Template-Type: ReDIF-Article 1.0
Author-Name: Mesut Karakas
Author-Name: Taner Turan
Title: The Government Spending-Revenue Nexus in CEE Countries: Some Evidence for Asymmetric Effects
Abstract: This paper investigates the government spending-revenue nexus for Croatia, Czechia, Hungary, Poland, Romania and Slovenia by using quarterly data and a nonlinear autoregressive distributed lag (NARDL) approach to cointegration. Our empirical findings support the fiscal synchronization for Slovenia, spend-tax for Czechia, tax-spend for Croatia and Hungary, and institutional separation or fiscal neutrality for Romania and Poland in the long run. Moreover, we find an asymmetric effect for Croatia, Czechia, Hungary and Poland in the long run and for all the countries in the short run. Therefore, our results clearly highlight the importance of asymmetric effects in government spending-revenue nexus. Our findings have some policy implications for these countries, such as providing a better coordination of government spending and revenue decisions and paying attention to the asymmetries.
Keywords: tax-spend, spend-tax, fiscal synchronization, asymmetric effects
Classification-JEL: E62, H20, H50
Pages: 633-647
Volume: 2019
Issue: 6
Year: 2019
File-URL: http://www.vse.cz/pep/download.php?jnl=pep&pdf=697.pdf
File-URL: http://www.vse.cz/pep/697
File-Format: text/html
Handle: RePEc:prg:jnlpep:v:2019:y:2019:i:6:id:697:p:633-647
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Template-Type: ReDIF-Article 1.0
Author-Name: Zulfiqar Ali Wagan
Author-Name: Zhang Chen
Author-Name: Hakimzadi Wagan
Title: A Factor-Augmented Vector Autoregressive Approach to Analyze the Transmission of Monetary Policy
Abstract: Using the factor-augmented vector autoregressive (FAVAR) model proposed by Bernanke et al. (2005), this study explores the effect of monetary policy on a wide range of macroeconomic and financial variables for the US, Canada and the UK. The study makes use of financial data from 1990 to 2016, comprising 55-70 variables of the three major nations to show (1) that factors come with additional informational capability, which summarizes the performance of key macroeconomic variables and (2) the manner in which these variables are affected by contractionary monetary policies. Our findings confirm that monetary policy tightening results in decrease in industrial production, employment, share prices, housing starts and inflation; however, it leads to increase in the three-month treasury bill rate, long-term interest rates and unemployment. Overall, the impact of standardized monetary tightening is similar across the countries studied. These results from the major economies and the inclusion of larger data sets containing more variables would be relevant for policy theorists and practitioners from other countries.
Keywords: VAR, monetary policy, FAVAR, Bayesian methods
Classification-JEL: C11, E40, E52
Pages: 709-728
Volume: 2019
Issue: 6
Year: 2019
File-URL: http://www.vse.cz/pep/download.php?jnl=pep&pdf=699.pdf
File-URL: http://www.vse.cz/pep/699
File-Format: text/html
Handle: RePEc:prg:jnlpep:v:2019:y:2019:i:6:id:699:p:709-728
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Template-Type: ReDIF-Article 1.0
Author-Name: Kuo-Hsuan Chin
Title: Fiscal Stimulus on Bayesian DSGE Models
Abstract: I take a Bayesian approach to estimate and forecast the effects of fiscal stimulus in various versions of the model by Smets and Wouters (2007) for the US economy. Specifically, I proxy various simpler DSGE sub-models by imposing a tight prior on a single parameter or a combination of tight priors on multiple parameters in the Smets-Wouters model. I find that the present-value government spending multipliers obtained are all in a reasonable range. Moreover, I forecast the effect of fiscal stimulus in a scenario similar to the 2008/2009 recession in the US, where the public expects a large and temporary increase in government spending to stimulate a fragile economy. The forecasts, generated individually by a group of representative models, are weighted averaging by means of the posterior model probabilities that are computed on the basis of their corresponding marginal data densities. According to the Diebold-Mariano test, I find that the forecast error of the combination forecast, computed via Bayesian model averaging (BMA), is statistically larger than the individual forecast, obtained only from the one that has the best fit among those DSGE models.
Keywords: government spending multipliers, Bayesian model averaging, Bayesian approach
Classification-JEL: E62, E65
Pages: 688-708
Volume: 2019
Issue: 6
Year: 2019
File-URL: http://www.vse.cz/pep/download.php?jnl=pep&pdf=708.pdf
File-URL: http://www.vse.cz/pep/708
File-Format: text/html
Handle: RePEc:prg:jnlpep:v:2019:y:2019:i:6:id:708:p:688-708
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Template-Type: ReDIF-Article 1.0
Author-Name: Pavel Jasek
Author-Name: Lenka Vrana
Author-Name: Lucie Sperkova
Author-Name: Zdenek Smutny
Author-Name: Marek Kobulsky
Title: Predictive Performance of Customer Lifetime Value Models in E-Commerce and the Use of Non-Financial Data
Abstract: The article contributes to the knowledge of customer lifetime value (CLV) models, where extensive empirical analyses on large datasets from online stores are missing. Based on this knowledge, practitioners can decide about the deployment of a particular model in their business and academics can design or enhance CLV models. The article presents predictive performance of selected CLV models: the extended Pareto/NBD model, the Markov chain model, the vector autoregressive model and the status quo model. Six large datasets of medium and large-sized online stores in the Czech Republic and Slovakia are used for a comparison of the predictive performance of the models. Online stores have annual revenues in the order of tens of millions of euros and more than one million customers. The comparison of CLV models is based on selected evaluation metrics. The results of some of the models which use additional non-financial data on customer behaviour - the Markov chain model and the vector autoregressive model - do not justify the effort which is needed to collect such data. The advantages and disadvantages of the selected CLV models are discussed in the context of their deployment.
Keywords: Online Shopping, Online Marketing Management, Online Marketing, methodology, forecasting, E-commerce, CLV Models
Classification-JEL: C53, C55, M21, M31
Pages: 648-669
Volume: 2019
Issue: 6
Year: 2019
File-URL: http://www.vse.cz/pep/download.php?jnl=pep&pdf=714.pdf
File-URL: http://www.vse.cz/pep/714
File-Format: text/html
Handle: RePEc:prg:jnlpep:v:2019:y:2019:i:6:id:714:p:648-669
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Template-Type: ReDIF-Article 1.0
Author-Name: Pieter Buyl
Author-Name: Annelies Roggeman
Title: Do SMEs Face a Higher Tax Burden? Evidence from Belgian Tax Return Data
Abstract: The public debate on taxation of domestic small and medium enterprises (SMEs) versus large and multinational enterprises (MNEs) is highly relevant nowadays. Using confidential tax return data instead of financial statement data, the results indicate that domestic SMEs face on average a 1.6 and 4.8 percentage-point higher effective tax burden compared to large domestic and large MNEs respectively. This suggests that tax incentives for SMEs are inadequate to compensate for the tax advantages of large and internationally operating companies. Furthermore, we show that the use of information built exclusively upon accounting data could bias the results.
Keywords: SMEs, reduced tax rates, effective tax burden, corporate tax return data
Classification-JEL: F23, H25, H26
Pages: 729-747
Volume: 2019
Issue: 6
Year: 2019
File-URL: http://www.vse.cz/pep/download.php?jnl=pep&pdf=719.pdf
File-URL: http://www.vse.cz/pep/719
File-Format: text/html
Handle: RePEc:prg:jnlpep:v:2019:y:2019:i:6:id:719:p:729-747
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Template-Type: ReDIF-Article 1.0
Author-Name: Dagmar Brožová
Title: Contribution of the Behavioural Economics to the Explanation of the Gender Wage Level Differences
Abstract: There is still a significant gender wage gap on labour markets in the majority of developed countries. The different earnings are determined mainly by the different sectors, professions and positions that men and women choose. The behavioural approach to interpretation of the labour market agents’ decisions can help to explain the choice of different working career paths. The approach focuses on subjective individual preferences and their intrinsic rewards and motivations that cannot be explained by objective rational rules. The paper confirms the different relation of men and women to risk and competition and different preferences to intrinsic and extrinsic motivations and rewards. The author’s existing research on Czech data is used. Women indeed preferred a lower risk, although the difference was not large (−0.7 points on a scale of 0-10), while gender does not matter for people with university education. The level of accepted risk was increased by education, career preferences, pride and partnership. On the contrary, having children and their number did not affect the level of accepted risk. As far as extrinsic and intrinsic rewards and motivations were concerned, the preference for intrinsic rewards was higher among women (44%) than men (31%). Women preferred intrinsic rewards compared to higher wages more likely than men. Women with university education preferred intrinsic rewards with the same probability as men with the same degree of education. The preference of non-monetary rewards and motivation increased with higher education.
Keywords: social preference, risk preference, rational choice model, intrinsic rewards, extrinsic rewards, behavioural model of the human agent
Classification-JEL: D91, J16
Pages: 748-758
Volume: 2019
Issue: 6
Year: 2019
File-URL: http://www.vse.cz/pep/download.php?jnl=pep&pdf=722.pdf
File-URL: http://www.vse.cz/pep/722
File-Format: text/html
Handle: RePEc:prg:jnlpep:v:2019:y:2019:i:6:id:722:p:748-758
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Template-Type: ReDIF-Article 1.0
Author-Name: Marcin Grzelak
Title: The “Hold-up Problem” and Banking Relationships: Evidence from the Polish SME Sector
Abstract: This paper investigates how lender-borrower relationships affect credit cost for small and medium sized companies (SMEs). We use data within the period 2006-2015 for the Polish SME sector and deploy panel regression models to analyse how the number and length of banking relationships influence the financial costs of a random sample of Polish SMEs. We document that the price of capital decreases as relationships progress. Outcomes of the research are thus inconsistent with the “hold-up” hypothesis. Moreover, we find evidence that supports the view that multiple banking relationships generate more financial benefits for companies than a relationship with one lender.
Keywords: information asymmetry, hold-up problem, banking relationship, bank lending
Classification-JEL: D82, G21, G32
Pages: 670-687
Volume: 2019
Issue: 6
Year: 2019
File-URL: http://www.vse.cz/pep/download.php?jnl=pep&pdf=727.pdf
File-URL: http://www.vse.cz/pep/727
File-Format: text/html
Handle: RePEc:prg:jnlpep:v:2019:y:2019:i:6:id:727:p:670-687
X-File-Ref: http://www.vse.cz/RePEc/prg/jnlpep/references/727