Template-Type: ReDIF-Article 1.0
Author-Name: Karel Brůna
Author-Name: Naďa Blahová
Title: Ekonomické a regulatorní podmínky řízení likvidity v bankovním sektoru České republiky v kontextu aplikace poměru likvidního krytí
Title: Economic and Regulatory Conditions of Liquidity Management in the Czech Banking Sector in the Context of Application of Liquidity Coverage Ratio
Abstract: The paper deals with an impact of new Basel III liquidity regulation on bank´s liquidity and solvency conditions. It analyzes a change from qualitative to quantitative based regulation and compares bank´s liquidity approaches within an application of LCR regulatory measures. Strict defi nition of LCR causes a change in bank´s liquidity allocation and funding which is less effective, more costly and restrictive for providing credits comparing with pure economic determinants. Empirical part shows a simulation of an impact of aggregate liquidity shock and credit risk shock on annual rate of capital return consistent with bank´s solvency. It proves huge liquidity buffer of the Czech banking sector due to systematic liquidity surplus, its rising capital endowment and high capital profi tability. VAR estimation shows that links among bank´s liquidity characteristics, sources of liquidity shocks, market illiquidity and central bank´s liquidity facilities withdrawal are quite weak with non-persistent features
Keywords: Basel III, LCR, liquidity management
Classification-JEL: G21, G28, G32
Pages: 689-713
Volume: 2015
Issue: 6
Year: 2015
File-URL: http://www.vse.cz/polek/download.php?jnl=polek&pdf=1021.pdf
File-URL: http://www.vse.cz/polek/1021
File-Format: text/html
Handle: RePEc:prg:jnlpol:v:2015:y:2015:i:6:id:1021:p:689-713
X-File-Ref: http://www.vse.cz/RePEc/prg/jnlpol/references/1021

Template-Type: ReDIF-Article 1.0
Author-Name: Dana Cíchová Králová
Title: Využití modelu BGM při řízení úrokového rizika v českém prostředí v období po finanční krizi
Title: Aplication of the BGM Model for Interest Rate Risk Management in the Czech Environment after Financial Crisis
Abstract: This article proposes an approach to an interest rate analysis for purposes of risk management.of fi nancial portfolio consisting of assets or liabilities linked to interest rates and held to maturity in the Czech environment. Czech fi nancial market is characterized by relative underdevelopment and relatively low liquidity, and in an environment of high uncertainty due to interventions and regulations of central banks and other authorities. This article fi rst describes the volatility of the Czech koruna and euro interest rates using the GARCH model. Based on this description, relationships between levels of koruna and euro swaptions volatilities are determined. After obtaining estimates of koruna swaptions implied volatilities, the BGM interest rate model is applied to Czech koruna and euro interest rate simulations. They are then compared with the real development of given interest rates. It turns out that although the BGM model was developed for the purpose fi nancial derivatives valuation in the environment of developed and liquid fi nancial markets without signifi - cant distortions, resulting simulations are relatively good, and their use can improve interest rate risk management even in the Czech environment.
Keywords: volatility, GARCH, euro, Czech Koruna, interest rate risk, BGM model
Classification-JEL: C580, G170, G180
Pages: 714-758
Volume: 2015
Issue: 6
Year: 2015
File-URL: http://www.vse.cz/polek/download.php?jnl=polek&pdf=1023.pdf
File-URL: http://www.vse.cz/polek/1023
File-Format: text/html
Handle: RePEc:prg:jnlpol:v:2015:y:2015:i:6:id:1023:p:714-758
X-File-Ref: http://www.vse.cz/RePEc/prg/jnlpol/references/1023

Template-Type: ReDIF-Article 1.0
Author-Name: Martin Boďa
Author-Name: Petra Medveďová
Author-Name: Mariana Považanová
Title: (A)symetria v Okunovom zákone v štátoch Vyšehradskej skupiny
Title: (A)symmetry in Okun’s Law in the Visegrad Group Countries
Abstract: Having regard to the importance of the compensation effect between output and unemployment known as Okun’s law for both contemporary economic theory and for practical economic policy, the intent of the paper is to examine the empirical validity of Okun’s law for the four Visegrad Group countries with consideration given to possible asymmetry. Using the quarterly data for the period from Q1/1998 and Q2/2014 and its gap version, Okun’s law is verifi ed for each investigated country and some specifi cs of labour markets are highlighted so as to explain the magnitude of the estimated Okun’s coeffi cients. The contribution of the paper is two-fold. First, this empirical relationship is confi rmed in validity with attention directed to the foursome of countries. Second, the analysis utilizes the non-linear ARDL model proposed in the paper to accommodate possible nonlinearity and asymmetry in Okun’s law. Asymmetry is found and economically reasoned by the specifi cs of the labour market only for Slovakia since there appears to be a different reaction of the unemployment gap to positive output gap and to negative one.
Keywords: Okun’s law, gap version, ARDL model, asymmetric non-linear ARDL model, V4 countries
Classification-JEL: C22, E24, E32
Pages: 741-758
Volume: 2015
Issue: 6
Year: 2015
File-URL: http://www.vse.cz/polek/download.php?jnl=polek&pdf=1024.pdf
File-URL: http://www.vse.cz/polek/1024
File-Format: text/html
Handle: RePEc:prg:jnlpol:v:2015:y:2015:i:6:id:1024:p:741-758
X-File-Ref: http://www.vse.cz/RePEc/prg/jnlpol/references/1024

Template-Type: ReDIF-Article 1.0
Author-Name: Martin Grančay
Author-Name: Nóra Grančay
Author-Name: Jana Drutarovská
Author-Name: Ladislav Mura
Title: Gravitačný model zahraničného obchodu českej a slovenskej republiky 1995-2012: ako sa zmenili determinanty obchodu?
Title: Gravity Model of Trade of the Czech and Slovak Republics 1995-2012: How Have Determinants of Trade Changed?
Abstract: The paper uses Heckman correction to estimate gravity models of trade of the Czech and Slovak Republics for the period 1995-2012. Additionally, separate gravity models are estimated for 4-year panels of the period using Tobit method. The research shows that importance of common border for the countries’ bilateral trade with third countries has been gradually declining. This is in line with accelerating globalization and lower shipping prices. On the other hand, contrary to expectations importance of distance in bilateral trade has not been decreasing; it appears that the so-called “distance puzzle” is present in the Czech and Slovak Republics. The model also confi rms that membership in the European Union is an important determinant of bilateral trade - its statistical signifi cance has been detected since 2004.
Keywords: gravity model, international trade,, Tobit, Heckman correction
Classification-JEL: F14
Pages: 759-777
Volume: 2015
Issue: 6
Year: 2015
File-URL: http://www.vse.cz/polek/download.php?jnl=polek&pdf=1025.pdf
File-URL: http://www.vse.cz/polek/1025
File-Format: text/html
Handle: RePEc:prg:jnlpol:v:2015:y:2015:i:6:id:1025:p:759-777
X-File-Ref: http://www.vse.cz/RePEc/prg/jnlpol/references/1025

Template-Type: ReDIF-Article 1.0
Author-Name: Iveta Pauhofová
Author-Name: Tomáš Želinský
Title: Regionálne aspekty príjmovej polarizácie v Slovenskej republike
Title: Regional Aspects of Income Polarization in the Slovak Republic
Abstract: Abstract Deepening income polarization is perceived as one of economic and social threats of the global world. The aim of this paper is to present development and the current status of incomes in the Slovak Republic, which is the crucial limitation of the present and future consumption growth. The authors further focus on the income levels of elderly, which are perceived as an important group of consumers within the concept of the silver economy. Analyses in the paper are based on microdata from the Social Insurance Agency in Slovakia. According to the results the income polarization in Slovakia is deepening and economic performance of a number of districts is lowering. This results in extreme barriers for regional consumption at present, as well as threat of generation of signifi cantly low level of pensions in the future. It is obvious that structural nature of unemployment is the fundamental problem of income polarization in the Slovak Republic.
Keywords: income polarization, silver economy, incomes, poverty, spatial polarization, Slovakia
Classification-JEL: D31, I31, J14, R12
Pages: 778-796
Volume: 2015
Issue: 6
Year: 2015
File-URL: http://www.vse.cz/polek/download.php?jnl=polek&pdf=1026.pdf
File-URL: http://www.vse.cz/polek/1026
File-Format: text/html
Handle: RePEc:prg:jnlpol:v:2015:y:2015:i:6:id:1026:p:778-796
X-File-Ref: http://www.vse.cz/RePEc/prg/jnlpol/references/1026

Template-Type: ReDIF-Article 1.0
Author-Name: Jaroslav Daňhel
Title: Knihy prokazující lidskou iracionalitu při ekonomickém rozhodování a vady Teorie racionální volby
Volume: 2015
Issue: 6
Year: 2015
File-URL: http://www.vse.cz/polek/download.php?jnl=polek&pdf=1022.pdf
File-URL: http://www.vse.cz/polek/1022
File-Format: text/html
Handle: RePEc:prg:jnlpol:v:2015:y:2015:i:6:id:1022

Template-Type: ReDIF-Article 1.0
Author-Name: Marek Loužek
Title: Ohlédnutí za historií finančních krizí
Pages: 797-800
Volume: 2015
Issue: 6
Year: 2015
File-URL: http://www.vse.cz/polek/download.php?jnl=polek&pdf=1027.pdf
File-URL: http://www.vse.cz/polek/1027
File-Format: text/html
Handle: RePEc:prg:jnlpol:v:2015:y:2015:i:6:id:1027:p:797-800