Template-Type: ReDIF-Article 1.0
Author-Name: Martin Mandel
Author-Name: Vladimír Tomšík
Title: Relativní verze teorie parity kupní síly: problémy empirické verifikace
Title: Relative version of the theory of purchasing power parity: problems of empirical verification
Abstract: The article discusses problems of the empirical verification of the relative version of the theory of purchasing power parity based on aggregated price indexes (especially using the consumer price index). The goal of the articles is to compare empirical results obtained from cross-country time series analysis using cointegration analysis, Error Correction Model, as well as VAR analysis. The authors tested 21 currency pairs of the U.S.A., Canada, Japan, Switzerland, the Great Britain, Norway, and Sweden in the period between 1975 and 2007. All tested time series were cointegrated of the first order with the exception of the consumer price index of Switzerland, which was cointegrated of the second order. The results of cointegration analysis are not very robust. This is explained by the authors as follows: existence of high transaction costs in an arbitrage, existence of complementary goods and oligopoly structure of exports, and expected back reaction between exchange rate and inflation.
Keywords: exchange rate, transaction costs, theory of purchasing power parity
Classification-JEL: E400, E440, F310, G100
Pages: 723-738
Volume: 2008
Issue: 6
Year: 2008
File-URL: http://www.vse.cz/polek/download.php?jnl=polek&pdf=660.pdf
File-URL: http://www.vse.cz/polek/660
File-Format: text/html
Handle: RePEc:prg:jnlpol:v:2008:y:2008:i:6:id:660:p:723-738

Template-Type: ReDIF-Article 1.0
Author-Name: Jan Cimburek
Author-Name: Pavel Řežábek
Title: Hotovost v oběhu: světové trendy a situace v České republice
Title: Currency in circulation: global trends and the situation in the Czech republic
Abstract: This paper deals with the evolution of currency in circulation and world trends in selected developed countries. We argue against the opinion that money in their cash form (i.e. notes and coins) will seize to exist within the horizon of fifteen years and that only electronic means of payment will be used in the users' payment mix. We quantify and compare the trend of currency in circulation with main macroeconomic and demographic indicators and focus on finding and defining possible additional qualitative factors that might influence the usage of banknotes and coins. Paper offers a new approach to rising currency in circulation which is not based on quantitative factors but more on the qualitative factors which motivate users to use cash. Furthermore the paper focuses on the regional aspect and describes and compares the cash situation in the Czech Republic. Based on the defined qualitative factors, which are promoting the use of cash and motivating potential users of cash, we come to the conclusion that cash will play its important role in the future as a reliable, safe and user friendly mean of payment.
Keywords: money, seigniorage, currency in circulation, banknotes, coins, payment transaction, electronic payments, paper-based payments
Classification-JEL: E40, E50
Pages: 739-758
Volume: 2008
Issue: 6
Year: 2008
File-URL: http://www.vse.cz/polek/download.php?jnl=polek&pdf=661.pdf
File-URL: http://www.vse.cz/polek/661
File-Format: text/html
Handle: RePEc:prg:jnlpol:v:2008:y:2008:i:6:id:661:p:739-758

Template-Type: ReDIF-Article 1.0
Author-Name: Miloslav Vošvrda
Author-Name: Jozef Baruník
Title: Modelování krachů na kapitálových trzích: aplikace teorie stochastických katastrof
Title: Stock market crashes modeling: stochastic cusp catastrophe application
Abstract: We show that the cusp catastrophe model explains the crash of stock exchanges much better than other models. On the data of U.S. stock markets we demonstrate that the crash of 1987 may be better explained by cusp catastrophe theory, which is not true for the crash of 2001. With the help of sentiment measures, such as index put/call options ratio and volume (the former models the proportion of the chartists, while the latter the fundamentalists), we have found that the 1987 returns are clearly bimodal and contain bifurcation flags. The cusp catastrophe model fits these data better then alternative models. Therefore we may say that the crash may have been led by internal forces. However, the causes for the crash of Sept. 11, 2001 are external, which is also evident in much weaker presence of bifurcations in the data. Thus alterantive models may be used for its explanation.
Keywords: nonlinear dynamics, cusp catastrophe, bifurcations, singularity, stock market crash
Classification-JEL: C01, C53
Pages: 759-771
Volume: 2008
Issue: 6
Year: 2008
File-URL: http://www.vse.cz/polek/download.php?jnl=polek&pdf=662.pdf
File-URL: http://www.vse.cz/polek/662
File-Format: text/html
Handle: RePEc:prg:jnlpol:v:2008:y:2008:i:6:id:662:p:759-771

Template-Type: ReDIF-Article 1.0
Author-Name: Tomáš Tichý
Title: Posouzení vybraných možností zefektivnění simulace Monte Carlo při opčním oceňování
Title: Examination of selected improvement approaches to Monte Carlo simulation in option pricing
Abstract: In general, there exist many ways to detect the fair value of financial derivatives. However, each of them is suitable for different purposes. For example, when the payoff function is not very simple or the underlying process is too complex, the approach of Monte Carlo simulation can be useful. Unfortunately, the plain Monte Carlo simulation needs a very high number of independent paths to get reliable results. It is the reason why an improvement of the plain approach should be applied to decrease the number of paths required in order to get reliable results. In this paper we study more closely several such approaches and examine their potential of increasing the efficiency. To be more exact, we apply the antithetic variates method and stratified sampling approaches, including their combinations in order to get the fair price of a plain vanilla call. We consider three distinct underlying processes: geometric Brownian motion, variance gamma model and normal inverse Gaussian model. We also verify the confidence interval for the option price. We did not find any improvements of examined methods for complex processes considering the definition via two or more independent random numbers. However, if the required accuracy is very high, it might be useful to apply the stratification to the distribution function of the complex process.
Keywords: options, Simulation Monte Carlo, variance reduction methods, option pricing, Black and Scholes model, Lévy process, variance gamma model, normal inverse Gaussian model, confidence interval
Classification-JEL: C1, G13, G2
Pages: 772-794
Volume: 2008
Issue: 6
Year: 2008
File-URL: http://www.vse.cz/polek/download.php?jnl=polek&pdf=663.pdf
File-URL: http://www.vse.cz/polek/663
File-Format: text/html
Handle: RePEc:prg:jnlpol:v:2008:y:2008:i:6:id:663:p:772-794

Template-Type: ReDIF-Article 1.0
Author-Name: Michal Pazour
Title: Typologie inovačního procesu ve službách
Title: Typology of innovation process in services
Abstract: Services have expanded rapidly over last twenty years and they play a dominant role in advanced economies today. The economic research reflects these structural changes by increasing interest in integrating services into the traditional value chain. This study aims at creating conceptual framework for measuring innovation in services and for identifying different innovation patterns in service sector. The need for the concept of innovation patterns in services results firstly from the different character of the innovation process in services and in manufacturing and secondly from the high degree of heterogeneity inside the service sector. The concept presented in this study summarizes recent approaches to service innovation and creates four groups of services according the types of their innovation activities. These groups are: science-based services, problem solving services, scale-oriented services and market-oriented services. This study represents a basis for follow-up analysis of innovation efficiency in Czech business services sector.
Keywords: value chain, service innovation, innovation process
Classification-JEL: O30, O31, O33
Pages: 795-818
Volume: 2008
Issue: 6
Year: 2008
File-URL: http://www.vse.cz/polek/download.php?jnl=polek&pdf=664.pdf
File-URL: http://www.vse.cz/polek/664
File-Format: text/html
Handle: RePEc:prg:jnlpol:v:2008:y:2008:i:6:id:664:p:795-818

Template-Type: ReDIF-Article 1.0
Author-Name: Pavel Ciaian
Author-Name: Ján Pokrivčák
Author-Name: Dušan Drabik
Title: Prečo sú niektoré sektory v tranzitívnych ekonomikách menej reformované ako ostatné? prípad výskumu a vzdelávania v oblasti ekonómie
Title: Why some sectors of transition economies are less reformed than others? the case of economic research and education
Abstract: In the paper we analyze economic university research and education in transition countries. University system differs from industry in the nature of output that it produces. University system is engaged in production of public goods rather than private goods. The sector also suffers from the measurement problem of quality of its output. We argue that because of these factors reforms were slower in this sector leading to low productivity growth. Pressure groups succeeded in gaining significant control inside administrative structures regulating the sector. By creating the accreditation commission the state decreases the communication cost of pressure groups making lobbing activity cheaper. A case study from the Czech Republic and Slovakia shows that the accreditation commission which is composed from representatives of state universities and established research institutes succeeded in maintaining their dominant position and set evaluation criteria fitting their interests. This institutional setting led to low university research productivity. The results also show that in Slovakia economic research is still predominantly carried out by central research institutes and universities are engaged mainly in teaching.
Keywords: productivity, transition, economic research, economic education, public good, reform
Classification-JEL: H11, I28, P21, P5
Pages: 819-836
Volume: 2008
Issue: 6
Year: 2008
File-URL: http://www.vse.cz/polek/download.php?jnl=polek&pdf=665.pdf
File-URL: http://www.vse.cz/polek/665
File-Format: text/html
Handle: RePEc:prg:jnlpol:v:2008:y:2008:i:6:id:665:p:819-836

Template-Type: ReDIF-Article 1.0
Author-Name: Martin Hon
Title: Historie konceptu přirozeného monopolu
Title: History of natural monopoly concept
Abstract: The paper presents the evolution of the natural monopoly term in the economic literature. Using the citations of the authors the article shows various approaches to the natural monopoly concept from the very beginning till nowadays. The definition of natural monopoly has been changing over time and even today there is not the only one view used widespread.
Keywords: political economy, natural monopoly, economic history, cost function subadditivity, contestable market, monopoly power, economies of scale
Classification-JEL: B1, B2, B3
Pages: 833-842
Volume: 2008
Issue: 6
Year: 2008
File-URL: http://www.vse.cz/polek/download.php?jnl=polek&pdf=666.pdf
File-URL: http://www.vse.cz/polek/666
File-Format: text/html
Handle: RePEc:prg:jnlpol:v:2008:y:2008:i:6:id:666:p:833-842