Template-Type: ReDIF-Article 1.0
Author-Name: Rosella Giacometti
Author-Name: Sergio Ortobelli
Author-Name: Tomáš Tichý
Title: Portfolio Selection with Uncertainty Measures Consistent with Additive Shifts
Abstract: Assuming a non-satiable risk-averse investor, the standard approach to portfolio selection suggests discarding of all ineffi cient investment in terms of mean return and its standard deviation ratio within its fi rst step. However, in literature we can fi nd many alternative dispersion and risk measures that can help us to identify the most suitable investment opportunity. In this work two new dispersion measures, fulfi lling the condition that “more is better than less” are proposed. Moreover, their distinct characteristics are analysed and empirically compared. In particular, starting from the defi nition of dispersion measures, we discuss the property of consistency with respect to additive shifts and we examine two dispersion measures that satisfy this property. Finally, we empirically compare the proposed dispersion measures with the standard deviation and the conditional value at risk on the US stock market. Moreover, within the empirical example the so called “alarm” is incorporated in order to predict potential fails of the market.
Keywords: alarm signal, dispersion measure, investment, Sharpe ratio, stochastic dominance, systemic risk
Classification-JEL: C58, G11
Pages: 3-16
Volume: 2015
Issue: 1
Year: 2015
File-URL: http://www.vse.cz/pep/download.php?jnl=pep&pdf=497.pdf
File-URL: http://www.vse.cz/pep/497
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Template-Type: ReDIF-Article 1.0
Author-Name: Josef Taušer
Author-Name: Markéta Arltová
Author-Name: Pavel Žamberský
Title: Czech Exports and German GDP: A Closer Look
Abstract: This paper analyses the relation between Czech exports in goods and services and German GDP. In order to contribute to the current state of knowledge the analysis goes more into detail in terms of disaggregating the German GDP. Do Czech exports depend more on German domestic absorption, or is it, rather, German exports which determine Czech exports? Does the Czech Republic produce goods for German consumers or is it an “outsourced” supplier to German export channels, instead? Co-integration analysis and the analysis of the commodity structure of Czech exports to Germany are employed to address these questions. The fi ndings of this research indicate that the relationship between Czech exports and German GDP is a very complex one. The Czech economy can be considered a part of German distribution channels, which serves as its specialized outsourced production capacity.
Keywords: determinants of Czech exports, commodity structure of Czech exports, export concentration, co-integration analysis, ADL model, EC model
Classification-JEL: C5, F14
Pages: 17-37
Volume: 2015
Issue: 1
Year: 2015
File-URL: http://www.vse.cz/pep/download.php?jnl=pep&pdf=498.pdf
File-URL: http://www.vse.cz/pep/498
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Handle: RePEc:prg:jnlpep:v:2015:y:2015:i:1:id:498:p:17-37
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Template-Type: ReDIF-Article 1.0
Author-Name: Veronika Hedija
Title: The Effect of Female Managers on Gender Wage Differences
Abstract: The paper is devoted to gender wage diff erences; it especially focuses on the impact of the gender characteristics of the manager on gender wage disparity. Under the social identity theory, women in managerial positions, that can aff ect the wage of their subordinates, are likely to evaluate female employees better than male employees. The purpose of this paper is to investigate the eff ect of the gender characteristics of middle managers on the wages of directly subordinated rank-and-fi le employees using a variation within the fi rm. We have used two methods to consider the eff ect of the manager gender characteristics on subordinates: the estimation of the wage function and the average treatment eff ect on the treated, both supplemented by a matching procedure. We concluded that women in middle management in comparison to their male counterparts have a lower tendency to apply wage discrimination against women. The presence of a female head of department led to a decrease in the gender pay gap by almost 7 percentage points.
Keywords: average treatment effect on the treated, gender pay gap, labour market, female managers, matching, wage differences
Classification-JEL: J16, J24, J71
Pages: 38-59
Volume: 2015
Issue: 1
Year: 2015
File-URL: http://www.vse.cz/pep/download.php?jnl=pep&pdf=499.pdf
File-URL: http://www.vse.cz/pep/499
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Handle: RePEc:prg:jnlpep:v:2015:y:2015:i:1:id:499:p:38-59
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Template-Type: ReDIF-Article 1.0
Author-Name: Saša Obradović
Author-Name: Milka Grbić
Title: Causality Relationship between Financial Intermediation by Banks and Economic Growth: Evidence from Serbia
Abstract: This paper empirically examines the possible causal relationship between financial development and economic growth in Serbia. In this regard, the focus is on the development of financial intermediation by banks, considering the fact that the banking sector plays an important role in Serbian financial system. The empirical research is based on quarterly data for the period Q1 2004-Q4 2011 by using Toda-Yamamoto causality test. Our empirical findings suggest that process of economic growth contributes to process of financial deepening. On the other hand, the results indicate that there is a significant unidirectional causality that runs from both private enterprise credit to GDP and household credit to GDP to economic growth. Bidirectional causal relation is confirmed only between the share of bank credit to nonfinancial private sector in total domestic credit and economic growth rate.
Keywords: financial development, economic growth, Toda-Yamamoto Granger non-causality, financial system, banking sector
Classification-JEL: C12, C32, E51, G21
Pages: 60-72
Volume: 2015
Issue: 1
Year: 2015
File-URL: http://www.vse.cz/pep/download.php?jnl=pep&pdf=500.pdf
File-URL: http://www.vse.cz/pep/500
File-Format: text/html
Handle: RePEc:prg:jnlpep:v:2015:y:2015:i:1:id:500:p:60-72
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Template-Type: ReDIF-Article 1.0
Author-Name: Vladislav Flek
Author-Name: Martina Mysíková
Title: Uneployment Dynamics in Central Europe: A Labour Flow Approach
Abstract: We analyse labour market flows and unemployment rate dynamics in the Czech Republic (CR), Slovakia and Poland. Relative involvement of working-age individuals in movements between various labour market states appears to be approximately fi ve times lower in Central Europe than in the U.S./UK. Compared to neighbouring countries, the CR suffers from a relatively weaker net flow of individuals from unemployment to employment. This net flow alone would cut the unemployment rate in Poland more than twice as fast as in the CR. In particular, currently unemployed Czech men, individuals with primary education, and the 55-65 age group are adversely affected by this national-specific feature of labour market flows.
Keywords: EU-SILC, labour market flows, longitudinal data, unemployment
Classification-JEL: J21, J64
Pages: 73-87
Volume: 2015
Issue: 1
Year: 2015
File-URL: http://www.vse.cz/pep/download.php?jnl=pep&pdf=501.pdf
File-URL: http://www.vse.cz/pep/501
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Handle: RePEc:prg:jnlpep:v:2015:y:2015:i:1:id:501:p:73-87
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Template-Type: ReDIF-Article 1.0
Author-Name: Marek Loužek
Title: Eurozone Crisis
Abstract: The purpose of the paper is to analyse the current crisis of the eurozone. The first part explains why the eurozone is not an optimum currency area. The second part points out that euro is an intensifier of the business cycle. The third part examines the Greek crisis. The fourth part explains the inner tensions in the eurozone. The fifth part asks whether euro is suitable for the countries of Central and East Europe. The sixth part examines the debt crisis within the eurozone.
Keywords: eurozone, financial crisis, debt crisis
Classification-JEL: E42, E44, E58, F34, F36
Pages: 88-104
Volume: 2015
Issue: 1
Year: 2015
File-URL: http://www.vse.cz/pep/download.php?jnl=pep&pdf=502.pdf
File-URL: http://www.vse.cz/pep/502
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Handle: RePEc:prg:jnlpep:v:2015:y:2015:i:1:id:502:p:88-104
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Template-Type: ReDIF-Article 1.0
Author-Name: Kristýna Vltavská
Author-Name: Jaroslav Sixta
Title: A Historical View on the Development of Czech Economy from 1970
Abstract: The paper describes the changes in Czech economy in the period between 1970 and 2010 from the macroeconomic perspective. It is based on the detailed study of sources and uses of gross domestic product with respect to labour inputs. Used data sources come from recently published historical data on GDP combined with the data of offi cial statistics. The paper should provide an analysis of the main determinants of growth based on output and expenditure approach to GDP and employment including the industrial analysis of labour productivity. In this paper labour productivity is estimated as the ratio of gross value added in the constant prices over the input used. As we have the data of total employment in full time equivalent we used them as the only possible labour input for the productivity analysis for the period in question.
Keywords: system of balance of national economy, system of national accounts, gross domestic, gross value added, full time equivalent, labour productivity
Classification-JEL: C02, E01, N01, O41
Pages: 105-122
Volume: 2015
Issue: 1
Year: 2015
File-URL: http://www.vse.cz/pep/download.php?jnl=pep&pdf=503.pdf
File-URL: http://www.vse.cz/pep/503
File-Format: text/html
Handle: RePEc:prg:jnlpep:v:2015:y:2015:i:1:id:503:p:105-122
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