Template-Type: ReDIF-Article 1.0 Author-Name: Eva Zamrazilová Title: Měnová politika: krátkodobá stabilizace versus dlouhodobá rizika Title: Monetary Policy: Short-Term Stabilization versus Long-Term Risks Abstract: Central banks of major advanced economies have already started their sixth year of the greatest ever experiment in monetary policy at place. First, special measures were taken to prevent collapse of financial intermediation. At the same time main policy rates were cut down to historical lows hitting the zero lower bound quite soon after the onset of the financial crisis. After that central banks realised various unconventional measures in order to support their weak economies. While exceptional instruments aimed at restoring financial markets seem to have been inevitable to avert a collapse of a much greater magnitude in the short run, some other measures have remained disputable. Not only had these measures limited effectiveness in restoring stronger and sustainable economic growth, but concerns have also been raised recently about their unintended consequences. These side-effects concern not only domestic economies but international spillovers on many vulnerable less advanced and/or developing economies have been evident. Moreover, potential risks of the unprecedented measures may start to act fully in a longer horizon. Quantitative easing has led to enormous increases in balance sheets of the Fed, the BoE and ECB; however structural differences on the asset side have been evident. Main challenge for major central banks thus seems to be the right timing and structure of inevitable exit strategies in the near future so that a smooth exit with minimal side effects could be guaranteed. Keywords: monetary policy, inflation, central banking, financial crises, quantitative easing Classification-JEL: E44, E52, E58, G01 Pages: 3-31 Volume: 2014 Issue: 1 Year: 2014 File-URL: http://www.vse.cz/polek/download.php?jnl=polek&pdf=935.pdf File-URL: http://www.vse.cz/polek/935 File-Format: text/html Handle: RePEc:prg:jnlpol:v:2014:y:2014:i:1:id:935:p:3-31 X-File-Ref: http://www.vse.cz/RePEc/prg/jnlpol/references/935 Template-Type: ReDIF-Article 1.0 Author-Name: Jan Hanousek Author-Name: Jan Novotný Title: Cenové skoky během finanční nejistoty: od intuice k regulační perspektivě Title: Price Jumps during Financial Crisis: From Intuition to Financial Regulation Abstract: In this paper, we employ the high-frequency data from Prague Stock Exchange (PSE) and New York Stock Exchange (NYSE) to analyse the variation in extreme price movements and market volatility around the period of fall of Lehman Brothers. The sample ranges from January 2008 to July 2009. We employ the price jump indicators optimal with respect to Type-I and Type-II errors. The former one shows an increase in market volatility and extreme price movements during financial distress, while the later one distinguishes extreme price movements and shows that they do not react in the long-run to fi nancial distress at PSE, while for the matured US market suggests a company/sector-specific reaction. We analyse behaviour of extreme price movements with respect to CDS. Our results suggest that both markets are different - extreme price movements at PSE are independent of CDS movements, while those at NYSE show a sector/company specific reactions to CDS. Keywords: financial crisis, Basel III, European emerging stock markets, Lehman Brothers, price jumps, CDS Classification-JEL: G01, G15, G18, P59 Pages: 32-48 Volume: 2014 Issue: 1 Year: 2014 File-URL: http://www.vse.cz/polek/download.php?jnl=polek&pdf=936.pdf File-URL: http://www.vse.cz/polek/936 File-Format: text/html Handle: RePEc:prg:jnlpol:v:2014:y:2014:i:1:id:936:p:32-48 X-File-Ref: http://www.vse.cz/RePEc/prg/jnlpol/references/936 Template-Type: ReDIF-Article 1.0 Author-Name: Lukáš Pfeifer Author-Name: Zdeněk Pikhart Title: Vztah finanční a cenové stability v podmínkách ČR Title: The Relationship of Financial and Price Stability in the Context of the Czech Republic Abstract: The article deals with the theoretical issues of macroprudential policy, shift of monetary policy paradigm towards application of so called "leaning against the wind" strategy and mutual cooperation of these policies, which are both aimed at maintaining financial stability. For detection of financial instability are mainly used early warning indicators, which are most often based on the credit activity of the economy and asset prices development. In the second part, we examine the impact of the credit activity in the Czech Republic on the prices of particular assets and its subsequent effect on the consumer price index. Keywords: asset prices, consumer price index, financial stability, Price stability, leaning against the wind, macroprudential policy Classification-JEL: E310, E320, E520, E580 Pages: 49-66 Volume: 2014 Issue: 1 Year: 2014 File-URL: http://www.vse.cz/polek/download.php?jnl=polek&pdf=937.pdf File-URL: http://www.vse.cz/polek/937 File-Format: text/html Handle: RePEc:prg:jnlpol:v:2014:y:2014:i:1:id:937:p:49-66 X-File-Ref: http://www.vse.cz/RePEc/prg/jnlpol/references/937 Template-Type: ReDIF-Article 1.0 Author-Name: Jaroslav Baran Author-Name: Jiří Witzany Title: Konstrukce výnosových křivek v pokrizovém období Title: Yield Curve Construction after Crisis Abstract: Market value of derivatives after crisis requires discounting with interest rates that take into account the credit risk of the involved counterparties of the trade. The increase of credit risk is evidenced by the presence of basis swap spreads. Using one curve to both estimating the forward rates and discounting future cash flows is not plausible given the prerequisite of arbitrage free market. The aim of this paper is to derive discount curves which are consistent with market quotes. In the concluding part, we estimate CZK OIS rates, which can be then used to discount derivatives denominated in CZK and collateralized with CZK cash. Keywords: discount factor, swap spreads, overnight indexed swap, basis swap, cross-currency swap, collateral Classification-JEL: D53, G01 Pages: 67-99 Volume: 2014 Issue: 1 Year: 2014 File-URL: http://www.vse.cz/polek/download.php?jnl=polek&pdf=938.pdf File-URL: http://www.vse.cz/polek/938 File-Format: text/html Handle: RePEc:prg:jnlpol:v:2014:y:2014:i:1:id:938:p:67-99 X-File-Ref: http://www.vse.cz/RePEc/prg/jnlpol/references/938 Template-Type: ReDIF-Article 1.0 Author-Name: Jaromír Kukal Author-Name: Tran Van Quang Title: Neparametrický heuristický přístup k odhadu modelu GARCH-M a jeho výhody Title: Estimating a GARCH-M Model by a Non-Parametric Heuristic Method and Its Advantages Abstract: The models from the GARCH family are often estimated by maximum likelihood method, either parametrically or non-parametrically. Since the parametric estimation procedure is based on an a priori distribution, its misspecification can lead to the inconsistency of the estimators. Therefore non-parametric approach, in which both model´s parameters and the distribution of error terms are estimated from the data, seems to be a better alternative. In our work, we propose a non-parametric technique with the use of a heuristic called differential evolution to estimate the parameters of a GARCH-M model. This technique can more likely reach to a global solution of maximum likelihood estimation (MLE) task. Further, it can also more effectively control the required properties of the estimates. The suitability of our approach is verified on modeling the CZK/USD and CZK/EURO forward exchange rate premium of period from 2007 to 2012 by a GARCH-M model. Keywords: GARCH-M model, Non-parametric method, heuristic, forward risk premium Classification-JEL: C14, C61, F31 Pages: 100-116 Volume: 2014 Issue: 1 Year: 2014 File-URL: http://www.vse.cz/polek/download.php?jnl=polek&pdf=939.pdf File-URL: http://www.vse.cz/polek/939 File-Format: text/html Handle: RePEc:prg:jnlpol:v:2014:y:2014:i:1:id:939:p:100-116 X-File-Ref: http://www.vse.cz/RePEc/prg/jnlpol/references/939 Template-Type: ReDIF-Article 1.0 Author-Name: Štěpán Chrz Author-Name: Karel Janda Author-Name: Ladislav Krištoufek Title: Modelování provázanosti trhů potravin, biopaliv a fosilních paliv Title: Modeling Interconnections within Food, Biofuel, and Fossil Fuel Markets Abstract: The interconnections within food, biofuel and fossil fuel markets are first described in the context of biofuels technologies and economic policy framework. Consequently, the econometric analysis consisting of Johansen cointegration, error correction model, vector autoregression and Granger causality is applied to price series of 12 biofuel related commodities. While a number of equilibrium relationships are found across the examined markets suggesting their interconnection, we do not obtain a persuasive confirmation of the thesis that biofuels clearly lead to food shortages via the increase in prices of basic food commodities used in the production of biofuels. Keywords: biofuels, food, fossil fuels Classification-JEL: C22, Q16, Q42 Pages: 117-140 Volume: 2014 Issue: 1 Year: 2014 File-URL: http://www.vse.cz/polek/download.php?jnl=polek&pdf=940.pdf File-URL: http://www.vse.cz/polek/940 File-Format: text/html Handle: RePEc:prg:jnlpol:v:2014:y:2014:i:1:id:940:p:117-140 X-File-Ref: http://www.vse.cz/RePEc/prg/jnlpol/references/940 Template-Type: ReDIF-Article 1.0 Author-Name: Pavel Sirůček Title: Nositelé Nobelovy ceny za ekonomii pro rok 2013 Title: Nobel Prize in Economics 2013 Winners Keywords: - Pages: 141-150 Volume: 2014 Issue: 1 Year: 2014 File-URL: http://www.vse.cz/polek/download.php?jnl=polek&pdf=941.pdf File-URL: http://www.vse.cz/polek/941 File-Format: text/html Handle: RePEc:prg:jnlpol:v:2014:y:2014:i:1:id:941:p:141-150 X-File-Ref: http://www.vse.cz/RePEc/prg/jnlpol/references/941 Template-Type: ReDIF-Article 1.0 Author-Name: Marek Loužek Title: Pohled na hospodářské dění z jiného úhlu Title: Economic Events from a Different Perspective Keywords: - Pages: 151-155 Volume: 2014 Issue: 1 Year: 2014 File-URL: http://www.vse.cz/polek/download.php?jnl=polek&pdf=942.pdf File-URL: http://www.vse.cz/polek/942 File-Format: text/html Handle: RePEc:prg:jnlpol:v:2014:y:2014:i:1:id:942:p:151-155 X-File-Ref: http://www.vse.cz/RePEc/prg/jnlpol/references/942 Template-Type: ReDIF-Article 1.0 Author-Name: Diana Bílková Title: Aktuální pohled na finanční potenciál českých a slovenských domácností Title: Current Look at the Financial Potential of Czech and Slovak Households Keywords: - Pages: 155-157 Volume: 2014 Issue: 1 Year: 2014 File-URL: http://www.vse.cz/polek/download.php?jnl=polek&pdf=943.pdf File-URL: http://www.vse.cz/polek/943 File-Format: text/html Handle: RePEc:prg:jnlpol:v:2014:y:2014:i:1:id:943:p:155-157 X-File-Ref: http://www.vse.cz/RePEc/prg/jnlpol/references/943