Template-Type: ReDIF-Article 1.0 Author-Name: Alenka Kavkler Author-Name: Mejra Festić Title: Modelling Stock Exchange Index Returns in Different GDP Growth Regimes Abstract: During different GDP growth regimes, the dynamics of global financial markets impacts the Slovenian stock exchange with varying intensity. We propose a smooth transition regression model to explain Slovene stock exchange index returns employing financial and macroeconomic variables. According to our model, the reaction of the stock market to several of the explanatory variables depends on the magnitude of GDP growth. The weaker relationship between Slovene stock exchange index returns and S&P 500 returns in the period of lower or negative GDP growth could be explained by less developed financial market in Slovenia and therefore not closely linked interchange of securities. Keywords: GDP growth regimes, smooth transition regression, stock returns Classification-JEL: C25, F36, F47, G12, G15 Pages: 3-22 Volume: 2011 Issue: 1 Year: 2011 File-URL: http://www.vse.cz/pep/download.php?jnl=pep&pdf=384.pdf File-URL: http://www.vse.cz/pep/384 File-Format: text/html Handle: RePEc:prg:jnlpep:v:2011:y:2011:i:1:id:384:p:3-22 X-File-Ref: http://www.vse.cz/RePEc/prg/jnlpep/references/384 Template-Type: ReDIF-Article 1.0 Author-Name: Milan Rippel Author-Name: Petr Teplý Title: Operational Risk - Scenario Analysis Abstract: This paper focuses on operational risk measurement techniques and on economic capital estimation methods. A data sample of operational losses provided by an anonymous Central European bank is analyzed using several approaches. Multiple statistical concepts such as the Loss Distribution Approach and the Extreme Value Theory, including scenario analysis method, are considered. Custom plausible loss events defined in a particular scenario are merged with the original data sample and their impact on capital estimates and on the financial institution as a whole is evaluated. Two main questions are assessed - what is the most appropriate statistical method to measure and model operational loss data distribution and what is the impact of hypothetical plausible events on the financial institution. The g&h distribution was evaluated to be the most suitable one for operational risk modeling. The method based on the combination of historical loss events modeling and scenario analysis provides reasonable capital estimates and allows for the measurement of the impact of very extreme events on banking operations. Keywords: stress testing, operational risk, scenario analysis, economic capital, loss distribution approach, extreme value theory Classification-JEL: C15, G21, G32 Pages: 23-39 Volume: 2011 Issue: 1 Year: 2011 File-URL: http://www.vse.cz/pep/download.php?jnl=pep&pdf=385.pdf File-URL: http://www.vse.cz/pep/385 File-Format: text/html Handle: RePEc:prg:jnlpep:v:2011:y:2011:i:1:id:385:p:23-39 X-File-Ref: http://www.vse.cz/RePEc/prg/jnlpep/references/385 Template-Type: ReDIF-Article 1.0 Author-Name: Michael Moritz Title: The Impact of Czech Commuters on the German Labour Market Abstract: In the process of European integration, regions close to a border are especially affected by labour market liberalisation. Using data from the IAB employment subsample (IABS) and the employment register (BeH) for the period before and after the opening of the border between Germany and the Czech Republic (1980-2001) I shed light on the development of wages. Both German employees and Czech commuters in the western German borderland of Bavaria are compared to other domestic and foreign workers. At the beginning of the 1990s, German legislation was relatively unrestrictive, so that it was quite easy for Czech workers to obtain a work permit beyond the border. Most of them had only low education. More than 5% of the eastern Bavarian male, low-skilled workforce was reported Czech in the early 1990s. Surprisingly, precisely in this period German employees seem to have benefited from integration, but suffered in the years afterwards, when regulations on labour permits for commuters were far stricter. Keywords: regional labour markets, international migration, cross-border commuting, wage differentials Classification-JEL: F22, J61, R23 Pages: 40-58 Volume: 2011 Issue: 1 Year: 2011 File-URL: http://www.vse.cz/pep/download.php?jnl=pep&pdf=386.pdf File-URL: http://www.vse.cz/pep/386 File-Format: text/html Handle: RePEc:prg:jnlpep:v:2011:y:2011:i:1:id:386:p:40-58 X-File-Ref: http://www.vse.cz/RePEc/prg/jnlpep/references/386 Template-Type: ReDIF-Article 1.0 Author-Name: Lucie Sedmihradská Author-Name: Rudolf Kubík Author-Name: Jakub Haas Title: Political Business Cycle in Czech Municipalities Abstract: The paper examines the political business cycle at the municipal level in the Czech Republic using data for 205 municipalities in the period 2001-2007. We introduce empirical models based on fixed-effects panel data regression testing the capital and current expenditure manipulation prior to elections. The results indicate significant increase in capital expenditures and significant decrease in current expenditures prior to elections. At the same time the manipulation with capital expenditures does not increase the probability of re-election for the incumbents in the Czech municipalities. Keywords: local government, political business cycle, elections, Czech municipalities, panel data regressions Classification-JEL: D72, D78, H72 Pages: 59-70 Volume: 2011 Issue: 1 Year: 2011 File-URL: http://www.vse.cz/pep/download.php?jnl=pep&pdf=387.pdf File-URL: http://www.vse.cz/pep/387 File-Format: text/html Handle: RePEc:prg:jnlpep:v:2011:y:2011:i:1:id:387:p:59-70 X-File-Ref: http://www.vse.cz/RePEc/prg/jnlpep/references/387 Template-Type: ReDIF-Article 1.0 Author-Name: David Procházka Title: The Role of Fair Value Measurement in the Recent Financial Crunch Abstract: Fair value measurement became pervasive to financial reporting over last 20 years. Under fair value accounting, entities are obliged or permitted to measure particular assets and liabilities at their fair values as at the reporting dates. Fair value is a current market-based hypothetical value. This market value is not always directly observable. The debate on usefulness of fair value accounting has arisen in connection with the financial crunch and economic crisis in years 2007-2009. The opponents of fair value accounting insist on that financial reporting based on fair value measurement has accelerated the financial crisis and significantly worsened the impact on affected companies. On the other hand, there are several important opinions in favour of fair value accounting. The paper aim is to contribute to the actual debate whether fair value accounting played the role of a messenger or a mover in the recent financial crunch and subsequent economic recession and to analyse the characteristics of fair value accounting from the economic point of view. Keywords: measurement, fair value, economic income, accounting income Classification-JEL: M41 Pages: 71-88 Volume: 2011 Issue: 1 Year: 2011 File-URL: http://www.vse.cz/pep/download.php?jnl=pep&pdf=388.pdf File-URL: http://www.vse.cz/pep/388 File-Format: text/html Handle: RePEc:prg:jnlpep:v:2011:y:2011:i:1:id:388:p:71-88 X-File-Ref: http://www.vse.cz/RePEc/prg/jnlpep/references/388 Template-Type: ReDIF-Article 1.0 Author-Name: Tomáš Otáhal Title: When Great Economists Know a Lot About History Pages: 89-93 Volume: 2011 Issue: 1 Year: 2011 File-URL: http://www.vse.cz/pep/download.php?jnl=pep&pdf=389.pdf File-URL: http://www.vse.cz/pep/389 File-Format: text/html Handle: RePEc:prg:jnlpep:v:2011:y:2011:i:1:id:389:p:89-93