank of egypt Abstract: This paper assesses whether the legal independence granted to the Central Bank of Egypt (CBE) by the latest legislation promulgated in 2005 is factual. The author followed Fry's methodology, which assumes that the level of independence of the central bank is determined by fiscal attributes. In an attempt to develop Fry's method, there was used a simple criterion to assess the central bank's independence, namely, that the central bank is actually independent if it can fulfill its money supply target without squeezing the private sector. Applying this criterion to the case of the CBE, we find that the legal independence granted to the CBE by the latest legislation is not factual. Keywords: central bank independence, fiscal dominance, political pressure Classification-JEL: C23, E51, E59, H75 Pages: 254-275 Volume: 2008 Issue: 3 Year: 2008 File-URL: http://www.vse.cz/pep/download.php?jnl=pep&pdf=333.pdf File-URL: http://www.vse.cz/pep/333 File-Format: text/html Handle: RePEc:prg:jnlpep:v:2008:y:2008:i:3:id:333:p:254-275 X-File-Ref: http://www.vse.cz/RePEc/prg/jnlpep/references/333