Template-Type: ReDIF-Article 1.0 Author-Name: Avgeris Nikolaos Author-Name: Katrakilidis Constantinos Title: A Dynamic Panel, Empirical Investigation on the Link between Inflation and Fiscal Imbalances. Does Heterogeneity Matter? Abstract: This study empirically attempts to unveil the contradictive findings regarding the relationship between fiscal imbalances and inflation in the context of the latest theoretical indications. The empirical analysis covers the period of 1970 to 2009 and applies dynamic panel techniques in a pool of 52 countries that comprises 19 developed and 33 developing ones. This segmentation is applied to illustrate the groups´ specific features and the implications of heterogeneity. The findings provide supportive evidence for developing countries. We also find a significant degree of heterogeneity between the groups and the statistical significance of the relationship between fiscal imbalances and inflation in the case of developed countries cannot be ratified. Keywords: inflation, fiscal imbalances, heterogeneity, dynamic panel, GMM Classification-JEL: C23, C52, E31, E42, H62 Pages: 147-162 Volume: 2013 Issue: 2 Year: 2013 File-URL: http://www.vse.cz/pep/download.php?jnl=pep&pdf=445.pdf File-URL: http://www.vse.cz/pep/445 File-Format: text/html Handle: RePEc:prg:jnlpep:v:2013:y:2013:i:2:id:445:p:147-162 Template-Type: ReDIF-Article 1.0 Author-Name: Petr Gurný Author-Name: Martin Gurný Title: Comparison of Credit Scoring Models on Probability of Default Estimation for Us Banks Abstract: This paper is devoted to the estimation of the probability of default (PD) as a crucial parameter in risk management, requests for loans, rating estimation, pricing of credit derivatives and many others key financial fields. Particularly, in this paper we will estimate the PD of US banks by means of the statistical models, generally known as credit scoring models. First, in theoretical part, we will briefly introduce the two main categories of credit scoring models, which will be afterwards used in application part - linear discriminant analysis and regression models (logit and probit), including testing the statistical significance of estimated parameters. In the main part of the paper we will work with the sample of almost three hundred US commercial banks which will be separated into two groups (non-default and default) on the basis of historical information. Subsequently, we will stepwise apply the mentioned above scoring models on this sample to derive several models for estimation of PD. Further we will apply these models to the control sample to determine the most appropriate model. Keywords: logistic regression, probability of default (PD), credit scoring models, linear discriminant analysis, probit regression Classification-JEL: C51, G01, G21 Pages: 163-181 Volume: 2013 Issue: 2 Year: 2013 File-URL: http://www.vse.cz/pep/download.php?jnl=pep&pdf=446.pdf File-URL: http://www.vse.cz/pep/446 File-Format: text/html Handle: RePEc:prg:jnlpep:v:2013:y:2013:i:2:id:446:p:163-181 Template-Type: ReDIF-Article 1.0 Author-Name: Jiří Mazurek Author-Name: Elena Mielcová Title: The Evaluation of Economic Recession Magnitude: Introduction and Application Abstract: We propose a new quantitative recession magnitude scale for measuring recessions´ magnitudes (´strength´) derived from GDP growth rates during a recession and its duration. Furthermore, we introduce a qualitative scale with four recession categories: minor, major, severe and ultra, where the categories are defined by the magnitude scale. We use both scales to evaluate several well known economic recessions of the 20th and the 21st centuries. We have found that the Great Depression in 1929-1933 and recessions in Russia and Ukraine in the 1990s belong to ultra recessions, while the recent 2007-2009 fi nancial crisis falls mainly into major (EU and Japan) and severe (USA) category. Keywords: recession, business cycle, financial crisis, recession classification, recession magnitude Classification-JEL: B49, E32, O57 Pages: 182-205 Volume: 2013 Issue: 2 Year: 2013 File-URL: http://www.vse.cz/pep/download.php?jnl=pep&pdf=447.pdf File-URL: http://www.vse.cz/pep/447 File-Format: text/html Handle: RePEc:prg:jnlpep:v:2013:y:2013:i:2:id:447:p:182-205 Template-Type: ReDIF-Article 1.0 Author-Name: Jana Votápková Author-Name: Milan Žák Title: Institutional Efficiency of Selected EU & OECD Countries Using Dea-Like Approach Abstract: The paper estimates institutional efficiency of a sample of EU and OECD countries. We employ an output-oriented Data Envelopment Analysis (DEA-like) approach where six Worldwide Governance Indicators published by the World Bank in 2009 constitute a vector of outputs. Assuming that all countries should aim at the same level of institutional quality, inputs were considered unimportant. The results, as to in which areas and how much individual countries need to improve, were not surprising. Concerning the overall efficiency scores and rankings, the most institutionally efficient countries are situated in northern Europe. The Czech Republic ranked 24th in the overall sample and 3rd among New EU Member States. The biggest necessary improvements are in the area of government effectiveness and control of corruption. The robustness check using Principal Component Analysis revealed significant qualitative correlation with the DEA-like results, with the correlation coefficient of 0.9653. We propose that both sets of results could be used equally well as explanatory variables in growth and other regressions. Keywords: efficiency, institutions, Worldwide Governance Indicators, PCA Classification-JEL: C61, E02 Pages: 206-223 Volume: 2013 Issue: 2 Year: 2013 File-URL: http://www.vse.cz/pep/download.php?jnl=pep&pdf=448.pdf File-URL: http://www.vse.cz/pep/448 File-Format: text/html Handle: RePEc:prg:jnlpep:v:2013:y:2013:i:2:id:448:p:206-223 Template-Type: ReDIF-Article 1.0 Author-Name: Primož Dolenc Author-Name: Suzana Laporšek Title: Flexicurity Policies and their Association with Productivity in the European Union Abstract: The paper examines the issue of flexicurity in the EU Member States and studies the association between flexicurity policy components (i.e. employment protection legislation, lifelong learning programs, active and passive labour market policies) and labour and total factor productivity growth in 20 EU Member States over the 1991-2008 period. The empirical analysis pointed on the existence of large differences in the level of implementation of flexicurity policies across EU Member States, by which the least successful are NMS, especially with regard to active labour market and lifelong learning programs. As regards the relation between flexicurity variables and productivity growth, panel regression estimates showed that active labour market policies and participation in lifelong learning programs have a statistically significant positive association with labour and total factor productivity growth. On the other hand, rigid employment protection and high expenditures for passive labour market policies negatively relate to productivity growth. Keywords: European Union, labour market, productivity, flexicurity Classification-JEL: J08 Pages: 224-239 Volume: 2013 Issue: 2 Year: 2013 File-URL: http://www.vse.cz/pep/download.php?jnl=pep&pdf=449.pdf File-URL: http://www.vse.cz/pep/449 File-Format: text/html Handle: RePEc:prg:jnlpep:v:2013:y:2013:i:2:id:449:p:224-239 Template-Type: ReDIF-Article 1.0 Author-Name: Alexej Sato Title: Private Equity Investment in the Czech Republic Abstract: New principles, tasks and expectations for the nearest future, as well as upcoming development trends of private equity investments in global economy are mentioned in this paper. Ecological investments of private equity, as for example: alternative power engineering, biotechnologies or any other technologies, regardful to the living environment, appear to replace gradually foregoing investments focusing on information engineering and communication technologies. Attention of private equity funds seems to be paid especially on emerging markets during oncoming decade. Sources, aims and conditions of usage of private equity in Europe are not similar comparing with North America or Asia-Pacific region. While in the North America major-part of equity consists of private sources, Cohesion Funds of the European Community are frequently used for financing of funds in Europe. Consequently private equity is usually used for growth or expansion of a company or for "buy in - buy out" operations, scarcely any investments are focused on start-up and early stage projects in Europe. Recommendations of European Commission and EVCA regarding elimination of obstacles to private equity investments in Europe include: - harmonization of tax and legal rules for private equity investments in the Member States of European Community, - improvement of European tax and legal environments, - move towards greater transparency of tax reporting. Keywords: investment funds, venture capital, private equity, private investors, buy in - buy out operations, tax and legal environments Classification-JEL: G24 Pages: 240-250 Volume: 2013 Issue: 2 Year: 2013 File-URL: http://www.vse.cz/pep/download.php?jnl=pep&pdf=450.pdf File-URL: http://www.vse.cz/pep/450 File-Format: text/html Handle: RePEc:prg:jnlpep:v:2013:y:2013:i:2:id:450:p:240-250 Template-Type: ReDIF-Article 1.0 Author-Name: Jiří Witzany Title: Estimating Correlated Jumps and Stochastic Volatilities Abstract: We formulate a bivariate stochastic volatility jump-diffusion model with correlated jumps and volatilities. An MCMC Metropolis-Hastings sampling algorithm is proposed to estimate the model´s parameters and latent state variables (jumps and stochastic volatilities) given observed returns. The methodology is successfully tested on several artificially generated bivariate time series and then on the two most important Czech domestic financial market time series of the FX (CZK/EUR) and stock (PX index) returns. Four bivariate models with and without jumps and/or stochastic volatility are compared using the deviance information criterion (DIC) confi rming importance of incorporation of jumps and stochastic volatility into the model. Keywords: value at risk, jump-diffusion, stochastic volatility, MCMC, Monte Carlo Classification-JEL: C11, C15, G1 Pages: 251-283 Volume: 2013 Issue: 2 Year: 2013 File-URL: http://www.vse.cz/pep/download.php?jnl=pep&pdf=451.pdf File-URL: http://www.vse.cz/pep/451 File-Format: text/html Handle: RePEc:prg:jnlpep:v:2013:y:2013:i:2:id:451:p:251-283 Template-Type: ReDIF-Article 1.0 Author-Name: Asuman Oktayer Author-Name: Nagihan Oktayer Title: Testing Wagner´s Law for Turkey: Evidence from a Trivariate Causality Analysis Abstract: The purpose of this study is to analyse the relationship between government expenditure and economic growth in Turkey. The study tests the validity of Wagner´s law by applying autoregressive distributed lag (ARDL) cointegration technique using annual data over 1950-2010 period. In order to find out the possible impact of omitted variables, we first tested the standard bivariate versions of Wagner´s law. In the next step by including a third variable - inflation ratio - the analysis extended on a trivariate system. The findings of each testing procedure indicate that omitted variables matter. Since, while there exists no long-run relationship between the variables in the first step of the testing procedure, a long-run correlation is found in the second step. The differences of this paper from the earlier studies testing the Law for Turkey are that, the causal link is examined within a trivariate framework and non-interest government expenditure is considered instead of total government expenditures. Keywords: economic growth, government expenditure, Wagner´s law, trivariate causality test Classification-JEL: E60, H50, O10 Pages: 284-301 Volume: 2013 Issue: 2 Year: 2013 File-URL: http://www.vse.cz/pep/download.php?jnl=pep&pdf=452.pdf File-URL: http://www.vse.cz/pep/452 File-Format: text/html Handle: RePEc:prg:jnlpep:v:2013:y:2013:i:2:id:452:p:284-301 Template-Type: ReDIF-Article 1.0 Author-Name: Paul-Marc Collin Title: Diversity in European Marketing Keywords: - Pages: 302-304 Volume: 2013 Issue: 2 Year: 2013 File-URL: http://www.vse.cz/pep/download.php?jnl=pep&pdf=453.pdf File-URL: http://www.vse.cz/pep/453 File-Format: text/html Handle: RePEc:prg:jnlpep:v:2013:y:2013:i:2:id:453:p:302-304