Template-Type: ReDIF-Article 1.0
Author-Name: Josef Arlt
Author-Name: Martin Mandel
Title: The Reaction Function of Three Central Banks of Visegrad Group
Abstract: The aim of our paper is to formulate and empirically verify the simple backward looking econometric model of the monetary policy rule, which would be able to describe the development of monetary policy rate, namely only on the basis of statistically measured and at the given time available information. We focus on the Czech National Bank, the National Bank of Poland and the Magyar Nemzeti Bank in the period of January 1999 to April 2012. In the present paper we discuss some methodological problems associated with the ex-post empirical verifi cation of the central bank’s monetary policy rule. We construct an empirical model of the monetary policy rule, justify the choice and the inclusion of explanatory variables, analyse the statistical properties of time series, and verify the alternative forms of econometric models. Our analysis showed that the development of monetary policy rate in the reporting period can be explained by the past and present development of four explanatory variables: yearly infl ation rate, exchange rate, ECB main refi nancing rate and growth rate of M2. The annualized infl ation rate proved to be statistically insignifi cant in the model. We fi nd interesting that the statistical quality of the estimated model was further increased after a six-month lag of the annual infl ation rate added to the model.
Keywords: cointegration, econometric model, repo rate, monetary policy rules, annual infl ation rate, Visegrad Group
Classification-JEL: C12, C22, E43, E47, E52
Pages: 269-289
Volume: 2014
Issue: 3
Year: 2014
File-URL: http://www.vse.cz/pep/download.php?jnl=pep&pdf=484.pdf
File-URL: http://www.vse.cz/pep/484
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Handle: RePEc:prg:jnlpep:v:2014:y:2014:i:3:id:484:p:269-289
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Template-Type: ReDIF-Article 1.0
Author-Name: Jaromír Kukal
Author-Name: Tran Van Quang
Title: A Monetary Policy Rule Based on Fuzzy Control in an Inflation Targeting Framework
Abstract: Today inflation targeting regime is often used to conduct monetary policy in most developed economies. In this regime, a central bank manipulates its key interest rate to steer an economy to the objectives it wants to achieve. To implement its monetary policy, Taylor rule is claimed to be a quantitative tool used as a guide for setting interest rate in response to the state of the economy. Despite its widespread popularity, the Taylor rule is just an orientational guidance at best and cannot be followed strictly since it would be against the common practice of conducting monetary policy of most central banks. Therefore, we propose a new rule for infl ation targeting monetary policy based on fuzzy control technique. This rule seems to be able to quantify those widely accepted qualitative knowledge on monetary policy. Further, the policy derived by this rule also better captures the common behaviour of central banks. We verify this rule on the monetary policy conducted by the Czech National Bank in the period from 2000 to 2011. We also compare the result of this rule with the results obtained by implementing monetary policy by some other alternative rules.
Keywords: monetary policy rules, Taylor’s rule, Fuzzy control rule, 2W repo rate
Classification-JEL: E52, E58
Pages: 290-314
Volume: 2014
Issue: 3
Year: 2014
File-URL: http://www.vse.cz/pep/download.php?jnl=pep&pdf=485.pdf
File-URL: http://www.vse.cz/pep/485
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Handle: RePEc:prg:jnlpep:v:2014:y:2014:i:3:id:485:p:290-314
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Template-Type: ReDIF-Article 1.0
Author-Name: Piotr Ciżkowicz
Author-Name: Andrzej Rzońca
Title: Interest Rates Close to Zero, Post-crisis Restructuring and Natural Interest Rate
Abstract: Central banks do not seem to account for the impact of interest rates close to zero on the natural interest rate after the bursting of the asset bubble that triggered the fi nancial crisis in 2008. We claim that this omission may have harmful consequences. Should interest rates close to zero persistently decrease natural interest rates that would mean a fall in TFP growth and more limited central bank's capacity to infl uence aggregated demand and price dynamics. We explain that interest rates close to zero may persistently reduce the natural interest rate because in the economy, requiring post-crisis restructuring, they impede the process of restructuring and facilitate forbearance lending, which crowds viable economic agents out of credit through a number of channels. To reduce these risks, the central bank could voluntarily set a lower bound for interest rates cuts at, for instance, 2%. The boundary appropriate for a given economy should be a function of its growth rate and interest rates in the pre-crisis period. We argue that irrespectively of the central bank’s credibility such a change in the monetary policy conducting in economies requiring post-crisis restructuring would bring better outcomes than keeping interest rates close to zero.
Keywords: restructuring, credit, interest rates close to zero, new Keynesian analytical framework
Classification-JEL: E51, E58, G34
Pages: 315-329
Volume: 2014
Issue: 3
Year: 2014
File-URL: http://www.vse.cz/pep/download.php?jnl=pep&pdf=486.pdf
File-URL: http://www.vse.cz/pep/486
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Handle: RePEc:prg:jnlpep:v:2014:y:2014:i:3:id:486:p:315-329
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Template-Type: ReDIF-Article 1.0
Author-Name: Jitka Bartošová
Author-Name: Nicholas T. Longford
Title: A Study of Income Stability in the Czech Republic by Finite Mixtures
Abstract: Income, expenditure and similar variables in monetary units tend to have distributions similar to log-normal. Description of such variables after logarithmic transformation by the normal model is often not accurate enough, especially for multivariate data. Deviations of their empirical distributions from the theoretical lognormal distribution often require more sophisticated analysis. Mixtures represent a very fl exible way of reconstructing complex distributions with irregular features and are suitable for detailed modelling. Multivariate mixture models are applied to the Czech longitudinal survey of household income in the European Union Statistics on Income and Living Conditions (EU-SILC) in 2005-2008. The analysis identifi es distinct patterns of progression of income, with a high percentage of households having steady annual increases over the four years (three transitions). Graphical presentation of the results is emphasised.
Keywords: income distribution, Equivalised household income, EU-SILC, longitudinal analysis, multivariate mixtures, stability
Classification-JEL: C33, C38, H31
Pages: 330-348
Volume: 2014
Issue: 3
Year: 2014
File-URL: http://www.vse.cz/pep/download.php?jnl=pep&pdf=487.pdf
File-URL: http://www.vse.cz/pep/487
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Handle: RePEc:prg:jnlpep:v:2014:y:2014:i:3:id:487:p:330-348
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Template-Type: ReDIF-Article 1.0
Author-Name: Rastislav Potocký
Author-Name: Helmut Waldl
Author-Name: Milan Stehlík
Title: On Sums of Claims and their Applications in Analysis of Pension Funds and Insurance Products
Abstract: The problem that assets of a fund are not suffi cient to cover its liabilities is of extreme importance both for its members as well as for fund managers. We show that this problem can be solved via total claims distributions and give answers to the following questions: How much money will be needed in the fi rst pillar in order to satisfy the requirements of pensioners in a time horizon and which groups of working people should join also the second pillar because their benefi ts from it will be greater than those from the fi rst pillar? Though the paper concentrates primarily on the situation with Slovakian pension funds we believe that our fi ndings are more general. We show that the alternative methods should be used for calculation of extremes. We discuss the so-called barrier strategy for treating the surplus of an insurance company and bring some new results concerning it.
Keywords: light- and heavy-tailed distributions, catastrophic events, claims, first and second, robust approach, Johnson estimators, the 20-80 rule
Classification-JEL: C19, G22
Pages: 349-370
Volume: 2014
Issue: 3
Year: 2014
File-URL: http://www.vse.cz/pep/download.php?jnl=pep&pdf=488.pdf
File-URL: http://www.vse.cz/pep/488
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Handle: RePEc:prg:jnlpep:v:2014:y:2014:i:3:id:488:p:349-370
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Template-Type: ReDIF-Article 1.0
Author-Name: Jitka Poměnková
Author-Name: Svatopluk Kapounek
Author-Name: Roman Maršálek
Title: Variability of Dynamic Correlation - The Evidence of Sector-Specific Shocks in V4 Countries
Abstract: We focus on changes in dynamic correlation during the recent fi nancial crisis. The results show different responses to this symmetric shock in V4 countries. We discuss possible specialization if the dynamic correlation increases only at certain of the frequencies. Especially, in case of the Czech Republic where the variability of dynamic correlation in business cycle frequencies increased in relation to the euro area, whereas decreased in relation to Germany. Consequently, we point out to the limitations of a correlation and concordance index as common indicators of business cycle synchronization in time domain.
Keywords: real convergence, business cycle, Concordance Index, OCA theory, synchronization, frequency domain
Classification-JEL: C14, E32, F15
Pages: 371-387
Volume: 2014
Issue: 3
Year: 2014
File-URL: http://www.vse.cz/pep/download.php?jnl=pep&pdf=489.pdf
File-URL: http://www.vse.cz/pep/489
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Handle: RePEc:prg:jnlpep:v:2014:y:2014:i:3:id:489:p:371-387
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Template-Type: ReDIF-Article 1.0
Author-Name: Oksana Melikhova
Author-Name: Jakub Čížek
Title: Kuznets Inverted U-Curve Hypothesis Examined on Up-To Date Observations for 145 Countries
Abstract: The Kuznets hypothesis of inverted U-curve dependence of the income inequality on the absolute value of the average income is still an unresolved issue despite the growing number of theoretical and empirical research on this topic. This paper analyzes the historical data on the average income and the income inequality for the period 1979-2009 collected for 145 countries. We found that the income inequality is infl uenced predominantly by governmental policy on subsidies and social transfers. Different amount of subsidies and social transfers across various countries makes the data biased. The inverted U-curve was found in countries with low amount of social contribution. However, increasing amount of social contributions makes the U-curve fl at and shifts its maximum to higher values of the average income. Based on the experimental data a model describing the infl uence of both governmental policy and the level of economic development was developed.
Keywords: Kuznets curve, inverted U-curve, income inequality, comparative theory
Classification-JEL: C23, O15
Pages: 388-410
Volume: 2014
Issue: 3
Year: 2014
File-URL: http://www.vse.cz/pep/download.php?jnl=pep&pdf=490.pdf
File-URL: http://www.vse.cz/pep/490
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Handle: RePEc:prg:jnlpep:v:2014:y:2014:i:3:id:490:p:388-410
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