Template-Type: ReDIF-Article 1.0
Author-Name: Mesut Turkay
Author-Name: Timur Han Gur
Title: Heterogeneous Impact of Quantitative Easing on Government Bond Yields
Abstract: Interest rates in many advanced countries have reached zero lower bound and this has led to the widespread use of unconventional monetary policies after the global crisis. Hence, it has been more and more important to better understand the effects of these policies on major economic variables and the transmission mechanism through which they influence the economy. This study analyses the impact of quantitative easing (QE) policies on local currency government bond yield in emerging market (EM) economies in a heterogeneous panel setting. An Augmented Mean Group (AMG) estimator is used that allows for cross-sectional dependence and heterogeneous slopes. Model results show that government bond interest rates in EM economies are determined by country-specific factors such as central bank policy rate, inflation and budget deficit as well as external global factors such as US ten-year government bond yield and QE policies of advanced countries’ central banks.
Keywords: unconventional monetary policy, quantitative easing, Augmented Mean Group
Classification-JEL: C23, E43, E52
Pages: 178-195
Volume: 2019
Issue: 2
Year: 2019
File-URL: http://www.vse.cz/pep/download.php?jnl=pep&pdf=679.pdf
File-URL: http://www.vse.cz/pep/679
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Handle: RePEc:prg:jnlpep:v:2019:y:2019:i:2:id:679:p:178-195
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Template-Type: ReDIF-Article 1.0
Author-Name: Jan Hrevuš
Author-Name: Luboš Marek
Title: Exposure Modelling in Property Reinsurance
Abstract: Exposure curves play significant role in modelling of property per risk excess of loss non-proportional reinsurance contracts, especially in the situations when not enough historical data is available for applying experience-based methods or if the underlying exposure changed significantly. The paper deals only with the first loss scale (FLS) approach which is frequently used in Europe. An alternative approach is based on ISO´s PSOLD methodology which is typical for the U.S. The first research into FLS approach was done by Ruth E. Salzmann in 1963 and some further curves have been developed since that time, however, their availability is limited. According to the authors´ knowledge only limited number of articles were published on this topic and no comprehensive publication which would describe the methodology to a larger extent exists. The paper provides a comprehensive description of the FLS exposure rating methodology, aims to summarise both historical and latest developments in this area and also includes various authors´ own practical considerations. The theory is illustrated on numerical examples.
Keywords: reinsurance, exposure, property, non-proportional, excess of loss
Classification-JEL: C15, C58, G22
Pages: 129-154
Volume: 2019
Issue: 2
Year: 2019
File-URL: http://www.vse.cz/pep/download.php?jnl=pep&pdf=683.pdf
File-URL: http://www.vse.cz/pep/683
File-Format: text/html
Handle: RePEc:prg:jnlpep:v:2019:y:2019:i:2:id:683:p:129-154
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Template-Type: ReDIF-Article 1.0
Author-Name: Vilma Deltuvaite
Author-Name: Svatopluk Kapounek
Author-Name: Petr Koráb
Title: Impact of Behavioural Attention on the Households’ Foreign Currency Savings as a Response to the External Macroeconomic Shocks
Abstract: This paper investigates the impact of behavioural attention on the households’ foreign currency savings as a response to the external macroeconomic shocks. The information that the households acquire via different communication channels is expected to influence their decisions regarding their savings’ allocation into different currencies. This study has applied the fundamental macroeconomic models by including individuals’ attention to the specific risks and search interest in specific keywords on Google in order to assess the impact of acquired information and its communication channel on the households’ foreign currency savings. We employed a twolevel mixed effects model including macroeconomic fundamentals and individuals’ attention to the information determinants. We solved a problem of a long list of potential explanatory variables (keywords) by employing the Bayesian Model Averaging. This study assumes that households are more sensitive to the macroeconomic shocks (factors) if they search simultaneously for information on Google about these factors or specific related risks. The results emphasize the role behavioural attention during financial turmoil and economic downturn periods, especially in the environment of very low interest rates.
Keywords: Bayesian model averaging, households, foreign exchange, macroeconomic shocks, behavioural attention, Google Trends
Classification-JEL: C11, C23, D14, F31, F62, G11
Pages: 155-177
Volume: 2019
Issue: 2
Year: 2019
File-URL: http://www.vse.cz/pep/download.php?jnl=pep&pdf=690.pdf
File-URL: http://www.vse.cz/pep/690
File-Format: text/html
Handle: RePEc:prg:jnlpep:v:2019:y:2019:i:2:id:690:p:155-177
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Template-Type: ReDIF-Article 1.0
Author-Name: Jonathan E. Ogbuabor
Author-Name: Anthony Orji
Author-Name: Richardson K. Edeme
Author-Name: Ezebuilo R. Ukwueze
Title: Structural Change, Exchange Rate and the Asymmetric Adjustment of Retail Energy Prices in Europe
Abstract: This paper examines the role of structural change in the asymmetric adjustment of retail energy prices following changes in crude oil costs. The paper also examines the pattern of adjustment in retail energy prices when exchange rate is accounted for as part of the marginal cost of importing crude oil in European countries with high oil import dependency ratio. The paper shows that the results of Greenwood-Nimmo and Shin (2013) no longer hold when the structural change in the relationship between retail energy prices and crude oil costs is taken into the consideration. The paper also cautions that studies like Kristoufek and Lunackova (2014) that failed to account for exchange rate as part of the marginal cost of importing oil for countries with high oil import dependency ratio may be misleading. In fact, the results of this paper further indicate that once the exchange rate effect is taken into consideration, the possibility of rent-seeking behaviour in the gasoline markets of Italy and Spain disappears; while the rockets and feathers effect observed in most of the ex-tax gasoline, diesel, domestic heating oil and industrial fuel oil markets vanishes.
Keywords: rockets and feathers effect, asymmetric adjustment of energy prices, nonlinear ARDL Model, global financial crisis, antitrust policy
Classification-JEL: C22, D40, F36, L40, Q43
Pages: 196-234
Volume: 2019
Issue: 2
Year: 2019
File-URL: http://www.vse.cz/pep/download.php?jnl=pep&pdf=693.pdf
File-URL: http://www.vse.cz/pep/693
File-Format: text/html
Handle: RePEc:prg:jnlpep:v:2019:y:2019:i:2:id:693:p:196-234
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Template-Type: ReDIF-Article 1.0
Author-Name: Marcel Novák
Author-Name: Ľubomír Darmo
Title: Okun´s Law over the Business Cycle: Does it Change in the EU Countries after the Financial Crisis?
Abstract: The relationship between economic growth and unemployment is well known. The growth of gross domestic product leads to a fall in unemployment and, reversely, its fall is associated with a rise in unemployment. The paper deals with the estimation of Okun’s coefficient for EU28 countries between years 2001 and 2014. Additionally, two sub-periods are also analysed. These represent the pre-crisis period 2001-2007 and the post-crisis period 2008-2014. The result shows higher Okun’s coefficient in the post-crisis period. Unemployment in that period responded to changes in gross domestic product more sensitively than in the pre-crisis period. As a result, in order to decrease unemployment, lower economic growth was necessary in the post-crisis period compared to the pre-crisis one.
Keywords: unemployment, business cycle, Okun’s law
Classification-JEL: E24, E32
Pages: 235-254
Volume: 2019
Issue: 2
Year: 2019
File-URL: http://www.vse.cz/pep/download.php?jnl=pep&pdf=694.pdf
File-URL: http://www.vse.cz/pep/694
File-Format: text/html
Handle: RePEc:prg:jnlpep:v:2019:y:2019:i:2:id:694:p:235-254
X-File-Ref: http://www.vse.cz/RePEc/prg/jnlpep/references/694