Template-Type: ReDIF-Article 1.0
Author-Name: Mercan Hatipoglu
Title: Revisiting Linkages between Stock Prices and Real Activity in OECD Countries: Does Finance Respond to Changing Situation of Economy?
Abstract: The purpose of this study is to investigate whether financial markets contribute to the economy when needed. The quantile regression model and causality in variance tests are applied to monthly data from December 1989 to July 2016 for 19 OECD economies. The results confirm that the response of capital markets to economic growth depends more on the state of the economy than the state of the country’s development. Generally, interaction between financial markets and the economy is weak in OECD countries except Japan and Estonia.
Keywords: economic growth, stock market, quantile regression
Classification-JEL: G10, O11, O47
Pages: 1-20
Volume: preprint
File-URL: http://www.vse.cz/pep/download.php?jnl=pep&pdf=707.pdf
File-URL: http://www.vse.cz/pep/707
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Template-Type: ReDIF-Article 1.0
Author-Name: Martin Hodula
Author-Name: Martin Macháček
Author-Name: Aleš Melecký
Title: Placing the Czech Shadow Banking Sector under the Light
Abstract: The size of the shadow banking sector (SBS) has more than doubled in the Czech Republic over the last decade. This places a potential burden on policy makers. On the one hand, the SBS complements regular banking by expanding access to credit and investments, enabling better risk sharing and maturity transformation, and supporting market liquidity. On the other hand, SBS activities can put the stability of the financial system at risk and amplify its procyclicality by exacerbating the build-up of leverage and asset price bubbles. We implement a FAVAR model of the Czech economy to determine the impact of macroeconomic factors on the SBS. We find that the SBS: (i) is sensitive to changes in market interest rates and term spread; (ii) exhibits great procyclicality; (iii) can act as a complement to regular banking and satisfy some additional demand for credit. We also define some potential risks of continued growth of the SBS, linked to our empirical evidence.
Keywords: Czech Republic, FAVAR, shadow banking, credit intermediation
Classification-JEL: E44, G21, G28
Pages: 1-25
Volume: preprint
File-URL: http://www.vse.cz/pep/download.php?jnl=pep&pdf=710.pdf
File-URL: http://www.vse.cz/pep/710
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Handle: RePEc:prg:jnlpep:v:preprint:id:710:p:1-25
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Template-Type: ReDIF-Article 1.0
Author-Name: Aytül Ganioğlu
Title: How Consumers’ Inflation Expectations Respond to Explosive Periods of Food and Energy Prices: Evidence for European Union Countries
Abstract: In this study, using the recent recursive unit root tests proposed by Phillips et al. (2015), we identify and date-stamp periods where food and energy prices deviate explosively relative to other prices in the economy and analyse the implications in terms of anchoring inflation expectations. During the period from January 2003 to July 2018, we have detected the existence of such periods for 17 out of 27 EU countries. Identifying these explosive periods is particularly important since evidence reveals that consumers change, i.e., revise their inflation expectations during periods when headline consumer prices deviate explosively from core prices. Furthermore, it is realized that consumers take macroeconomic variables into account as well as past inflation when forming inflation expectations in both normal and explosive periods. On the other hand, there are particular differences among groups of countries while adjusting their inflation expectations during explosive phases. A common feature for all the countries is that during explosive periods, consumers change and update their inflation expectations on the basis of information coming from the interest rate. More specifically, consumers in all the countries perceive a higher current interest rate as an indication of higher future inflation, leading to higher inflation expectations in explosive periods. A particularly important policy implication of these findings is that periods of explosive deviations in headline prices from core prices should be monitored closely while designing policies to anchor inflation expectations.
Keywords: inflation expectations, inflation, generalized sup ADF test, food and energy prices, Explosive behaviour, core inflation
Classification-JEL: C50, E31
Pages: 1-24
Volume: preprint
File-URL: http://www.vse.cz/pep/download.php?jnl=pep&pdf=717.pdf
File-URL: http://www.vse.cz/pep/717
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Template-Type: ReDIF-Article 1.0
Author-Name: Radmila Krkošková
Title: Relationship between the Brent Oil Price and the US Dollar Exchange Rate
Abstract: This article deals with an analysis of the relationship between the Brent oil price and the US dollar price. This paper analyses the development of the intensity and direction of dependence between the nominal effective exchange rate of the US dollar and the price of Brent oil and other commodities, such as industrial metals, agricultural commodities, gold (including jewellery and platinum) in the period from January 1994 to April 2018. The next section tests the hypothesis that there is a short-term relationship between the effective US dollar exchange rate and the oil price. The last part of the article deals with the question whether there is a long-term relationship between these variables: Brent oil price, effective exchange rate of the US dollar, industrial production index in OECD countries, three-month treasury bill, US ending stocks of crude oil, US percent utilization of refinery operable capacity and the price of ethanol.
Keywords: ADF test, Brent, Granger causality, Johansen test, US dollar, VECM
Classification-JEL: C13, C19, C49
Pages: 1-17
Volume: preprint
File-URL: http://www.vse.cz/pep/download.php?jnl=pep&pdf=718.pdf
File-URL: http://www.vse.cz/pep/718
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Handle: RePEc:prg:jnlpep:v:preprint:id:718:p:1-17
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Template-Type: ReDIF-Article 1.0
Author-Name: Karolína Vozková
Title: The Impact of Fee Income Share on EU Banks’ Performance and Its Implication on Drivers of Banks’ Business Model Changes
Abstract: This paper contributes to the current literature dealing with drivers of bank business model changes. We analyse the relationship between fee and commission income share and banks’ performance in terms of profitability, risk and risk-adjusted profitability in the European Union. We applied the System Generalized Method of Moments to a unique data set of 329 EU banks in the period 2005-2014, which resulted in three key findings. First, we did not find any diversification benefits by increasing the fee income share. Therefore, we can conclude that the increase in fee income share observed in recent years in EU banks was driven mainly by external factors, such as increased competition, rather than by internal reasons. Second, higher reliance on equity financing and better quality of provided loans enhance banks’ performance. Third, bank business strategies and macroeconomic factors are crucial determinants of banks’ performance.
Keywords: risk, profitability, fee and commission income, EU, bank
Classification-JEL: C23, G21, L25
Pages: 1-22
Volume: preprint
File-URL: http://www.vse.cz/pep/download.php?jnl=pep&pdf=720.pdf
File-URL: http://www.vse.cz/pep/720
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Handle: RePEc:prg:jnlpep:v:preprint:id:720:p:1-22
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Template-Type: ReDIF-Article 1.0
Author-Name: Markéta Šnýdrová
Author-Name: Lucie Vnoučková
Author-Name: Ivana Šnýdrová
Title: Practical Training and Its Impact on Employability Post-Graduation
Abstract: This paper is a case study on the influence of students working during their studies and its impacts on their employability after graduation. Data for this research were collected at a private business university in Prague, the Czech Republic. The aim of the paper is to identify approaches of business university graduates to employment during their study and to evaluate the role of students’ employment in their future career. A partial aim is to evaluate relations between student employment and future job position. The data were obtained through primary research: a questionnaire survey, two in-depth interviews and four focus groups. The results show that practical training during studies does affect applicability of study results, but graduates are not promoted immediately after their university graduation regardless of their gender. The only disadvantages mentioned regarded demands on time. In the qualitative research, graduates most often reported demands on family support, time, problem coping and necessity of such behaviour.
Keywords: Professional experience and education, practical training, study, student, impact, employability
Classification-JEL: A22, I23, J24
Pages: 1-16
Volume: preprint
File-URL: http://www.vse.cz/pep/download.php?jnl=pep&pdf=723.pdf
File-URL: http://www.vse.cz/pep/723
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Handle: RePEc:prg:jnlpep:v:preprint:id:723:p:1-16
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Template-Type: ReDIF-Article 1.0
Author-Name: Mohammad Enamul Hoque
Author-Name: Mohd Azlan Shah Zaidi
Title: Impacts of Global-Economic-Policy Uncertainty on Emerging Stock Market: Evidence from Linear and Non-Linear Models
Abstract: Global economic policy uncertainty (GEPU) is one of important phenomena in the global economy; it can impact on the overall economic performance and stock market performance, regardless of the status of the world economy. Thus, this paper empirically investigates the impact of global economic policy uncertainty on the Malaysian stock market over the period from 10:2003 to 2017:03. Using the GARCH model, the study demonstrates that global policy uncertainty affects the Malaysian stock market negatively. Similarly, the SVAR model also shows results consistent with the GARCH estimation. Nevertheless, the Markov switching estimation uncovers that global policy uncertainty has negative impacts on stock market performance in both low and high volatile market states. The impact is, however, greater during the high volatile state. Hence, the relationship between global economic policy uncertainty and stock market returns tends to be asymmetric. The overall empirical results infer that global economic policy uncertainty has some implications for asset pricing.
Keywords: GARCH, stock market, Malaysia, global economic policy uncertainty, Markov switching
Classification-JEL: C58, E32, E37, E44, E52, E62, F50, F65, G10
Pages: 1-12
Volume: preprint
File-URL: http://www.vse.cz/pep/download.php?jnl=pep&pdf=725.pdf
File-URL: http://www.vse.cz/pep/725
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Handle: RePEc:prg:jnlpep:v:preprint:id:725:p:1-12
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Template-Type: ReDIF-Article 1.0
Author-Name: Peng Nie
Author-Name: Lanlin Ding
Author-Name: Alfonso Sousa-Poza
Title: What Chinese Workers Value: An Analysis of Job Satisfaction, Job Expectations, and Labour Turnover in China
Abstract: This study uses data from the 2012 China Labour-Force Dynamics Survey and 2010-2012 China Family Panel Studies to investigate job satisfaction and job expectations, as well as the association between job satisfaction and job turnover by gender among employees aged 16-65. We find not only that job satisfaction levels are relatively low, with only 46% of workers explicitly satisfied, but also that worker expectations differ significantly from what their jobs actually provide. In particular, many jobs are less interesting than expected, which prevents workers from realizing their perceived potential. This expectation gap is thus a strong determinant of job satisfaction. Men and women have similar levels of job satisfaction, yet based on observables, one would expect women’s job satisfaction to be lower than it actually is, thereby lending support to the genderjob-satisfaction paradox encountered in Western studies. In contrast to Western research, we find no link between job satisfaction and job change, an observation we attribute to China’s unique Confucian-based work ethic.
Keywords: China, gender, job satisfaction, labour turnover
Classification-JEL: J16, J17, J20
Pages: 1-18
Volume: preprint
File-URL: http://www.vse.cz/pep/download.php?jnl=pep&pdf=726.pdf
File-URL: http://www.vse.cz/pep/726
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Handle: RePEc:prg:jnlpep:v:preprint:id:726:p:1-18
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Template-Type: ReDIF-Article 1.0
Author-Name: Beata Guziejewska
Author-Name: Katarzyna Walerysiak-Grzechowska
Title: A Local Government Revenue System under Macroeconomic Pressure: The Case of Poland
Abstract: This study analyses macroeconomic factors, especially the level of GDP and its changes, in terms of their impact on the revenues of Polish local governments from 1999 to 2016. The importance of the factors in managing local finances is growing because of the increasing threats of globalisation and economies becoming more vulnerable to exogenous shocks. This article attempts to identify the structural weaknesses of the local government revenue system in Poland in the context of macroeconomic circumstances. It follows from our research that the property tax and general state grants are relatively insensitive to GDP changes and that they are capable of ensuring local revenue stability during a crisis. Greater sensitivity to economic fluctuations is shown by shared income taxes. The study analyses Central Statistical Office and Eurostat data using an advanced research approach, the key elements of which are cointegration analysis and a vector error correction model.
Keywords: local government revenue system, fiscal decentralisation, local taxes, grants
Classification-JEL: H70, H71, H77
Pages: 1-23
Volume: preprint
File-URL: http://www.vse.cz/pep/download.php?jnl=pep&pdf=728.pdf
File-URL: http://www.vse.cz/pep/728
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Handle: RePEc:prg:jnlpep:v:preprint:id:728:p:1-23
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Template-Type: ReDIF-Article 1.0
Author-Name: Jakub Jakl
Title: Outreach and Effects of the ECB Corporate Sector Purchase Programme
Abstract: This paper analyses the effects of the ECB Corporate Sector Purchase Programme (CSPP) on yields of corporate sector bonds and its impact on the corporate sector’s debt markets. The CSPP started as a part of an existing asset purchase programme and significantly affected corporate bond markets. Any research undertaken in this area of the ECB’s respective actions is fairly limited due to the restrained access to data and its OTC nature. This paper analyses CSPP effects by using two distinct methods - a detailed regression-controlled event study and an impulse-response analysis of constructed VAR models. This study addresses questions regarding time, size and place of effects caused by the CSPP on corporate bond markets and deals in detail with related issues and related economic theory backgrounds. A series of obtained sector, country and companyspecific results gives us a picture of the non-negligible impact of the CSPP on purchased bonds and of the size and persistency of stock and flow effects of the ECB’s actions.
Keywords: quantitative easing, corporate bonds, Corporate Sector Purchase Programme
Classification-JEL: E44, E52, G12
Pages: 1-21
Volume: preprint
File-URL: http://www.vse.cz/pep/download.php?jnl=pep&pdf=729.pdf
File-URL: http://www.vse.cz/pep/729
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Handle: RePEc:prg:jnlpep:v:preprint:id:729:p:1-21
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Template-Type: ReDIF-Article 1.0
Author-Name: Kevin Luo
Title: A Novel Strategy to Assess the Motives Behind Private Transfers
Abstract: This study surveys the conventional methods and their limitations in assessing motives for private transfers. Based on the concept of “effective altruism” - a genuine altruist o ffers help instead of demanding, this study proposes a n ormative and discriminative strategy to help distinguish the transfer motives, focusing on whether income transfer persists over time. Its application to Chinese interfamily transfers reveals that altruistic motives do exist but play an insignificant role at the aggregate level.
Keywords: Private transfer, transfer motives, altruism, egoism, interfamily transfer
Classification-JEL: D12, D64, I30
Pages: 1-17
Volume: preprint
File-URL: http://www.vse.cz/pep/download.php?jnl=pep&pdf=730.pdf
File-URL: http://www.vse.cz/pep/730
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Handle: RePEc:prg:jnlpep:v:preprint:id:730:p:1-17
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Template-Type: ReDIF-Article 1.0
Author-Name: Agnieszka Leszczyńska-Paczesna
Title: Sectoral Price Stickiness and Inflation Persistence in Poland: A Two-Sector DSGE Approach
Abstract: This paper presents a theoretical model that is suitable for the analysis of price-setting heterogeneity in a small open economy. The model is based on Benigno and López-Salido’s (2006) work and is one of many examples of a dynamic stochastic general equilibrium (DSGE) model that utilizes heterogeneous price stickiness (e.g., Aoki, 2001; Bodenstein et al., 2008). The model allows analyses of a small open economy by extending the existing multisector models using the mechanisms described by Galí and Monacelli (2005). As a result, the model enables monetary policy analyses that take into account existing sectoral differences in the price-setting mechanisms found in an open economy. In the empirical part of the paper, the model is estimated on data for Poland using Bayesian techniques. The results show that the period 1999-2017 saw significant differences in price stickiness and inflation persistence in the sectors that produce food and energy compared with sectors that produce other goods and services.
Keywords: DSGE, core inflation, Bayes factor, Bayesian estimation
Classification-JEL: E30, E32, E37, E40
Pages: 1-32
Volume: preprint
File-URL: http://www.vse.cz/pep/download.php?jnl=pep&pdf=735.pdf
File-URL: http://www.vse.cz/pep/735
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Handle: RePEc:prg:jnlpep:v:preprint:id:735:p:1-32
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Template-Type: ReDIF-Article 1.0
Author-Name: Mindaugas Butkus
Author-Name: Alma Mačiulytė-Šniukienė
Author-Name: Kristina Matuzevičiūtė
Author-Name: Diana Cibulskienė
Title: Does Financial Support from ERDF and CF Contribute to Convergence in the EU? Empirical Evidence at NUTS 3 Level
Abstract: Analysing papers that reveal by decomposing territorial inequalities in the EU that the share of disparities attributed to the NUTS 3 level has increased over the last 20 years, this paper aims to examine to what extent the financial support in 2000-2006 from ERDF and CF, which are the main regional policy tools but mainly are directed to address the issues arising at the NUTS 2 level, contributed to supporting convergence at the NUTS 3 level. Our research strategy relies on combining a conditional β-convergence model and a difference-in-differences (DiD) estimator. Estimations are generated for four alternative post-policy periods, two ways to measure policy intervention and for different funds as well as different expenditure categories. Our research results bring to light the question of potential negative outcomes of the EU’s existing regional policy since the policy that is focused on the NUTS 2 level is enlarging imbalances within these regions, i.e., among NUTS 3 regions.
Keywords: European Regional Development Fund (ERDF), Cohesion Fund (CF), regional disparities, convergence, NUTS 3, financial support
Classification-JEL: F15, O47, R12, R58
Pages: 1-43
Volume: preprint
File-URL: http://www.vse.cz/pep/download.php?jnl=pep&pdf=737.pdf
File-URL: http://www.vse.cz/pep/737
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