Acta Oeconomica Pragensia, 2014 (vol. 22), issue 1

Simulating Bivariate Stationary Processes with Scale-Specific Characteristics

Milan Bašta

Acta Oeconomica Pragensia 2014, 22(1):3-26 | DOI: 10.18267/j.aop.423  

By modifying and generalizing the wavelet-based approach of approximately simulating univariate long-memory processes that is available in the literature, we propose a methodology for simulating a bivariate stationary process, whose components exhibit different relationships at different scales. We derive the formulas for the autocovariance and cross-covariance sequences of the simulated bivariate process. We provide a setting for the parameters of the simulation which might generate a bivariate time series resembling that of stock log returns. Using this setting, we study the properties of our methodology via Monte Carlo simulation.

Macroeconomic Modelling of a Firm's Default

Michal Řičař

Acta Oeconomica Pragensia 2014, 22(1):27-40 | DOI: 10.18267/j.aop.424  

Enormous development of firm valuation from many aspects can be seen in the recent period. One of the main fields is scoring, which provides a probability verdict about the future development of a firm: its probability of default. This article focuses on introducing macroeconomic modelling using VEC models to predict the future level of default in the Czech economy. Our results have proven a general connection between corporate defaults and the macroeconomic condition of the economy, which is going through a convergence process. The specific findings are new and have not been observed yet. A connection between the GDP and defaults revealed a positive...

The New Keynesian Dsge Model and Alternative Monetary Policy Rules in the Czech Republic

Milan Bouda

Acta Oeconomica Pragensia 2014, 22(1):41-55 | DOI: 10.18267/j.aop.425  

The paper deals with a comparison of alternative monetary policy rules also known as Taylor rules. First, a New Keynesian DSGE model is specified. Results of this model are used as a benchmark. These results are obtained using Bayesian techniques. Bayesian techniques are used for both the estimation and the subsequent model comparison. The main experiment introduces three modifications to monetary policy rules. One specifies simple, Svensson and forward-looking monetary policy rules. The estimation is performed on Czech data and the period is from 2000Q1 to 2012Q3. Each specification of the New Keynesian model contains the same observed variables,...

The Theory of the Free Trade Area As a Possible Form of Future Cooperation of the European Union with The US

Jana Kovářová

Acta Oeconomica Pragensia 2014, 22(1):56-71 | DOI: 10.18267/j.aop.426  

The European Union and the United States of America present the world's largest exporter and importer of goods, services and capital. The idea of increasing foreign trade between them based on the implementation of the lowest degree of economic integration, a free trade area, is not new. A proposal was made in the 1990s to create a Transatlantic Free Trade Area between the EU and member countries of the North American Free Trade Agreement, which has not been successfully implemented. Nowadays, it is getting back to the forefront of interest among not only politicians but also economists. Whether political or economic pressures are behind this step,...

Analysis of Europe 2020 Indicators Using Regression Analysis

Dagmar Blatná, Lenka Hudrlíková

Acta Oeconomica Pragensia 2014, 22(1):72-93 | DOI: 10.18267/j.aop.427  

Europe 2020 is a set of eight indicators used by the European Commission for monitoring headline targets of the Strategy for Smart, Sustainable and Inclusive Growth, which is considered to be the successor of the Lisbon Strategy. Values of these indicators vary among the European countries. Because some countries can be identified as outliers, robust regression as an acceptable analytic tool was applied. The aim of the paper is to construct relevant regression models for each Europe 2020 indicator as a dependent variable. The targets of the Europe 2020 indicators can be achieved by targeting some specific economic, social and environmental indicators.