Politická ekonomie, 2019 (vol. 67), issue 1

Articles

Detekce změn v panelových datech: Změna parametrů Fama-French modelu u vybraných evropských akcií v období finanční krize

Detection of Changes in Panel Data: Change in Fama-French Model Parameters for Selected European Stocks During the Financial Crisis

Jaromír Antoch, Jan Hanousek, Marie Hušková, Jiří Trešl

Politická ekonomie 2019, 67(1):3-19 | DOI: 10.18267/j.polek.1233  

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...

Multiplikátor vládních výdajů při nulové nominální úrokové míře

Government Expenditure Multiplier at Zero Nominal Interest Rate

Tomáš Šestořád

Politická ekonomie 2019, 67(1):20-47 | DOI: 10.18267/j.polek.1215  

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.

Způsoby ukončení kvantitativního uvolňování na příkladech Japonska, Spojeného království a Spojených států amerických

Methods of Exiting Quantitative Easing on the Examples of Japan, the UK and the USA

Stanislav Hába

Politická ekonomie 2019, 67(1):48-64 | DOI: 10.18267/j.polek.1225  

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...

Optimální způsob sjednání derivátu za přítomnosti rizika protistrany

Optimal Method of Entering a Derivative Contract in the Presence of Counterparty Risk

Jan Šedivý

Politická ekonomie 2019, 67(1):65-81 | DOI: 10.18267/j.polek.1217  

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...

Vliv ekonomické krize na úroveň plodnosti ve státech Evropské unie

The Impact of the Economic Crisis on Fertility Levels in EU Member States

Jiřina Kocourková, Anna Šťastná, Alena Černíková

Politická ekonomie 2019, 67(1):82-104 | DOI: 10.18267/j.polek.1230  

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...

Book reviews

Nepřehlížejme čínské vize ani zkušenosti

Pavel Sirůček

Politická ekonomie 2019, 67(1):105-109 | DOI: 10.18267/j.polek.1201  

Wei, X.: Ekonomická a politická transformace Číny: nové rozboryPraha: Filosofia 2017. 192 s. ISBN 978-80-7007-485-5.