Estimation of the Behavioral Equilibrium Real Exchange Rate of the Czech Koruna

Purpose of the article The paper examines the behavior of the real exchange rate in the Czech Republic. It focuses on the analysis of its driving forces with the emphasis on the turbulences which have been lately seen in the financial and real sector of the economy. Methodology/methods Real equilibrium exchange rate can be estimated using various approaches ranging from purely statistical to fully structural models. In this paper it is estimated using the BEER methodology, i.e. behavioral equilibrium exchange rate. The BEER approach as applied here rests on building vector error correction models which relate the behavior of the actual real exchange rate to various economic fundamentals from both the real and financial sector of the economy. Scientific aim The estimated behavioral equilibrium exchange rate serves as a benchmark to which the actual behavior of real exchange rate is compared. The paper also points to various problems that are faced when estimating the real equilibrium exchange rate in a posttransitive economy. Findings Three variants of the model, which differ in the respective fundamental variables inluded in the estimation, are estimated in the paper. The gap between the estimated real equilibrium exchange rate and real exchange rate as well as the key determinants of the real equilibrium exchange rate are analyzed and compared. The models show that the misalignment between the real exchange rate and fundamentals have narrowed in the recession and post recession period. The key drivers of the real equilibrium exchange rate are the productivity differential, real interest rate differential and net foreign assets. Conclusions (limits, implications etc) The relatively short time series for the Czech economy, especially for some of the variables, do not enable to make reliable estimation of models which would include all of the variables discussed in this paper

Estimating the Dynamics of Weak Efficiency on the Prague Stock Exchange Using the Kalman Filter

The paper builds on the martingale representation of the market efficiency hypothesis and, with the use of an E-GARCH model of the volatility of the PX and PX-GLOBAL daily returns, a state-space model is formulated. Using the Kalman filter, the time-varying dependency of the daily returns on their lagged values is estimated. The estimation of this parameter shows how quickly the Prague Stock Exchange, represented by its PX index and PX-GLOBAL index, has gradually moved toward the condition of weak efficiency.GARCH, Kalman filter, martingale, weak-efficiency

Information Efficiency of the Capital Market: a Stochastic Calculus Approach Evidence from the Czech Republic (in English)

This paper deals with an important characteristic of the capital market: information efficiency. With the use of geometric Brownian motion, the authors run several projections of stock prices based on varying amount of historic information and compare these projections with the real behavior of the stock prices, examining for predictability. This enables to verify the condition of the weak-efficiency hypothesis in the form of a Markov process. The authors conduct the empirical part of their analysis in the environment of the Czech capital market, thus providing additional information on the development of transition economies.Monte Carlo, stochastic calculus, weak-form information efficiency

The Asymmetric Impacts of Fiscal Consolidation on Poverty and Social Exclusion: Regional Perspective

The presented paper contributes to the current state of discussion about the effects of fiscal policy on economic activity in three key points. It focuses on the effects of fiscal policy on poverty and social exclusion instead of on broad measures of economic performance, the analysis is performed on the regional level of some EU national economies and it focuses on possible asymmetric impacts according to the level of the economic performance of the regions regarding the national levels. The results show that fiscal restrictions, both expenditure and income-oriented, have significant negative impacts on both poverty and social exclusion. Especially as far as social exclusion is concerned the impacts on the already underperforming regions seem to be even more profound. When poverty is considered as a measure of inequality instead of social exclusion then revenue-oriented fiscal restrictions seem relatively more harmful than expenditure-oriented fiscal consolidations as far as the underperforming regions are concerned

Economic Performance and Competitiveness Indicators: The Case of African Economies

This paper presents a statistical analysis of the relationship between economic performance and competitiveness indicators to address the question of the extent to which competitiveness indicators provideuseful information when assessing economic performance. The analysis was performed on various examples of African economies. The possible relationships between economic performance and competitiveness indicators were examined by extending a basic relationship between economic performance per capita and investment by competitiveness indicators. The models were estimated by means of an Arellano-Bond estimator. The authors detected many statistically significant relationships between economic performance and competitiveness indicators in the cases of both the whole sample and specifically middle-income economies. However, in the case of low-income economies there are no discernible relationships between economic performance and the information included in the competitiveness indicators. The paper contributes to the analysis of the economic performance of African economies, for which the empirical evaluation of possible links between economic performance and competitiveness indicators is altogether missing

A Statistical Analysis of Productivity and Compensation of Labour in the EU

The presented paper first discusses possible hypotheses on the relationship between compensation and labor productivity, arguing equiproportionality between the two cannot be considered a viable economic hypothesis. The main part of the analysis focuses on the EU countries, presenting a detailed view of the developments in the past twenty years from the point of view of both nominal and real unit labor costs. It shows that the relationship between compensation and labor productivity varies greatly among the economies and no general conclusions may be drawn. In case of the Czech Republic the estimates show that responsiveness of compensation to productivity is relatively high as compared with the EU panel and the growth of compensation surpasses the growth of productivity in both nominal and real terms as compared with the EU or Germany as a benchmark

Alternative Theories of the Firm in the Context of some Aspects of the Capital Market

Disertační práce se zabývá teoretickou analýzou firmy v kontextu její hodnoty a to zejména prismatem manažerských teorií firmy. Na základě teoretické analýzy jsou formulovány čtyři hypotézy sledující vztah mezi hodnotou firmy a vybranými aspekty vlastnické struktury nebo fundamentálními faktory. Výsledky empirické analýzy jsou interpretovány jak ve vztahu k řízení firmy tak ve vazbě na investiční rozhodování na kapitálovém trhu

The Role of fundamentals factors of empirical analysis of the Prague stock exchange

The paper presents an empirical analysis of the Prague stock exchange as a whole approximated by the index and also selected issues traded on the Prague stock exchange. The goal of the paper is to verify the relationship between the market as a whole and the selected issues on one hand and selected fundamentals on the other hand. The results carry useful information in the context of both economic theory, especially with respect to market efficiency hypothesis, and business administration, mainly in the area of financial management.efektivita trhu, fundamentální faktory, empirická analýza, empirical analysis, market efficiency, fundamentals

Managerial models of the firm

This paper deals with a broad and controversial part of microeconomic theory represented by the theory of the firm. An overview of the main line of criticism of the orthodox (classical) theory of the firm and also of the theories proposed as reactions to one or more aspects of this criticism is given. However, the attention is attached to managerial theories of the firm, which are represented especially by the models of Baumol, Williamson and Marris. In each case the assumptions of the particular theory are stated, followed by graphical and mathematical exposition of its main conclusions. Finally, the paper concludes with a brief discussion of the contributions and setbacks of managerial theories.Classical theory, Scitovsky model, Agency theory, Baumol model, Williamson model, Marris model