Template-Type: ReDIF-Article 1.0
Author-Name: Jan Hanousek
Author-Name: Evžen Kočenda
Title: Vliv vnitrodenních makroekonomických zpráv na akciové trhy nových států EU
Title: Effect of Intraday Information Flow on the Emerging European Stock Markets
Abstract: We analyze effect of intraday information flow in three emerging EU stock markets-the Czech Republic, Hungary, and Poland. We use five-minute intraday data on stock market index returns and 15 types of EU and U.S. macroeconomic announcements during 2004-2007. We measure each announcement as its difference from market expectation. Mean and variance equations are jointly estimated. We bring evidence of strong spillovers from matured stock markets as well as effects of the macroeconomic news originating thereby. We find varying effects of the real economy news. Information on current account and prices has strong effect across all markets. We find limited evidence of the economic climate news and no evidence of the monetary announcements. Volatility of the returns is accounted for at the beginning and end of the trading session and it declines dramatically during the rest of the day. The three emerging markets react to information flow in  a similar manner as matured markets.
Keywords: volatility, European Union, stock markets, intra-day data, macroeconomic news, excess impact of news
Classification-JEL: C52, F36, G15, P59
Pages: 435-457
Volume: 2010
Issue: 4
Year: 2010
File-URL: http://www.vse.cz/polek/download.php?jnl=polek&pdf=740.pdf
File-URL: http://www.vse.cz/polek/740
File-Format: text/html
Handle: RePEc:prg:jnlpol:v:2010:y:2010:i:4:id:740:p:435-457
X-File-Ref: http://www.vse.cz/RePEc/prg/jnlpol/references/740

Template-Type: ReDIF-Article 1.0
Author-Name: Tomáš Holinka
Title: Proces učení a transparentnost centrální banky
Title: Learning Process and Transparency of Central Bank
Abstract: Learning process is a new approach of filling the gap between adaptive expectations and rational expectations. Private agents are learning new information and adjust their expectation about the inflation and output gap. Central bank transparency is one of the key factors of learning by private agents. However the learning process is also very important aspect for central bankers to improve their credibility.
Keywords: rational expectations, learning process, transparency of central bank
Classification-JEL: E44, E52, E58
Pages: 458-470
Volume: 2010
Issue: 4
Year: 2010
File-URL: http://www.vse.cz/polek/download.php?jnl=polek&pdf=741.pdf
File-URL: http://www.vse.cz/polek/741
File-Format: text/html
Handle: RePEc:prg:jnlpol:v:2010:y:2010:i:4:id:741:p:458-470
X-File-Ref: http://www.vse.cz/RePEc/prg/jnlpol/references/741

Template-Type: ReDIF-Article 1.0
Author-Name: Ladislav Krištoufek
Title: Dlouhá paměť a její vývoj ve výnosech burzovního indexu PX v letech 1997-2009
Title: Long-Term Memory and Its Evolution in Returns of Stock Index PX Between 1997 and 2009
Abstract: Long-term memory processes have been extensively examined in recent literature as they provide simple way to test for predictabilty in the underlying process. However, most of the literature interprets the results of estimated Hurst exponent simply by its comparison to its asymptotic limit of 0.5. Therefore, we use moving block bootstrap method for rescaled range and periodogram method. In our analysis of evolution of Hurst exponent between 1997 and 2009, we show that PX experienced persistent behavior which weakened in time. Nevertheless, the returns of PX remain close to confidence interval separating independent and persistent behavior.
Keywords: time series analysis, econophysics, long-range dependence, rescaled range, periodogram
Classification-JEL: G1, G10, G14, G15
Pages: 471-487
Volume: 2010
Issue: 4
Year: 2010
File-URL: http://www.vse.cz/polek/download.php?jnl=polek&pdf=742.pdf
File-URL: http://www.vse.cz/polek/742
File-Format: text/html
Handle: RePEc:prg:jnlpol:v:2010:y:2010:i:4:id:742:p:471-487
X-File-Ref: http://www.vse.cz/RePEc/prg/jnlpol/references/742

Template-Type: ReDIF-Article 1.0
Author-Name: Eduard Baumöhl
Author-Name: Mária Farkašovská
Author-Name: Tomáš Výrost
Title: Integrácia akciových trhov: DCC MV-GARCH model
Title: Stock Market Integration: DCC MV-GARCH Model
Abstract: In this paper we analyze the dynamic conditional correlations between CEE stock markets (also known as countries from Vysehrad Group - V4) and developed European stock markets, with German DAX utilized as  a benchmark. Our methodology is based on the DCC MV-GARCH approach. It is shown that the dynamic conditional correlations exhibit statistically significant growth after the integration of CEE countries to European Union, i.e. after the May 2004. The only index not exhibiting this trend is the Slovak SAX index.
Keywords: stock market integration, dynamic conditional correlations, CEE markets, DCC MV-GARCH model
Classification-JEL: C32, G01, G15
Pages: 488-503
Volume: 2010
Issue: 4
Year: 2010
File-URL: http://www.vse.cz/polek/download.php?jnl=polek&pdf=743.pdf
File-URL: http://www.vse.cz/polek/743
File-Format: text/html
Handle: RePEc:prg:jnlpol:v:2010:y:2010:i:4:id:743:p:488-503
X-File-Ref: http://www.vse.cz/RePEc/prg/jnlpol/references/743

Template-Type: ReDIF-Article 1.0
Author-Name: Tomáš Tichý
Title: Posouzení odhadu měnového rizika portfolia pomocí Lévyho modelů
Title: Examination of Portfolio Currency Risk Estimation by Means of Lévy Models
Abstract: Financial risk modeling, measuring, and managing are an inherent part of management in financial institutions. It is also an important step within the setting of optimal level of capital eligible to cover risk exposures. A significant portion of capital is usually assigned to cover the risk of unexpected changes in FX rates. FX rates (the returns) commonly exhibit significant skewness and relatively huge kurtosis. In this paper, we apply subordinated Lévy models coupled together by ordinary elliptical copula functions in order to estimate the FX rate risk of normalized portfolio. Selected models are applied in order to estimate the risk ex-post, as well as  ex-ante. The models are also compared to the more standard assumption of the joint normal distribution. Although the results for both types of modeling are quite different and Lévy measure is ignored, suggested models deliver us improved risk estimation.
Keywords: variance gamma model, normal inverse Gaussian model, Lévy models, ordinary elliptical copula function, financial risk, backtesting
Classification-JEL: C4, C5, G2
Pages: 504-521
Volume: 2010
Issue: 4
Year: 2010
File-URL: http://www.vse.cz/polek/download.php?jnl=polek&pdf=744.pdf
File-URL: http://www.vse.cz/polek/744
File-Format: text/html
Handle: RePEc:prg:jnlpol:v:2010:y:2010:i:4:id:744:p:504-521
X-File-Ref: http://www.vse.cz/RePEc/prg/jnlpol/references/744

Template-Type: ReDIF-Article 1.0
Author-Name: Pavel Dvořák
Title: Mimorozpočtové důvody růstu veřejného zadlužení
Title: Off-Budgetary Reasons of the Growing Public Indebtedness
Abstract: The interpretation of the relation between a budget deficit and  a government debt in the standard economic theory is based on its unilateral causality, where the government debt comes into being due to the accumulation of budget deficits. The logic of the development of the government indebtedness is, in this approach, unambiguously determined by public finance processes monitored by Parliament in the framework of the course of fiscal years. The main objective of this paper is to stress that in reality the development of government indebtedness is significantly influenced by off-budgetary factors. The presented results endorse the hypothesis that the influence of stock-flow adjustment on the development of the debt/GDP ratio in a number of cases surpasses the influence of the budget balance. This trend significantly amplifies in the period of  a financial crisis in context of the massive shift of the debt burden, occurring in the course of them.
Keywords: public debt, budget deficit, stock-flow, adjustment
Classification-JEL: H62, H63
Pages: 522-541
Volume: 2010
Issue: 4
Year: 2010
File-URL: http://www.vse.cz/polek/download.php?jnl=polek&pdf=745.pdf
File-URL: http://www.vse.cz/polek/745
File-Format: text/html
Handle: RePEc:prg:jnlpol:v:2010:y:2010:i:4:id:745:p:522-541
X-File-Ref: http://www.vse.cz/RePEc/prg/jnlpol/references/745

Template-Type: ReDIF-Article 1.0
Author-Name: Tomáš Želinský
Title: Analýza chudoby na Slovensku založená na koncepte relatívnej deprivácie
Title: Analysis of Poverty in Slovakia Based on the Concept of Relative Deprivation
Abstract: It is always difficult to define the one and only measure of poverty, as there are different concepts of poverty based on a number of welfare indicators. The paper discuses main approaches to individual welfare measurement. A measure of individual welfare in the concept of relative deprivation is proposed. Three dimensions of relative deprivation are considered (economic strain, inability to afford certain items, and housing). The measure is based on multiplicative approach and thus is more sensitive to changes and differences in data than measures based on additive approach. The measure reflects the complex nature of households´ relative deprivation and is applied to Slovak EU SILC 2005 - 2008 microdata in order to analyze the level of poverty in Slovakia in the concept of relative deprivation. Three different poverty lines are applied to the data and results are compared. Level of poverty in terms of relative deprivation is decreasing in Slovakia over time. Using the proposed approach, the results strongly depend on the number of components included in each dimension, as well as the components itself. In accordance with economic changes in the society, in the further research reappraisal of certain components could be a matter of discussion in order to reflect the present situation.
Keywords: poverty estimation, relative deprivation, deprivation index, welfare index, EU SILC
Classification-JEL: I31, I32
Pages: 542-565
Volume: 2010
Issue: 4
Year: 2010
File-URL: http://www.vse.cz/polek/download.php?jnl=polek&pdf=746.pdf
File-URL: http://www.vse.cz/polek/746
File-Format: text/html
Handle: RePEc:prg:jnlpol:v:2010:y:2010:i:4:id:746:p:542-565
X-File-Ref: http://www.vse.cz/RePEc/prg/jnlpol/references/746

Template-Type: ReDIF-Article 1.0
Author-Name: Miroslav Šepták
Title: Postavení hospodářských dějin na vysokých školách
Pages: 566-567
Volume: 2010
Issue: 4
Year: 2010
File-URL: http://www.vse.cz/polek/download.php?jnl=polek&pdf=747.pdf
File-URL: http://www.vse.cz/polek/747
File-Format: text/html
Handle: RePEc:prg:jnlpol:v:2010:y:2010:i:4:id:747:p:566-567