Template-Type: ReDIF-Article 1.0
Author-Name: Igor Paholok
Title: Credit Value Adjustment and Economic Motivation to Trade on PXE
Abstract: Electricity forward contracts can normally be traded in two ways in the Czech Republic: OTC forwards, which means bilaterally or bilaterally through a broker, and futures through the Power Exchange Central Europe. Each way has its own economic pros and cons. As the most crucial point, a counterparty risk and costs of funding are usually mentioned. Contracts traded on the power exchange bear less or no credit risk, as every deal is paired via central counterparty. On the other hand, the power exchange requires a margin deposit and daily profi t and loss settlement which might increase funding costs. The fact that the counterparty risk is lower for exchange contracts with higher funding costs is well-known, but rarely quantifi ed. We use the so-called Credit Value Adjustment concept in order to quantify the market value of the credit risk. We compare this value with potential funding costs. The aim of this paper is to compare both the OTC and exchange ways of trading using risk-adjusted economic characteristics.
Keywords: Credit Value Adjustment, counterparty risk, power futures, futures margining, Merton model, Wiener process
Classification-JEL: C53, G17, Q47, Q49
Pages: 245-259
Volume: 2015
Issue: 3
Year: 2015
File-URL: http://www.vse.cz/pep/download.php?jnl=pep&pdf=517.pdf
File-URL: http://www.vse.cz/pep/517
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Handle: RePEc:prg:jnlpep:v:2015:y:2015:i:3:id:517:p:245-259
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Template-Type: ReDIF-Article 1.0
Author-Name: Viktorija Igošina
Title: FDI to EU15 and New Member States: Comparative Analysis of Inflow Determinants
Abstract: Wide range of academic studies and economic practice are showing strong correlation between GDP growth and FDI flows. Moreover, there is a number of cases when FDI inflows were positively impacting economic development. That provides grounds and needs for profound research in the area of investment determinants. The main objective of this paper is to classify FDI determinants in the EU countries. All assuming that there are differences between the two groups - old and new member states. The econometrical approach of gravity modelling was chosen as the most appropriate methodology to analyse panel data set. Panel is depicting FDI fl ows coming from the external non-EU investors and does not include intra EU investment fl ows among the member countries (firstly due to the relative insignifi cance of the intra-EU flows compared to the outer inflow values and secondly due to the need to answer what exactly leads non-European investor to opt for the EU country A and not B). The random eff ect model has proved diversity in FDI flows determinants. Study outcomes support the need for policymakers’ attention in the EU investment policy harmonization, towards market equalization that would improve competiveness of the whole EU region.
Keywords: foreign direct investment, panel data, EU integration, gravity based modelling, fixed effect, random effect
Classification-JEL: C23, F15, F21, F23
Pages: 260-273
Volume: 2015
Issue: 3
Year: 2015
File-URL: http://www.vse.cz/pep/download.php?jnl=pep&pdf=518.pdf
File-URL: http://www.vse.cz/pep/518
File-Format: text/html
Handle: RePEc:prg:jnlpep:v:2015:y:2015:i:3:id:518:p:260-273
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Template-Type: ReDIF-Article 1.0
Author-Name: Mihaela Simionescu
Title: The Improvement of Unemployment Rate Predictions Accuracy
Abstract: This research is related to the assessment of alternative unemployment rate predictions for the Romanian economy, the forecasts being provided by three anonymous forecasters: F1, F2 and F3. F3 provided the most accurate forecasts for the horizon 2001-2014, while F2 predictions are the less accurate according to U1 Theil’s statistic and according to a new method that has not been used before in literature in this context. The multi-criteria ranking was applied to make a hierarchy of the forecasters regarding the accuracy and fi ve important accuracy measures were taken into account at the same time: mean errors, mean squared error, root mean squared error, U1 and U2 statistics of Theil. The combined forecasts of forecasters’ predictions are the best strategy to improve the forecasts accuracy. The filtered and smoothed original predictions based on Hodrick-Prescott fi lter, respectively Holt-Winters technique, are a good strategy of improving the accuracy only for F2 expectations. The assessment and improvement of forecasts accuracy have an important contribution in growing the quality of decision-making process.
Keywords: forecasts, accuracy, multi-criteria ranking, combined forecasts, Hodrick-Prescott filter, Holt-Winters smoothing exponential technique
Classification-JEL: C51, C53, E21, E27
Pages: 274-286
Volume: 2015
Issue: 3
Year: 2015
File-URL: http://www.vse.cz/pep/download.php?jnl=pep&pdf=519.pdf
File-URL: http://www.vse.cz/pep/519
File-Format: text/html
Handle: RePEc:prg:jnlpep:v:2015:y:2015:i:3:id:519:p:274-286
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Template-Type: ReDIF-Article 1.0
Author-Name: Jiří Šumbera
Author-Name: Martin Dlouhý
Title: A Model of German Spot Power Market
Abstract: This paper aims to model the day-ahead prices on the German EPEX SPOT exchange during the year 2011 using a fundamental mixed-integer programming model with focus on the changes in the volatility of prices. A model of the German market is built from publicly available data. Various constraints on the supply side such as operational characteristics of power plants are described, characterized and ultimately formulated as constraints of a cost-minimization problem. Unknown power plant characteristics are estimated by expert opinions or are inferred indirectly from other data. Several scenarios testing the impact of constraints and modelling approaches are analysed. In addition, a future scenario simulating the year 2016 is used to forecast price developments under the ongoing massive renewable energy growth. Finally, results are discussed with respect to price forecasting accuracy with a focus on the changes in the volatility of prices.
Keywords: power market modelling, mixed-integer linear programming, start-up costs
Classification-JEL: C61, Q41
Pages: 287-306
Volume: 2015
Issue: 3
Year: 2015
File-URL: http://www.vse.cz/pep/download.php?jnl=pep&pdf=520.pdf
File-URL: http://www.vse.cz/pep/520
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Handle: RePEc:prg:jnlpep:v:2015:y:2015:i:3:id:520:p:287-306
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Template-Type: ReDIF-Article 1.0
Author-Name: Diana Bílková
Title: Financial Position of Czech Employees at the Beginning of the 3rd Millennium according to Educational Attainment
Abstract: The present paper deals with the development of wage distribution by educational attainment in the Czech Republic in the years 2003-2012, analysing fifty wage distributions as the object of research and the gross monthly wage in CZK as the research variable. It examines the development of wage distribution in time and the gross monthly wage in relation to the level of educational attainment. It also pursues the development of the minimum wage in the monitored period. The author pays special attention to the lowest guaranteed wage levels classified according to wage classes and work capability assessment, comparing the minimum wage to the wage of subsistence. The forecasts of future wage distribution are an integral component of the research, the financial standing of Czech households being evaluated in an international context within the European Union.
Keywords: income distribution, wage distribution, stages of education, characteristics of wage location and differentiation, development of wage, forecasts of wage distribution
Classification-JEL: D31, E24, G01, H24, J31, O15
Pages: 307-331
Volume: 2015
Issue: 3
Year: 2015
File-URL: http://www.vse.cz/pep/download.php?jnl=pep&pdf=521.pdf
File-URL: http://www.vse.cz/pep/521
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Handle: RePEc:prg:jnlpep:v:2015:y:2015:i:3:id:521:p:307-331
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Template-Type: ReDIF-Article 1.0
Author-Name: Eva Litavcová
Author-Name: Robert Bucki
Author-Name: Róbert Štefko
Author-Name: Petr Suchánek
Author-Name: Sylvia Jenčová
Title: Consumer’s Behaviour in East Slovakia after Euro Introduction during the Crisis
Abstract: The paper highlights the results of the survey of potential retail customers. The survey emphasizes the relationship between their responses to the chosen marketing pricing strategies and the perception of the introduction of the euro and the crisis. The multi-dimensional techniques were used to implement input data concerning perceptions of the euro introduction and the crisis in order to create a segmentation of respondents dividing them into: optimists, pessimists, crisispessimists, euro-pessimists, profi teers. It was subsequently proven that the responses of the members of these segments to the chosen pricing strategies EDLP (Every Day Low Pricing), Hi-Lo (High Low Pricing) and PMG (Price Matching Guarantees) differ significantly. Furthermore, the relation between the found segmentation and the subjective perception and assignment to the social group from the point of financial security is shown. Moreover, further segmentation of respondents according to their subjective anxiety about their future was carried out. Finally, the emphasis is put on the relation between the perception of the euro introduction in the country during the current infl uence of the world economic crisis on potential retail customers in the East Slovak Region and their subjective anxiety about their future.
Keywords: cluster analysis, factor analysis, two-step cluster, marketing pricing strategies, crisis, euro introduction, EDLP, Hi-Lo, PMG
Classification-JEL: C12, C18, C40, G01, M21, M31
Pages: 332-353
Volume: 2015
Issue: 3
Year: 2015
File-URL: http://www.vse.cz/pep/download.php?jnl=pep&pdf=522.pdf
File-URL: http://www.vse.cz/pep/522
File-Format: text/html
Handle: RePEc:prg:jnlpep:v:2015:y:2015:i:3:id:522:p:332-353
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Template-Type: ReDIF-Article 1.0
Author-Name: Pavel Svačina
Title: An Empirical Analysis of Factors Affecting Prices of Intangible Assets: A Preliminary Testing in Consumer Durables Sector
Abstract: In the last few decades, a valuation of intangible assets is an activity of particular importance, not only because of growing number of transactions with intangibles but for accurate financial reporting as well. In this discipline, a special area is dedicated to the research of different factors that affect the value of intangibles. Royalty rate, a price of the licensed intangible, is a typical measure of an intangible asset´s value. This research paper aims at testing empirically selected factors that have been identifi ed by theoretical literature as well as by licensing practice as relevant in determining the level of royalty rates. For this purpose, a multi-factor linear regression model is built using the latest possible sample of licensing transactions from consumer durables industry from 2002 to 2006. The authors make tests of dependent variable (royalty rate) on financial factors as well as on factors coming from diff erent provisions of licensing agreements. Based on a sample of 67 transactions, the fi nancial factors revealed themselves to be statistically negligible, while some license provisions, in particular the extent of rights granted and the license term appeared to be highly significant in determining the royalty rate level.
Keywords: valuation, intangible assets, intellectual property rights, licensing, valuation approach, royalty rates, value factors, empirical study
Classification-JEL: D45, G12, G32, L24, O34
Pages: 354-363
Volume: 2015
Issue: 3
Year: 2015
File-URL: http://www.vse.cz/pep/download.php?jnl=pep&pdf=523.pdf
File-URL: http://www.vse.cz/pep/523
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Handle: RePEc:prg:jnlpep:v:2015:y:2015:i:3:id:523:p:354-363
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Template-Type: ReDIF-Article 1.0
Author-Name: Marek Loužek
Title: A Noteworthy Book on the Financial Crisis and Personal Finance
Pages: 364-367
Volume: 2015
Issue: 3
Year: 2015
File-URL: http://www.vse.cz/pep/download.php?jnl=pep&pdf=524.pdf
File-URL: http://www.vse.cz/pep/524
File-Format: text/html
Handle: RePEc:prg:jnlpep:v:2015:y:2015:i:3:id:524:p:364-367