Template-Type: ReDIF-Article 1.0 Author-Name: Svend Reuse Author-Name: Martin Svoboda Title: Empirical Test of the Efficiency of Currency Investments Abstract: The portfolio theory and the basic ideas of Markowitz can be applied to currency investments as well as to classical asset classes as shares or bonds. The question whether currency investments can be treated as efficient asset classes is not finally answered in theory and practice. This article applies a modified historical simulation approach to shares, bonds and currencies. The questions according to the efficiency of currency investments are answered empirically from a euro-investor´s point of view. The empirical analysis leads to the result that currency investments are not efficient in general. Some specific cases exist. The used data lead to the result that the Czech koruna seems to be an efficient asset class and leveraging a euro portfolio by other currencies is useful as well. But it has to be doubted if these effects will remain in the future. Keywords: portfolio theory, financial crisis, historical simulation, currency investment, leveraging by currencies Classification-JEL: F31, G11, G14, G15 Pages: 99-119 Volume: 2011 Issue: 2 Year: 2011 File-URL: http://www.vse.cz/pep/download.php?jnl=pep&pdf=391.pdf File-URL: http://www.vse.cz/pep/391 File-Format: text/html Handle: RePEc:prg:jnlpep:v:2011:y:2011:i:2:id:391:p:99-119 X-File-Ref: http://www.vse.cz/RePEc/prg/jnlpep/references/391 Template-Type: ReDIF-Article 1.0 Author-Name: Svatopluk Kapounek Author-Name: Lubor Lacina Title: Inflation Perceptions and Anticipations in the Old Eurozone Member States Abstract: There is empirical evidence that the introduction of the euro led to a significant increase of perceived inflation in most countries. Such an increase and persistence in the perceived inflation might then have an impact on inflation expectations and other macroeconomic variables. The authors have used expectational errors to describe the difference between inflation expectations/anticipations and its observed values, subsequently to identify the causality between these variables. Keywords: monetary integration, perceived and anticipated inflation, adaptive and rational expectations hypothesis, stationarity, ADF test, Granger Non-Causality Classification-JEL: E31, F15 Pages: 120-139 Volume: 2011 Issue: 2 Year: 2011 File-URL: http://www.vse.cz/pep/download.php?jnl=pep&pdf=392.pdf File-URL: http://www.vse.cz/pep/392 File-Format: text/html Handle: RePEc:prg:jnlpep:v:2011:y:2011:i:2:id:392:p:120-139 X-File-Ref: http://www.vse.cz/RePEc/prg/jnlpep/references/392 Template-Type: ReDIF-Article 1.0 Author-Name: Boril Šopov Author-Name: Jakub Seidler Title: Yield Curve Dynamics - Regional Common Factor Model Abstract: In this paper, we focus on thorough yield curve modelling. We build on extended classical Nelson-Siegel model, which we further develop to accommodate unobserved regional common factors. We centre our discussion on Central European currencies´ yield curves: CZK, HUF, PLN and SKK. We propose a model to capture regional dynamics purely based on state space formulation. The contribution of this paper is twofold: we examine regional yield curve dynamics and we quantify regional interdependencies amongst considered currencies´ yield curves. We conclude that the CZK yield curve possesses its own dynamics corresponding to country specific features, whereas other currencies´ yield curves are strongly influenced by the regional level, the regional slope factor or both. Keywords: Kalman filter, dynamic factor model, Nelson-Siegel, state space, regional yield curve, principal component analysis Classification-JEL: C51, C53, G17 Pages: 140-156 Volume: 2011 Issue: 2 Year: 2011 File-URL: http://www.vse.cz/pep/download.php?jnl=pep&pdf=393.pdf File-URL: http://www.vse.cz/pep/393 File-Format: text/html Handle: RePEc:prg:jnlpep:v:2011:y:2011:i:2:id:393:p:140-156 X-File-Ref: http://www.vse.cz/RePEc/prg/jnlpep/references/393 Template-Type: ReDIF-Article 1.0 Author-Name: Petr Jakubík Author-Name: Petr Teplý Title: The JT Index as an Indicator of Financial Stability of Corporate Sector Abstract: This paper presents the construction of a new indicator (named the JT index) evaluating the economy´s financial stability, which is based on a financial scoring model estimated on Czech corporate accounting data. Seven financial indicators capable of explaining business failure at a 1-year prediction horizon are identified. Using the model estimated in this way, an aggregate indicator of the creditworthiness of the Czech corporate sector (the JT index) is then constructed and its evolution over time is shown. This indicator aids the estimation of the risks of this sector going forward and broadens the existing analytical set-up used by the Czech National Bank for its financial stability analyses. The results suggest that the creditworthiness of the Czech corporate sector steadily improved between 2004 and 2006. However, the JT index for 2007 and 2008 deteriorated what could be explained through global market turbulences while the further decrease in 2009 rather by the global recession. The used methodology for the construction of the JT index might be suitable for decision makers when evaluating the economy´s financial stability. Although our research is done as a case study on the Czech Republic, its basic idea might be easily applied to other countries as well. Keywords: financial stability, bankruptcy prediction, logit analysis, corporate sector risk, JT index Classification-JEL: G28, G32, G33 Pages: 157-176 Volume: 2011 Issue: 2 Year: 2011 File-URL: http://www.vse.cz/pep/download.php?jnl=pep&pdf=394.pdf File-URL: http://www.vse.cz/pep/394 File-Format: text/html Handle: RePEc:prg:jnlpep:v:2011:y:2011:i:2:id:394:p:157-176 X-File-Ref: http://www.vse.cz/RePEc/prg/jnlpep/references/394 Template-Type: ReDIF-Article 1.0 Author-Name: Burcu Kiran Title: Fractional Cointegration Relationship between Oil Prices and Stock Markets: An Empirical Analysis from G7 Countries Abstract: This paper examines the long-run relationship between oil prices and stock market prices of G7 countries by using Robinson (1994a) tests for fractional integration and cointegration instead of the classical approaches. Having found that the unit root null hypothesis cannot be rejected for any individual series, it is examined whether oil prices and stock market prices have a fractional cointegration relationship. Test results on the residuals from the cointegrating regressions indicate that there is evidence of fractional cointegration between oil prices and DAX 30, Dow Jones, FTSE 100 and SP-TSX indices while there is no evidence of fractional cointegration for others. Keywords: fractional integration, fractional cointegration, oil prices, stock markets, G7 countries Classification-JEL: C10, E44, G15 Pages: 177-189 Volume: 2011 Issue: 2 Year: 2011 File-URL: http://www.vse.cz/pep/download.php?jnl=pep&pdf=395.pdf File-URL: http://www.vse.cz/pep/395 File-Format: text/html Handle: RePEc:prg:jnlpep:v:2011:y:2011:i:2:id:395:p:177-189 X-File-Ref: http://www.vse.cz/RePEc/prg/jnlpep/references/395 Template-Type: ReDIF-Article 1.0 Author-Name: Jiří Trešl Title: Mathematical Framework for Finance and Insurance Pages: 190-192 Volume: 2011 Issue: 2 Year: 2011 File-URL: http://www.vse.cz/pep/download.php?jnl=pep&pdf=390.pdf File-URL: http://www.vse.cz/pep/390 File-Format: text/html Handle: RePEc:prg:jnlpep:v:2011:y:2011:i:2:id:390:p:190-192