Template-Type: ReDIF-Article 1.0
Author-Name: Vít Pošta
Title: Estimation of the Time-Varying Risk Premium in the Czech Foreign Exchange Market
Abstract: The paper presents both the theoretical account of the issue of foreign exchange risk premium and the actual estimates of the time-varying risk premium for the cases of the Czech koruna to euro and US dollar. The risk premium is modelled within a state space framework and estimated using the Kalman filtering procedure. Some financial market fundamentals are used to estimate the risk premium, and thus not only do the estimates give insight into the foreign exchange market behaviour but also into some linkages between the various segments of the financial market as a whole.
Keywords: Kalman filter, financial market, foreign exchange risk premium, interest rate parity
Classification-JEL: E44, E47, F31
Pages: 3-17
Volume: 2012
Issue: 1
Year: 2012
File-URL: http://www.vse.cz/pep/download.php?jnl=pep&pdf=407.pdf
File-URL: http://www.vse.cz/pep/407
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Handle: RePEc:prg:jnlpep:v:2012:y:2012:i:1:id:407:p:3-17
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Template-Type: ReDIF-Article 1.0
Author-Name: Pu-yan Nie
Title: Maintenance Commitments for Monopolized Goods
Abstract: This paper highlights the monopoly firms´ commitments for goods requiring high maintenance expenditure, such as elevators, televisions and computers. A guarantee time limit model to maintain these special goods is presented in this paper. Based on this model, several types of commitments with different guarantee time limits are compared under monopoly conditions. This paper finds that the guarantee pattern has no effect on the monopoly firm´s profits if all information is known to both the consumer and the monopolist. It is also shown that if a monopoly firm exaggerates its product quality claims in its advertisements, then it cannot meet its warranty guarantees. Industrial organizational theory is employed to analyze maintenance guarantees in this work.
Keywords: price, market structure, game theory, industrial organization, maintain, commitment, guarantee
Classification-JEL: C61, C72, D4, L1
Pages: 18-29
Volume: 2012
Issue: 1
Year: 2012
File-URL: http://www.vse.cz/pep/download.php?jnl=pep&pdf=408.pdf
File-URL: http://www.vse.cz/pep/408
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Handle: RePEc:prg:jnlpep:v:2012:y:2012:i:1:id:408:p:18-29
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Template-Type: ReDIF-Article 1.0
Author-Name: Petra Buzková
Author-Name: Petr Teplý
Title: Collateralized Debt Obligations´ Valuation Using the One Factor Gaussian Copula Model
Abstract: The aim of this paper is to shed light on Collateralized Debt Obligation (CDO) valuation based on data before and during the 2007-2009 global turmoil. We present the One Factor Gaussian Copula Model and examine five hypotheses regarding CDO sensitivity to entry parameters. For our modelling we used data of the CDX NA IG 5Y V3 index from 20 September 2007 until 27 February 2009 and we appropriately transform its quotes into CDO quotes. Based on the results we discovered four main defi ciencies of the CDO market: i) an insufficient analysis of underlying assets by both investors and rating agencies; ii) investment decisions arise from the valuation model based on expected cash flows, they neglected other factors such as mark-tomarket losses; iii) mispriced correlation; and finally iv) obligation of the mark-to-market valuation. Based on the mentioned recommendations we conclude that the CDO market has a chance to be regenerated but in smaller volumes compared to the pre-crisis period. However, it would then be more conscious, driven by smarter motives rather than by pure arbitrage and profit incentives.
Keywords: Collateralized Debt Obligations, Copula Function, valuation, securitization, One Factor Gaussian Copula Model
Classification-JEL: C63, G01, G15, G17
Pages: 30-49
Volume: 2012
Issue: 1
Year: 2012
File-URL: http://www.vse.cz/pep/download.php?jnl=pep&pdf=409.pdf
File-URL: http://www.vse.cz/pep/409
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Template-Type: ReDIF-Article 1.0
Author-Name: Meta Ahtik
Title: Bank Lending Channel in Slovenia: Panel Data Analysis
Abstract: Channels through which monetary policy affects aggregate demand can be divided into three groups: traditional interest rate channel, other asset price channels and credit channel composed of balance sheet channel (named also broad credit channel), only recently separated bank capital channel and bank lending channel. Banks face troubles in keeping their present or acquiring new financial sources, when central bank tightens its monetary policy. Banks characterized by differences in size, capitalization, liquidity and ownership face different levels of informational asymmetry and are therefore differently affected by changes in monetary policy. If larger, better capitalized, more liquid, state owned and/or domestically owned banks respond weaker to changes in monetary policy it is possible to argue that bank lending channel is effective. This hypothesis is tested on a panel of annual data for individual Slovenian banks in the period between 1993 and 2007 using general method of moments. Results largely confirm the existence of the bank lending channel in Slovenia.
Keywords: Slovenia, banking, monetary transmission mechanism, bank lending channel, panel data analysis
Classification-JEL: C23, C44, E52, G21
Pages: 50-68
Volume: 2012
Issue: 1
Year: 2012
File-URL: http://www.vse.cz/pep/download.php?jnl=pep&pdf=410.pdf
File-URL: http://www.vse.cz/pep/410
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Handle: RePEc:prg:jnlpep:v:2012:y:2012:i:1:id:410:p:50-68
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Template-Type: ReDIF-Article 1.0
Author-Name: Jan Kalina
Title: On Multivariate Methods in Robust Econometrics
Abstract: This work studies implicitly weighted robust statistical methods suitable for econometric problems. We study robust estimation mainly for the context of heteroscedasticity or high dimension, which are up-to-date topics of current econometrics. We describe a  modification of linear regression resistant to heteroscedasticity and study its computational aspects. For a robust version of the instrumental variables estimator we propose an asymptotic test of heteroscedasticity. Further we describe robust statistical methods for dimension reduction and classification analysis. We propose the robust quadratic classification analysis based on a new minimum weighted covariance determinant (MWCD) estimator. In general the robust methods based on down-weighting less reliable observations are resistant to outlying values (outliers) and insensitive to the assumption of Gaussian normal distribution of the data. The methods are illustrated on econometric data examples.
Keywords: least weighted squares, heteroscedasticity, multivariate statistics, model selection, diagnostics, computational aspects
Classification-JEL: C13, C14, C51
Pages: 69-82
Volume: 2012
Issue: 1
Year: 2012
File-URL: http://www.vse.cz/pep/download.php?jnl=pep&pdf=411.pdf
File-URL: http://www.vse.cz/pep/411
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Handle: RePEc:prg:jnlpep:v:2012:y:2012:i:1:id:411:p:69-82
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Template-Type: ReDIF-Article 1.0
Author-Name: Anna Černá
Title: Economic and Social Harmonization of Sustainable Public Transport
Abstract: The paper identifies, formulates and resolves several problems arising from dealing with the economic and social pillars of sustainable public transport. In the first part of the paper three pillars of sustainable transport are presented. The second part studies harmonization problems of economic, spatial and time accessibility of public transport and illustrates them by the Czech situation. The third part studies the cost-revenue-subsidy relation, emphasizes the right choice of fares and suggests a harmonization between the prices of the ticket for individual trip and the monthly one. The fourth part shows several important measures for getting the economic and social acceptability of public transport service, namely optimal choice of rolling stock structure, routes and frequencies, vehicle and crew scheduling.
Keywords: sustainability, decision making, public administration, economic, social, ecological, cost, revenue, subsidy, public transport
Classification-JEL: C650, R490
Pages: 83-100
Volume: 2012
Issue: 1
Year: 2012
File-URL: http://www.vse.cz/pep/download.php?jnl=pep&pdf=412.pdf
File-URL: http://www.vse.cz/pep/412
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Handle: RePEc:prg:jnlpep:v:2012:y:2012:i:1:id:412:p:83-100
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Template-Type: ReDIF-Article 1.0
Author-Name: Martin Pohl
Title: Czech Swap Market in the Crisis Period
Abstract: The swap market is key segment of the fixed income market due to its liquidity and tight links to other market segments. In our paper we estimate basic parameters of the swap curve and we test the stability of these parameters during the crises period. Our estimate confirms that the Czech swap curve may be represented by three components that track its level, slope and curvature. These parameters were stable during the crises period that culminated in the autumn 2008. On contrary, the basic swap curve characteristics are showing most abnormal behaviour during periods of relative calm development. The traditional determinants of the Czech swap curve remain monetary policy, euro swap rates and risk premiums. Although risk premiums are low in the swap market, the large increase in risk premium in the Czech money market rates had significant impact on the swap curve slope during the crises period.
Keywords: financial crises, multivariate methods, swap curve, money market
Classification-JEL: C38, G01
Pages: 101-122
Volume: 2012
Issue: 1
Year: 2012
File-URL: http://www.vse.cz/pep/download.php?jnl=pep&pdf=413.pdf
File-URL: http://www.vse.cz/pep/413
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Handle: RePEc:prg:jnlpep:v:2012:y:2012:i:1:id:413:p:101-122
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Template-Type: ReDIF-Article 1.0
Author-Name: Martin Kuncl
Title: Development of European Socio-Economic Systems and Future Challenges
Pages: 123-126
Volume: 2012
Issue: 1
Year: 2012
File-URL: http://www.vse.cz/pep/download.php?jnl=pep&pdf=414.pdf
File-URL: http://www.vse.cz/pep/414
File-Format: text/html
Handle: RePEc:prg:jnlpep:v:2012:y:2012:i:1:id:414:p:123-126