Template-Type: ReDIF-Article 1.0 Author-Name: Václav Klaus Author-Name: Dušan Tříska Title: Ke kritice používání konceptu solidarity a diskriminace v intertemporální analýze tzv. globálních problémů Title: Towards a critique of the concepts of solidarity and discrimination as applied in inter-temporal analyses of the so-called global problems Abstract: The authors' approach to the ethical and political aspects of inter-temporal interactions is the following: 1) Two representative agents Ra and Râ are analyzed and asymmetries in their wealth and voting powers are dealt with by a the text-book tool of a welfare function - its intra and inter-temporal application. 2) A generalized concept of a distance (measured in miles and years, respectively) is to indicate to what extend similarities and differences can be reasonably expected between Ra and Râ - their interests and values. With respect to a given distance, a discount factor then represents the weight that Ra ascribes to the well-being of his counter-party Râ. 3) In the intra-temporal case, the intuitive appeal of the concepts of solidarity, justice and discrimination is accepted, as well as the resultant transfers of wealth from the richer Ra" to his relatively poorer contemporary fellow Râ. 4) Contrariwise, the very concepts easily loose sense in the inter-temporal case. The arguments for this difference are that: (a) the same person may act as both Ra and Râ; the future Râ may be but a new sample of a given man, household, firm, nation … or even mankind itself, (b) wealth is likely to grow with the time-distance between the future Râ and the present decision maker Ra, (c) unlike the geographical distance, a time horizon is infinite; the future Râ may exist whenever - 10 days, 20 months or 17 000 years from now, (d) an interest rate or investment possibilities affect the present Ra's wealth or budget constraint. 5) With the level of aggregation of Ra and Râ, the analytical problems become still more eminent. Should then the two agents represent a mankind as a whole, it appears impossible to identify at what point of the future Râ lives - even if we managed to interpret the interests and preferences of us all today as Ra. A message is passed to natural scientists that they cross over to social analyses whenever they add valuations to their data - in a form of warnings not to mention regulatory proposals - and that as visitors they should respect the state of art of the contemporary social science, including its genuine advisory capacity, namely to globally established policy-makers. Hence, any regulatory constraint on our liberties and freedoms must be always viewed as an outcome of a political struggle - never then as a victory of a modern science, as the currently prevailing rhetoric may suggest. Keywords: economics of global warming, solidarity, justice, discrimination, discount factor, welfare function, environmentalism Classification-JEL: D61, D63, D91, Q54, Q58 Pages: 723-750 Volume: 2007 Issue: 6 Year: 2007 File-URL: http://www.vse.cz/polek/download.php?jnl=polek&pdf=621.pdf File-URL: http://www.vse.cz/polek/621 File-Format: text/html Handle: RePEc:prg:jnlpol:v:2007:y:2007:i:6:id:621:p:723-750 Template-Type: ReDIF-Article 1.0 Author-Name: Tran Van Quang Title: Testování slabé formy efektivnosti na českém akciovém trhu Title: Testing the weak form of efficient market hypothesis for the czech stock market Abstract: Efficient Market Hypothesis has dominated the field of research on capital market theory. It postulates that asset prices are rationally connected to economic realities and always incorporate all the information available to the market. A huge quantity of theoretical works around the world have been devoted to testing this hypothesis. In this paper, the weak form of the Efficient Market Hypothesis is tested on data from the Czech stock market of period 1996-2006. The tested hypothesis is verified by both linear and nonlinear methods. Those linear are: Box-Pierce test, variance ratio test, test of sequences and reversals nad Hurst exponent. The nonlinear ones are: White test, Engle test, Hinich test and BDS test. These tests are carried on stock returns time series of Czech stock market index PX and individual stocks as Telefónica, Komerční banka and ČEZ and series with randomly changed order from original series. The results of the testing indicate that returns, when randomly permutated, are independent, hence they follow a random walk. But it is impossible to maintain it in case of original returns series.It implies that returns of either Czech stock market index or its stocks are not independent and do not follow a random walk. Keywords: random walk, Efficient Market Hypothesis, Hypothesis Testing, Linear and Nonlinear Methods, Czech Stock Market, Time Series with Randomly Permutated Order Classification-JEL: C12, G14 Pages: 751-772 Volume: 2007 Issue: 6 Year: 2007 File-URL: http://www.vse.cz/polek/download.php?jnl=polek&pdf=622.pdf File-URL: http://www.vse.cz/polek/622 File-Format: text/html Handle: RePEc:prg:jnlpol:v:2007:y:2007:i:6:id:622:p:751-772 Template-Type: ReDIF-Article 1.0 Author-Name: Jan Hájek Title: Test slabé formy efektivnosti středoevropských akciových trhů Title: Weak-form efficiency test in the central european capital markets Abstract: This study thoroughly analyzes the stock market efficiency hypothesis - its weak form - in the Czech Republic, Poland and Hungary in 1995-2005. It aims to reveal whether trading on historical information about stock prices or indices may lead to economically significant abnormal profits and whether the analyzed markets are comparably efficient. It also tests relative efficiency of the Central European markets compared to developed capital markets that are considered the most effective - the American NYSE, German and Netherlands stock exchanges. Complexity of the results is enhanced by analyzing daily, weekly and monthly returns of both the major regional indices - the Czech PX-50 and PX-D, Hungarian BUX and Polish WIG20 - and individual shares that constitute the indices. Moreover, consequences of the non-synchronous trading for autocorrelations are discussed. In conclusion, the Central European region must be considered as a heterogeneous market. While the Hungarian market generally complies with the hypothesis and behaves weakly efficient, significant linear dependences are typical for the Czech stock market. Some unsystematic departures from the random walk model persist in Poland and the efficiency market hypothesis can not be validated there. Any abnormally profitable investment strategy that exploits technical analysis should thus avoid Hungarian stocks and exploit short-term dependences on the Czech and, to a lesser extant, Polish stock market. Keywords: efficiency market hypothesis, relative market efficiency, random walk model, variance ratio test, heteroskedasticity, non-synchronous trading, Central European stock markets, weak-form market efficiency Classification-JEL: C22, G14 Pages: 773-791 Volume: 2007 Issue: 6 Year: 2007 File-URL: http://www.vse.cz/polek/download.php?jnl=polek&pdf=623.pdf File-URL: http://www.vse.cz/polek/623 File-Format: text/html Handle: RePEc:prg:jnlpol:v:2007:y:2007:i:6:id:623:p:773-791 Template-Type: ReDIF-Article 1.0 Author-Name: Jiří Málek Author-Name: Jarmila Radová Author-Name: Filip Štěrba Title: Konstrukce výnosové křivky pomocí vládních dluhopisů v České republice Title: Vield curve construction using government bonds in the Czech republic Abstract: The paper deals with yield curve construction methods using coupon bonds in Czech bond market. Generally, there are more possibilities how to approach this problem: bootstraping, splines, parametric functions. Due to the lack of tradable public bonds and due to the fact that existing bonds do not pay coupons at the same date of the year, traditional bootstraping method could not be applied under Czech market conditions. It seemed appropriate to use parametrical solutions to the yield curve issue and minimise the sum of squares of differences between market and theoretical prices. There were presented three function types which arrived to similar results in the paper. The authors also used Svensson parametric function to demonstrate the possible use of parametric yield curve construction. It was shown that, after duration adjustment, it can indicate shift in market expectations regarding future short term interest rate moves, and thus regarding future monetary policy, pretty well. Keywords: term structure of interest rates, Czech Republic, yield curve, government bonds, estimation of parametric functions, market expectations Classification-JEL: C61, C63, G10, G12 Pages: 792-808 Volume: 2007 Issue: 6 Year: 2007 File-URL: http://www.vse.cz/polek/download.php?jnl=polek&pdf=624.pdf File-URL: http://www.vse.cz/polek/624 File-Format: text/html Handle: RePEc:prg:jnlpol:v:2007:y:2007:i:6:id:624:p:792-808 Template-Type: ReDIF-Article 1.0 Author-Name: Vladimir Pikora Title: Vliv zveřejněných informací na výnosovou křivku Title: The impact of fresh releases on the yield curve Abstract: The paper deals with the impact of new information on the fixed income market. We expect this to be the first study covering such a topic in Central European markets. We prepared a model of a market reaction and found out that the market is not significantly driven by new macroeconomic figures. The sharpest moves have never been caused by a new number, but developments abroad and unexpected statements of central bankers. Scheduled central bank decisions on the interest rates did not affect yields as much as these two factors. The main message of this text for short term investors is, that in contrast to the USA, it is better for them to follow trading abroad than the Czech fundamentals. Keywords: central bank, yield curve, information release, market reaction, analysts, expectations Classification-JEL: E43, E44, G14 Pages: 809-828 Volume: 2007 Issue: 6 Year: 2007 File-URL: http://www.vse.cz/polek/download.php?jnl=polek&pdf=625.pdf File-URL: http://www.vse.cz/polek/625 File-Format: text/html Handle: RePEc:prg:jnlpol:v:2007:y:2007:i:6:id:625:p:809-828 Template-Type: ReDIF-Article 1.0 Author-Name: Karel Brůna Title: Úrokový transmisní mechanismus a řízení úrokové marže bank v kontextu dezinflační politiky České národní banky Title: The interest rate transmission mechanism and the management of interest margin in the context of Czech national bank disinflation policy Abstract: The paper analyzes the relationship between interest rate transmission mechanism and bank's management of interest rate risk during the disinflation monetary policy in the Czech Republic in 1999-2006. In theoretical part, main determinants of short-run and long-run equilibrium of client interest rates are discussed (market power, duration of credits and deposits, pricing mechanism, credit risk, operation efficiency). Using the error correction model, sensitivity of credit and deposit interest rates on market interest rates is tested. It is found out that in the short equilibrium client interest rates changes follow dynamics of CNB repo rate, the sensitivity of credit and deposit interest rates differs and banks face up the pressure on interest margin. The cointegration analysis confirms change of equilibrium interest rate margin in the long-run and supports hypothesis of consistency between Czech National Bank monetary policy and its expected outcomes by banks. Keywords: monetary policy, bank, disinflation, interest rates, client interest rates Classification-JEL: E43, E44, G12 Pages: 829-851 Volume: 2007 Issue: 6 Year: 2007 File-URL: http://www.vse.cz/polek/download.php?jnl=polek&pdf=626.pdf File-URL: http://www.vse.cz/polek/626 File-Format: text/html Handle: RePEc:prg:jnlpol:v:2007:y:2007:i:6:id:626:p:829-851