Prague Economic Papers, 2007 (vol. 16), issue 4
Original contributions, Original article, Research article
Dynamic Analysis of Selected European Stock Markets
Jiří Trešl, Dagmar Blatná
Prague Economic Papers 2007, 16(4):291-302 | DOI: 10.18267/j.pep.309 
The behaviour of selected European stock indices in the period 2001-2005 was analysed. UKX (GB), DAX (Germany), CAC (France) and MIBTEL (Italy) represented well established West European markets, whereas PX-50 (Czech Republic), SKSM (Slovak Republic), BUX (Hungary) and WIG (Poland) were the examples of Central European emerging ones. The subject of this analysis were logarithmic daily returns computed from closing values of corresponding indices. Cross correlation function reached typical values 0.7 (West Europe) and 0.4 (Central Europe) excepting the Slovak Republic. The patterns of both common and solitary movements were revealed with the use of...
Czech Capital Market Weak-Form Efficiency, Selected Issues
Jan Hájek
Prague Economic Papers 2007, 16(4):303-318 | DOI: 10.18267/j.pep.310
The article discusses several factors that should be addressed when analysing linear dependences and testing the Efficient Market Hypothesis on the Czech capital market in order to avoid possible interpretation biases. The conclusions are based on the empirical analysis of the stock return behaviour in 1995-2005 and the generalization of the up-to-date local studies outcomes. It also discusses the market's relative efficiency compared to capital markets that are considered the most effective worldwide and on the European territory - the American NYSE and the German and Netherlands stock exchanges. Significant linear dependences of daily returns are...
Supply-Side Performance in the Czech Republic: A Macroeconomic View (1995-2005)
Jaromír Hurník, Dana Hájková
Prague Economic Papers 2007, 16(4):319-335 | DOI: 10.18267/j.pep.311
In this paper, we apply the aggregate production function to approximate the path of potential output and decompose it into its determinants. Based on the decomposition we evaluate the supply side performance from a macroeconomic perspective. We use a time-varying NAIRU to derive the amount of potential labour and a newly developed measure of capital services to account for the productive impact of capital. In addition, trend total factor productivity is estimated. During 1995-2000, the growth in potential output was constrained by a gradual increase in the NAIRU, a temporary drop in investment activity and, most importantly, by only a modest rise...
Impact of Accession to Emu on International Trade - Case of the Czech Republic
Filip Tichý
Prague Economic Papers 2007, 16(4):336-346 | DOI: 10.18267/j.pep.312
The goal of this paper is to determine one of the consequences of accession of the Czech Republic to the European Monetary Union. The gravity equation is used to estimate the impact of exchange rate volatility and currency unions on international trade. Model's variables include GDPs per capita and populations of each partners, distance between them, exchange rate volatility and several dummy variables, including those, that are signifying membership of given country in the euro area. This model is estimated by general least squares method using panel data for members of the European Union.
Growth Accounting, Total Factor Productivity and Approximation Problem
Jan Čadil
Prague Economic Papers 2007, 16(4):347-357 | DOI: 10.18267/j.pep.313
The paper deals with the approximation problem of standard growth accounting method first introduced by Solow (1957). This method is still used widely by lots of economists and institutions (IMF, national banks and others) for computing the technological or total factor productivity (TFP) dynamics. According to standard growth accounting the TFP growth is a residual, computed simply out of dynamic Cobb-Douglas (original or modified) production function. The purpose of this paper is to show that the usual TFP calculation as a residual is more or less inaccurate and for certain cases can cause slightly biased conclusions. The idea of such weak approximation...
New Regionalism as a Part of the Transformation Strategy - Cases in Central and Eastern Europe and Asia (Czech Republic, Russia and China)
Pavel Hnát, Eva Cihelková
Prague Economic Papers 2007, 16(4):358-377 | DOI: 10.18267/j.pep.314
New Regionalism differs markedly from previous development of regional integration. These changes are connected mainly to the necessity of regionalism to react to changing global conditions, new world political order and entrance of new actors into regional integration (i.e. states and superpowers that did not take part in previous waves at all or on a limited scale, i.e. China). This applies also for the transforming countries, at which the regionalism can be observed as late as in its third wave during the 1990s (which applies for the Central and Eastern Europe as well as for the Commonwealth of Independent States' countries) or even later (which...