Template-Type: ReDIF-Article 1.0 Author-Name: Milan Sojka Title: Stane se institucionální ekonomie paradigmatem 21. stoletÍ? Title: Will the institutional economy become the 21st century paradigm? Keywords: - Pages: 297-304 Volume: 2009 Issue: 3 Year: 2009 File-URL: http://www.vse.cz/polek/download.php?jnl=polek&pdf=685.pdf File-URL: http://www.vse.cz/polek/685 File-Format: text/html Handle: RePEc:prg:jnlpol:v:2009:y:2009:i:3:id:685:p:297-304 Template-Type: ReDIF-Article 1.0 Author-Name: Jan Kodera Author-Name: Tran Van Quang Title: Vizuální nelineární rekurentní analýza Title: Visual Recurrence Analysis and its Application Abstract: The aim of the article is to answer the question if the Czech stock market price dynamics is generated by non-linear deterministic dynamic process. To solve this complex problem requires using sophisticated computational operations to analyze huge amount of data input. To overcome this obstacle the visual recurrence analysis is applied in this article. This method enables visualization of the state space reconstructed from a time series in the so called recurrent plot. Further, it quantifies various geometric structures occurred in recurrent plots and gives us more exact information about the nature of the underlying process generating the time series. This analysis is then applied to the most liquid stock returns and the Czech stock market index PX series Keywords: Czech Stock Market, nonlinear deterministic dynamics, Lorenz attractor, visual recurrence analysis, recurrence plot, quantitative recurrence analysis, finance time series Classification-JEL: C33, G19 Pages: 305-322 Volume: 2009 Issue: 3 Year: 2009 File-URL: http://www.vse.cz/polek/download.php?jnl=polek&pdf=686.pdf File-URL: http://www.vse.cz/polek/686 File-Format: text/html Handle: RePEc:prg:jnlpol:v:2009:y:2009:i:3:id:686:p:305-322 Template-Type: ReDIF-Article 1.0 Author-Name: Jiří Škop Author-Name: Jan Vejmělek Title: Od parity kupní síly k natrexu - případ české koruny Title: From PPP to Natrex - the Case of Czech Crown Abstract: The exchange rate cannot significantly diverge from a (real) long-term equilibrium level consistent with the macroeconomic picture of an economy for a long period of time; otherwise, the economy suffers from macroeconomic imbalances such as below-potential growth and below natural employment, or on the other hand faces overheating of the economy with rising inflation. The paper focuses on different methods of how to measure the long-term equilibrium exchange rate. After a brief discussion of different approaches, the NATREX one was theoretically developed for the case of an open economy and empirically validated for the Czech economy. The NATREX concept represents a macroeconomic model based on stock-flow interaction. After the estimation of the NATREX model for the CZK, we have been able to answer such questions as: What are the pace and main determinants of the current long-term equilibrium appreciation? What is the current value of the equilibrium exchange rate and the misalignment of the current exchange rate? And, how fast is the exchange rate likely to revert to its equilibrium value? Keywords: Equilibrium exchange rate, exchange rate misalignments, purchasing power parity (PPP), natural real exchange rate (NATREX), half-life convergence, Granger-Engle cointegration analysis and Johansen method Classification-JEL: C22, C32, F31, F32, F41, F43 Pages: 323-343 Volume: 2009 Issue: 3 Year: 2009 File-URL: http://www.vse.cz/polek/download.php?jnl=polek&pdf=687.pdf File-URL: http://www.vse.cz/polek/687 File-Format: text/html Handle: RePEc:prg:jnlpol:v:2009:y:2009:i:3:id:687:p:323-343 Template-Type: ReDIF-Article 1.0 Author-Name: Jaroslava Durčáková Title: Systémy měnových kurzů, jejich volba v tranzitivních ekonomikách a dopady na vývoj inflace a ekonomického růstu Title: Exchange rate regimes in transitive economies and the effect of exchange rate policy on the development of inflation and economic growth Abstract: In this paper we discuss the issue of the choice of exchange rate regimes in transitive economies and the effect of exchange rate policy on the development of macroeconomic indicators (e. g. the average growth rate of real GDP in domestic currency and the development of domestic inflation). It is obvious that exchange rate policy is not a passive factor, at least in the medium term. Our analysis indicates that the fixed foreign exchange rate arrangements policy does not necessarily mean stability of the foreign exchange rates. Neither percentage exchange rate changes of fixed rates, nor their volatility measured by the standard deviation are lower than the average change is over the examined period. Our analysis indicates also that the inflation rate is growing in accordance with the growth of depreciation of the foreign exchange rate and the growth of its volatility measured by the standard deviation. It was cleared that the higher volatility of the effective nominal exchange rate is reflected by the lower average economic growth rate of transitive countries. Keywords: economic growth, inflation, transitive economies, foreign exchange rate Classification-JEL: E310, F430 Pages: 344-360 Volume: 2009 Issue: 3 Year: 2009 File-URL: http://www.vse.cz/polek/download.php?jnl=polek&pdf=688.pdf File-URL: http://www.vse.cz/polek/688 File-Format: text/html Handle: RePEc:prg:jnlpol:v:2009:y:2009:i:3:id:688:p:344-360 Template-Type: ReDIF-Article 1.0 Author-Name: Karel Brůna Title: Měnová politika a predikce variability úrokových sazeb na peněžním trhu Title: Monetary policy and prediction of variability Abstract: This study presents an analysis of the sources of variability of interest rates in the money market in the context of Czech National Bank's (CNB) monetary policy. The factors in question are changes in the structural characteristics of economies in transition, changing perception of inflation risks, the inconsistency of central bank's monetary decisions and central bank's weakened credibility and uncertainty about the efficient transmission of monetary measures. The empirical analysis documents non-stationary variability of ultra short-term PRIBOR interest rates and stability of longer maturity PRIBOR interest rates. These results reflect the role of CNB in bank system liquidity management, the uncertainty about the timing of CNB's monetary policy at the changing speed of the appreciation of the crown, tendencies of overestimation of expected inflation and changing structural characteristics. Keywords: monetary policy, GARCH, interest rates, variability Classification-JEL: E43, E52 Pages: 361-382 Volume: 2009 Issue: 3 Year: 2009 File-URL: http://www.vse.cz/polek/download.php?jnl=polek&pdf=689.pdf File-URL: http://www.vse.cz/polek/689 File-Format: text/html Handle: RePEc:prg:jnlpol:v:2009:y:2009:i:3:id:689:p:361-382 Template-Type: ReDIF-Article 1.0 Author-Name: Luboš Komárek Author-Name: Filip Rozsypal Title: Vymezení a vyhodnocení agresivity centrálních bank Title: Definition and Evaluation of the Central Bank agresivity Abstract: This paper examines definitions and assessments of central bank aggressiveness. It shows theoretical reasons why there is certain minimal threshold value if CB wants to stabilize price level and on the other hand, why excessive reactions are suboptimal. The empirical part suggests that aggressiveness could be measured by defining certain indicators, based on variability of interest rates, inflation and output gap. The results are reported for countries with independent monetary policy as well as for countries in the eurozone, which has handed their monetary independency to ECB. Keywords: central bank, aggressiveness, Taylor principle, reaction function Classification-JEL: E37, E52, E58 Pages: 383-404 Volume: 2009 Issue: 3 Year: 2009 File-URL: http://www.vse.cz/polek/download.php?jnl=polek&pdf=690.pdf File-URL: http://www.vse.cz/polek/690 File-Format: text/html Handle: RePEc:prg:jnlpol:v:2009:y:2009:i:3:id:690:p:383-404 Template-Type: ReDIF-Article 1.0 Author-Name: Marek Mičúch Title: Vývoj teorie parity kupní síly a rovnovážný měnový kurz Title: Purchasing power parity and the equilibrium exchange rate Abstract: Paper inquires into historical development of key theoretical concepts related to purchasing power parity in 20th century. It presents theories which explain relation between price level, labor productivity and exchange rate. These theories explain the process of how the long-run equilibrium exchange rate is being achieved. On the other hand it elaborates on short-run exchange rate deviations. As the key factor which cause the deviations identified in the paper is presence of the prices of non-tradable goods in price indexes. Proposed is a case study which clarifies the process of equilibrium exchange rate achieving to emphasis some of the theoretical conclusions made in paper. Verification of theoretical conclusions is sketched out through the Big Mac Index statistics. Statistics is to prove proposed relations between price levels and exchange rates in different countries and is to verify the relevance of theoretical conclusions about long-run equilibrium of exchange rates. Keywords: exchange rate, Balassa-Samuelson effect, purchasing power parity, non-tradable good, short-run deviations, labor productivity, Big Mac Index Classification-JEL: F16, F32, N22, N25 Pages: 405-428 Volume: 2009 Issue: 3 Year: 2009 File-URL: http://www.vse.cz/polek/download.php?jnl=polek&pdf=691.pdf File-URL: http://www.vse.cz/polek/691 File-Format: text/html Handle: RePEc:prg:jnlpol:v:2009:y:2009:i:3:id:691:p:405-428