Template-Type: ReDIF-Article 1.0
Author-Name: Tomáš Šestořád
Title: Multiplikátor vládních výdajů při nulové nominální úrokové míře
Title: Government Expenditure Multiplier at Zero Nominal Interest Rate
Abstract: This paper attempts to verify the economic theory that the government expenditure multiplier is higher at the zero lower bound than under normal circumstances. The theory is tested by a vector autoregression on US data between 1955 and 2015. The results obtained suggest a higher multiplier during the 1980s and 1990s than after 2000, when the zero lower bound was reached. According to our results, the proposed economic theory has been rejected. The persistence of the government spending shock is a possible explanation why the multiplier is not higher at the zero lower bound.
Keywords: vector autoregression, zero lower bound, government expenditure multiplier
Classification-JEL: C32, E52, F41
Pages: 20-47
Volume: 2019
Issue: 1
Year: 2019
File-URL: http://www.vse.cz/polek/download.php?jnl=polek&pdf=1215.pdf
File-URL: http://www.vse.cz/polek/1215
File-Format: text/html
Handle: RePEc:prg:jnlpol:v:2019:y:2019:i:1:id:1215:p:20-47
X-File-Ref: http://www.vse.cz/RePEc/prg/jnlpol/references/1215

Template-Type: ReDIF-Article 1.0
Author-Name: Jan Šedivý
Title: Optimální způsob sjednání derivátu za přítomnosti rizika protistrany
Title: Optimal Method of Entering a Derivative Contract in the Presence of Counterparty Risk
Abstract: The paper deals with the optimal strategy for entering a derivative contract under existence of counterparty credit risk. Derivative contracts can be traded in three ways - bilaterally without any collateral agreement, bilaterally with collateral agreement or through a central counterparty. Our goal is to define rules for determining the most efficient way of trading. We take into account credit value adjustment, funding costs and capital costs related to regulatory requirements. In our empirical research, we focus on interest rate swaps with different maturities, specifically we analyse the impact of own and counterparty credit spreads on the overall costs. The results show higher efficiency of central clearing for investors with high creditworthiness. The costs of central clearing are very sensitive with respect to own credit spread and, therefore, the final decision depends on the actual relation with counterparty spread.
Keywords: counterparty credit risk, credit valuation adjustment, funding valuation adjustment, regulatory requirements
Classification-JEL: G13, G21, G32
Pages: 65-81
Volume: 2019
Issue: 1
Year: 2019
File-URL: http://www.vse.cz/polek/download.php?jnl=polek&pdf=1217.pdf
File-URL: http://www.vse.cz/polek/1217
File-Format: text/html
Handle: RePEc:prg:jnlpol:v:2019:y:2019:i:1:id:1217:p:65-81
X-File-Ref: http://www.vse.cz/RePEc/prg/jnlpol/references/1217

Template-Type: ReDIF-Article 1.0
Author-Name: Stanislav Hába
Title: Způsoby ukončení kvantitativního uvolňování na příkladech Japonska, Spojeného království a Spojených států amerických
Title: Methods of Exiting Quantitative Easing on the Examples of Japan, the UK and the USA
Abstract: The article describes both the theory and the practice of exiting from the unconventional monetary policy of quantitative easing (QE). At the theoretical level, the following issues are outlined: exit step sequence, options to decrease the amount of securities purchased, relationship between exit and interest rate hike, communication of the change and liquidity-absorbing instruments. Further, examples from Japan, the United Kingdom and the USA are introduced, especially regarding their experience with the QE exit. In detail, the monetary policy-related numbers (QE purchases, QE portfolio, central bank balance sheet, monetary base and reserves) are observed both before and after the exit announcement. The charts of these changes prove to be substantially different, mainly due to unique key features of each QE policy and diverse exit strategies.
Keywords: quantitative easing, unconventional monetary policy, exit strategy, large-scale asset purchases
Classification-JEL: E52, E58, E65
Pages: 48-64
Volume: 2019
Issue: 1
Year: 2019
File-URL: http://www.vse.cz/polek/download.php?jnl=polek&pdf=1225.pdf
File-URL: http://www.vse.cz/polek/1225
File-Format: text/html
Handle: RePEc:prg:jnlpol:v:2019:y:2019:i:1:id:1225:p:48-64
X-File-Ref: http://www.vse.cz/RePEc/prg/jnlpol/references/1225

Template-Type: ReDIF-Article 1.0
Author-Name: Jiřina Kocourková
Author-Name: Anna Šťastná
Author-Name: Alena Černíková
Title: Vliv ekonomické krize na úroveň plodnosti ve státech Evropské unie
Title: The Impact of the Economic Crisis on Fertility Levels in EU Member States
Abstract: The aim of this paper is to assess the impact of the economic crisis which commenced in 2008 on fertility levels across the EU, i.e., whether the onset of the crisis influenced the fertility trends and whether the various countries differed in terms of their response to the crisis. The relationship between the two economic indicators GDP per capita and unemployment rate and the total fertility rate as the dependent variable was explored employing panel regression models. Simultaneously, an investigation was conducted into which indicator better fits the modelling of the influence of macro-economic conditions of individual countries on the fertility levels. Data on 28 EU member states from the period 2001 to 2013 were included in the analysis. The results revealed that the onset of the economic crisis exerted a fundamental effect on fertility. In addition, it was found that the two economic indicators were interchangeable in terms of the effects exerted. In conclusion, it was determined that the findings support the supposition that fertility tends to be pro-cyclical in character.
Keywords: unemployment rate, cluster analysis, regression analysis, fertility, economic crisis, GDP per capita
Classification-JEL: C51, C52, J11, O15
Pages: 82-104
Volume: 2019
Issue: 1
Year: 2019
File-URL: http://www.vse.cz/polek/download.php?jnl=polek&pdf=1230.pdf
File-URL: http://www.vse.cz/polek/1230
File-Format: text/html
Handle: RePEc:prg:jnlpol:v:2019:y:2019:i:1:id:1230:p:82-104
X-File-Ref: http://www.vse.cz/RePEc/prg/jnlpol/references/1230

Template-Type: ReDIF-Article 1.0
Author-Name: Jaromír Antoch
Author-Name: Marie Hušková
Author-Name: Jan Hanousek
Author-Name: Jiří Trešl
Title: Detekce změn v panelových datech: Změna parametrů Fama-French modelu u vybraných evropských akcií v období finanční krize
Title: Detection of Changes in Panel Data: Change in Fama-French Model Parameters for Selected European Stocks During the Financial Crisis
Abstract: This study identifies systemic break points in a factor pricing model for firms traded on European stock markets around the financial crisis. The aim is to shed light on the systemic risk transfer in explaining average stock returns in the fragmented European exchanges. Our analysis takes advantage of recent development in econometrics and employs models which enable “automatic” detection of factor model break points. We find that Western European exchanges are more closely integrated with American financial markets than Northern European stock exchanges and those in the United Kingdom. However, all exchanges were eventually affected by the systemic shock. The results of this study provide insight into immunisation strategies for portfolios created from European stocks.
Keywords: panel data, asset pricing, change point detection, Fama-French four-factor model, sum-type test statistics
Classification-JEL: C10, C23, G01, G11, G12
Pages: 3-19
Volume: 2019
Issue: 1
Year: 2019
File-URL: http://www.vse.cz/polek/download.php?jnl=polek&pdf=1233.pdf
File-URL: http://www.vse.cz/polek/1233
File-Format: text/html
Handle: RePEc:prg:jnlpol:v:2019:y:2019:i:1:id:1233:p:3-19
X-File-Ref: http://www.vse.cz/RePEc/prg/jnlpol/references/1233

Template-Type: ReDIF-Article 1.0
Author-Name: Pavel Sirůček
Title: Nepřehlížejme čínské vize ani zkušenosti
Pages: 105-109
Volume: 2019
Issue: 1
Year: 2019
File-URL: http://www.vse.cz/polek/download.php?jnl=polek&pdf=1201.pdf
File-URL: http://www.vse.cz/polek/1201
File-Format: text/html
Handle: RePEc:prg:jnlpol:v:2019:y:2019:i:1:id:1201:p:105-109