Template-Type: ReDIF-Article 1.0 Author-Name: Ján Malega Author-Name: Roman Horváth Title: Financial Stress in the Czech Republic: Measurement and Effects on the Real Economy Abstract: We estimate a financial stress index for the Czech Republic and examine its development during the 2002-2014 period. We find a marked increase in financial stress at the beginning of the global financial crisis with a decrease to nearly pre-crisis levels by the end of our study period. Next, we estimate vector autoregression models of the Czech economy and find that financial stress has systematic effects on output, prices and interest rates, with the maximum response occurring approximately one and a half years after the shock. Specifically, an increase in financial stress is associated with higher unemployment, lower prices and lower interest rates, indicating its detrimental effects on the real economy. Keywords: vector autoregression, Czech Republic, financial stress indicator Classification-JEL: E44, E47, G17 Pages: 257-268 Volume: 2017 Issue: 3 Year: 2017 File-URL: http://www.vse.cz/pep/download.php?jnl=pep&pdf=608.pdf File-URL: http://www.vse.cz/pep/608 File-Format: text/html Handle: RePEc:prg:jnlpep:v:2017:y:2017:i:3:id:608:p:257-268 X-File-Ref: http://www.vse.cz/RePEc/prg/jnlpep/references/608 Template-Type: ReDIF-Article 1.0 Author-Name: Radek Halamka Author-Name: Petr Teplý Title: The Effect of Ethics on Banks’ Financial Performance Abstract: In this paper, we contribute to the literature focusing on ethics in banking from both theoretical and empirical point of view. We argue that the recent business of the global banking industry is not sustainable and we believe that ethical banking may represent one of the alternative models. In the empirical section, we investigate how ethics in the banking business models affects their financial performance. We identified 69 ethical banks and compared them with conventional banks using Bankscope data of more than 80,000 bank-year observations for the 2003-2013 period. We apply the Within-Between estimation method to bank financial indicators of Return on Assets, Return on Equity and their respective volatilities. We conclude that ethical banks report significantly lower volatility in Return on Equity than their conventional counterparts. In addition, the hypothesis that ethical banks would have higher profitability than their peers is not rejected. Keywords: bank, profitability, ethics, financial performance, bank business models Classification-JEL: A13, B12, B16, G21, Q56 Pages: 330-344 Volume: 2017 Issue: 3 Year: 2017 File-URL: http://www.vse.cz/pep/download.php?jnl=pep&pdf=609.pdf File-URL: http://www.vse.cz/pep/609 File-Format: text/html Handle: RePEc:prg:jnlpep:v:2017:y:2017:i:3:id:609:p:330-344 X-File-Ref: http://www.vse.cz/RePEc/prg/jnlpep/references/609 Template-Type: ReDIF-Article 1.0 Author-Name: Hana Hejlová Author-Name: Michal Hlaváček Author-Name: Luboš Komárek Title: A Comprehensive Method for House Price Sustainability Assessment in the Czech Republic Abstract: The article describes approach proposed for the house price equilibrium assessment in the Czech Republic. It first explains why it is necessary to use multiple models simultaneously to correctly assess house price sustainability. It goes on to describe individual models proposed to estimate house price misalignment in the Czech Republic. Results given by these individual models are consonant in identifying periods of over- and undervaluation of house prices but slightly differ in the amplitude of the gaps. A method for aggregating the estimates produced by those approaches is then presented. It works on the premise that more correlated estimates may be evidence of a strong signal, while less correlated estimates may, on the other hand, bring additional information to the house price assessment. By using two sets of weights, it presents an interval of supposed under- or overvaluation of house prices. This method indicates that Czech house prices were roughly at their equilibrium level in mid-2014 following an extended period of slight undervaluation since the mid-2009. It also proves robust to the length of the sample used. Keywords: Czech Republic, house price, multiple models Classification-JEL: C32, R21, R31 Pages: 269-285 Volume: 2017 Issue: 3 Year: 2017 File-URL: http://www.vse.cz/pep/download.php?jnl=pep&pdf=613.pdf File-URL: http://www.vse.cz/pep/613 File-Format: text/html Handle: RePEc:prg:jnlpep:v:2017:y:2017:i:3:id:613:p:269-285 X-File-Ref: http://www.vse.cz/RePEc/prg/jnlpep/references/613 Template-Type: ReDIF-Article 1.0 Author-Name: Magdalena Szyszko Title: Central Bank’s Inflation Forecast and Expectations. A Comparative Analysis Abstract: The question on the inflation expectations management is one of the most important ones from the central bank’s point of view. The inflation forecast can be a helpful tool of managing expectations. If it actually is, the interdependences of the inflation forecast and expectations can be observed. The existence of such interdependences opens the field for determining the preconditions that might support expectations formation. The hypothesis assumes that associations of inflation forecasts and inflation expectations depend on the central bank’s credibility and consistency in inflation forecast targeting. The research covers the Czech National Bank, the National Bank of Hungary, the National Bank of Poland and Sveriges Riksbank. The research combines qualitative and quantitative methods. The research uses survey-based expectations quantified with probabilistic method. The main finding is that the relatively high level of credibility and consistency in inflation forecast targeting is not sufficient to achieve strong interdependences of inflation forecast and expectations. Keywords: inflation forecasts, inflation forecast targeting, inflation expectations, central bank credibility Classification-JEL: E52, E58, E61 Pages: 286-299 Volume: 2017 Issue: 3 Year: 2017 File-URL: http://www.vse.cz/pep/download.php?jnl=pep&pdf=614.pdf File-URL: http://www.vse.cz/pep/614 File-Format: text/html Handle: RePEc:prg:jnlpep:v:2017:y:2017:i:3:id:614:p:286-299 X-File-Ref: http://www.vse.cz/RePEc/prg/jnlpep/references/614 Template-Type: ReDIF-Article 1.0 Author-Name: Nikola Radivojevic Author-Name: Jelena Jovovic Title: Examining of Determinants of Non-Performing Loans Abstract: In this paper the authors examine the determinants of NPL ratio using a cross-county analysis from the sample of 25 emerging countries. Using the panel data approach, determinants of NPL are analysed for the period from 2000 to 2011. The main aim of this paper is to draw a relevant econometric model, to demonstrate the impact of independent variables on the dependent variable by using static and dynamic model estimation techniques. The results show that NPLs rate can be mainly explained by crucial macroeconomic factors, such as the GDP and inflation rate, and bank-specific factors, such as ROA, CAP and lagged NPLs rate. Keywords: credit risk, non-performing loans, macroeconomic factors, bank-specific factors, static and dynamic panel Classification-JEL: C22, C52, C53, G24 Pages: 300-316 Volume: 2017 Issue: 3 Year: 2017 File-URL: http://www.vse.cz/pep/download.php?jnl=pep&pdf=615.pdf File-URL: http://www.vse.cz/pep/615 File-Format: text/html Handle: RePEc:prg:jnlpep:v:2017:y:2017:i:3:id:615:p:300-316 X-File-Ref: http://www.vse.cz/RePEc/prg/jnlpep/references/615 Template-Type: ReDIF-Article 1.0 Author-Name: Michal Plaček Author-Name: Martin Schmidt Author-Name: František Ochrana Author-Name: Michal Půček Title: Do the Selected Characteristics of Public Tenders Affect the Likelihood of Filing Petitions with the Regulators of Public Tenders? Abstract: The article deals with the econometric analysis on the influence of selected characteristics of public contracts with respect to the decision making of bidders on public contracts regarding submissions to initiate proceedings to review the actions of the contracting authority at the Office for Protection of Competition. Logistic regression was applied to data on public procurement between the years 2007 and 2014, which was combined with the administrative decisions of the Office for the Protection of Competition, in order to identify the factors that affect the likelihood that the competitors will be protected against the conduct of the contracting authority by the Office for the Protection of Competition. The article also takes into account the possible obstructive behaviour of candidates, particularly those submissions which were subsequently withdrawn or submissions whose deposits were not paid. Keywords: public procurement, size of the public contract, the choice of evaluation criteria, the transparency of the public tender Classification-JEL: H57, H72, H77 Pages: 317-329 Volume: 2017 Issue: 3 Year: 2017 File-URL: http://www.vse.cz/pep/download.php?jnl=pep&pdf=616.pdf File-URL: http://www.vse.cz/pep/616 File-Format: text/html Handle: RePEc:prg:jnlpep:v:2017:y:2017:i:3:id:616:p:317-329 X-File-Ref: http://www.vse.cz/RePEc/prg/jnlpep/references/616 Template-Type: ReDIF-Article 1.0 Author-Name: Michael Moritz Author-Name: Bastian Stockinger Author-Name: Merlind Trepesch Title: Multinational Resilience or Dispensable Jobs? German FDI and Employment in the Czech Republic Around the Great Recession Abstract: This article investigates the employment development in Czech-based firms in German ownership in the years around the Great Recession of 2008/2009. The intense involvement of German firms in the economy of the neighbouring country via foreign direct investment (FDI) raises a question whether under the conditions of a historically deep global downturn, the Czech employees in multinational companies were confronted with an increased volatility of their jobs. Using a unique firm-level dataset, we contrast the affiliates of German investors with purely Czechowned enterprises. Our findings indicate that in the years before the crisis, firms with German capital exhibited a noticeably more positive employment development. The results from the year 2008 onwards give reason to the conclusion that the German-owned firms played a stabilizing role for the Czech labour market during the recession. Keywords: foreign direct investment, Germany, financial crisis, the Czech Republic, multinational firms, employment volatility Classification-JEL: F23, G01, J21 Pages: 345-359 Volume: 2017 Issue: 3 Year: 2017 File-URL: http://www.vse.cz/pep/download.php?jnl=pep&pdf=617.pdf File-URL: http://www.vse.cz/pep/617 File-Format: text/html Handle: RePEc:prg:jnlpep:v:2017:y:2017:i:3:id:617:p:345-359 X-File-Ref: http://www.vse.cz/RePEc/prg/jnlpep/references/617 Template-Type: ReDIF-Article 1.0 Author-Name: Wojciech Grabowski Author-Name: Ewa Stawasz Title: Sovereign Bond Spreads in the EMU Peripheral Countries. The Role of the Outright Monetary Transactions Abstract: The paper examines determinants of sovereign bond spreads (in relation to Germany) of the peripheral euro area countries in the period 2007Q3-2015Q3. The study indicates that the introduction of the Outright Monetary Transactions (OMTs) by the ECB in the third quarter of 2012 led to a change in the sensitivity of the spreads to the developments of certain macroeconomic fundamentals of these economies. In particular, the ratio of public debt to GDP, which significantly and strongly determined the spreads in the period 2007Q3-2012Q2, proved to be insignificant in the period 2012Q3-2015Q3. In addition, the counterfactual analysis carried out shows that the spreads in the analysed countries would have been much higher if the ECB had not decided to introduce this programme. Keywords: government bond yield spreads, sovereign debt crisis, OMT programme Classification-JEL: C23, F33, F36 Pages: 360-373 Volume: 2017 Issue: 3 Year: 2017 File-URL: http://www.vse.cz/pep/download.php?jnl=pep&pdf=618.pdf File-URL: http://www.vse.cz/pep/618 File-Format: text/html Handle: RePEc:prg:jnlpep:v:2017:y:2017:i:3:id:618:p:360-373 X-File-Ref: http://www.vse.cz/RePEc/prg/jnlpep/references/618