Browsing by Subject "Tsekki"

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  • Hlédik, Tibor (2003)
    Suomen Pankin keskustelualoitteita 35/2003
    The paper presents a structural model framework for a small open economy.The model, based on optimising households and firms, has been calibrated on Czech macroeconomic data in order to develop an analytic framework suitable for analysing key policy questions related to the Czech Republic s anticipated EMU accession.In order to be able to use the model for assessing both pre- and post-accession policy issues, two versions of the model fixed and flexible exchange rate versions were developed.The suitability of the two alternative models for policy analysis was subsequently tested on a series of impulse response exercises.The dynamic responses of the two models to selected shocks and policy experiments are plausible.Hence these results suggest that the presented analytic framework can serve as a good starting point for analysing complex policy issues facing the Czech Republic. Key words: monetary policy, monetary union, EMU accession JEL classification numbers: E52, E20, E31, F41
  • Crespo Cuaresma, Jesús; Slacik, Tomás (2007)
    BOFIT Discussion Papers 4/2007
    Published in Economics of Transition, Volume 18, Issue 1, January 2010, Pages 123-141
    We propose exploiting the term structure of relative interest rates to obtain estimates of changes in the timing of a currency crisis as perceived by market participants.Our indicator can be used to evaluate the relative probability of a crisis occurring in one week as compared to a crisis happening after one week but in less than a month.We give empirical evidence that the indicator performs well for two important currency crises in Eastern Europe: the crisis in the Czech Republic in 1997 and the Russian crisis in 1998. Keywords: Currency crisis, term structure of interest rates, transition economies. JEL classi.cation: F31, F34, E43.
  • Jokipii, Terhi; Lucey, Brian (2006)
    Bank of Finland Research Discussion Papers 15/2006
    Published in Economic Systems, 31,1, 2007: 71-96
    Making use of ten years of daily data, this paper examines whether banking sector co-movements between the three largest Central and Eastern European Countries (CEECs) can be attributed to contagion or to interdependence. Our tests based on simple unadjusted correlation analysis uncover evidence of contagion between all pairs of countries. Adjusting for market volatility during turmoil, however, produces different results. We then find contagion from the Czech Republic to Hungary during this time, but all other cross-market co-movements are rather attributable rather to strong cross-market linkages. In addition, we construct a set of dummy variables to try to capture the impact of macroeconomic news on these markets. Controlling for own-country fundamentals, we discover that the correlations diminish between the Czech Republic and Poland, but that coefficients for all pairs remain substantial and significant. Finally, we address the problem of simultaneous equations, omitted variables and heteroskedasticity, and adjust our data accordingly. We confirm our previous findings. Our tests provide evidence in favour of parameter instability, again signifying the existence of contagion arising from problems in the Czech Republic affecting Hungary during much of 1996.
  • Bonin, John; Wachtel, Paul (2004)
    BOFIT Discussion Papers 22/2004
    Published in Systemic Financial Crises: Resolving Large Bank Insolvencies, D. Evanoff, G. Kaufman, eds., World Publishing, 2005
    We examine the efforts of transition economies to deal with financial fragility and resolve banking cries We characterize the birthing process of banking in transition and the three essential features of banking crises in transition economies: (i) bad loans and the relationship to state owned industries, (ii) development of institutional infrastructure and (iii) credible commitments to resolution and privatization.We then discuss the experiences of seven important transition countries in order to identify the salient features of their efforts to resolve banking crises.
  • Égert, Balázs; Lommatzsch, Kirsten (2004)
    BOFIT Discussion Papers 9/2004
    This paper sets out to estimate equilibrium real exchange rates for the Czech Republic, Hungary, Po-land, Slovakia and Slovenia.A theoretical model is developed that provides an explanation for the ap-preciation of the real exchange rate based on tradable prices in the acceding countries.Our model can be considered as a competing but also completing framework to the traditional Balassa-Samuelson model.With this as a background, alternative cointegration methods are applied to time series (Engle-Granger, DOLS, ARDL and Johansen) and to three small-size panels (pooled and fixed effect OLS, DOLS, PMGE and MGE), which leaves us with around 5,000 estimated regressions.This enables us to examine the uncertainty surrounding estimates of equilibrium real exchange rates and the size of the underlying real misalignments. Keywords: Real exchange rate, equilibrium exchange rate, tradable prices, transition, cointegration JEL: F31
  • Mehrotra, Aaron; Slacik, Tomás (2009)
    BOFIT Discussion Papers 18/2009
    We evaluate the monetary determinants of inflation in the Czech Republic, Hungary, Poland and Slovakia by using the McCallum rule for money supply. The deviation of actual money growth from the rule is included in the estimation of Phillips curves for the four economies by Bayesian model averaging. We find that money provides information about price developments over a horizon of ten quarters ahead, albeit the estimates are in most cases rather imprecise. Moreover, the effect of excessive monetary growth on inflation is mixed: It is positive for Poland and Slovakia, but negative for the Czech Republic and Hungary. Nevertheless, these results suggest that money does provide information about future inflation and that a McCallum rule could potentially be used in the future as an additional indicator of the monetary policy stance once the precision of the estimation improves with more data available.
  • Habib, Maurizio Michael (2002)
    BOFIT Discussion Papers 7/2002
    This paper studies the impact of external factors on daily exchange rates and short-term interest rates in the Czech Republic, Hungary and Poland during the period August 1997 - May 2001.Ind that neither exchange rates nor interest rates are influenced by short-term German interest rates.Nevertheless, 1 show that shocks to emerging-market risk premia had a significant impact on exchange rates in all three Central and Eastern European countries and on interest rates in the Czech Republic.In addition, studying the second moment of the variables, 1 demonstrate that Czech and Polish exchange rates were affected by 'volatility contagion' coming from emerging markets. 1 find also some partial support for the 'volatility contagion' hypothesis on Czech interest rates.These findings shed some doubts on the alleged theoretical ability of a floating exchange rate - such as in the Czech Republic - to absorb external shocks and insulate a country's domestic monetary policy completely.However, the spill-over effect on Czech interest rates might be explained by the 'managed' nature of the exchange rate regime, thereby re-establishing some credibility of the theory. Key words: exchange rates, short-term interest rates, volatility, Czech Republic, Hungary, Poland
  • Jokipii, Terhi (2006)
    Bank of Finland Research Discussion Papers 22/2006
    This paper studies the extent to which market crashes are predictable for a set of six countries, focusing in particular on possible differences between transition economies (The Czech Republic, Hungary and Poland) and mature markets (UK, US and EU). We estimate a set of individual country and pooled specifications to find that market crashes, in the broader sense, are predictable for all countries analysed.We additionally investigate the role that investor heterogeneity, proxied by trading volume, plays in this predictability and find some varying results between countries.For the Central and Eastern European Countries (CE3), an increase in trading volume relative to trend appears to have great predictive power, a result that is supportive of the theory of investor heterogeneity outlined in the relevant background studies. For the more mature markets (G5), on the other hand, market crashes appear more likely to follow a period of increased stock prices and returns, a result fitting a number of traditional theories, in particular the stochastic bubble model.Further analysis, allowing for time-varying coefficients, confirms the volume-crash relationship for the CE3 and provides preliminary evidence that macro news releases may additionally contribute to the predictability of market crashes. Keywords: aggregate market returns, skewness, trading volume, market crash JEL classification numbers: C14, G12, G15
  • Bask, Mikael; Fidrmuc, Jarko (2006)
    Bank of Finland Research Discussion Papers 10/2006
    Published in Open Economies Review, Volume 20, Issue 5, November 2009, Pages 589-605
    We present a model of exchange rates, which incorporates the monetary approach and technical trading, and we present the reduced form based on the minimal state variable solution, where both fundamentals and backward-looking term determine the spot exchange rates.Finally, we estimate the impact of the monetary fundamentals for a panel of Central and Eastern European countries (Czech Republic, Poland, Romania and Slovakia) in the second half of the 1990s as well as the complete model of exchange rate determination for daily data over the more recent free-floating period.Key words: foreign exchange market, fundamental analysis, panel cointegration, technical analysis JEL classification numbers: C23, F31, F36
  • Jakubik, Petr (2011)
    BOFIT Discussion Papers 7/2011
    This paper studies the economic impact of the current global economic downturn on the household sector. Household budgets can be negatively affected by declines in nominal wages and increases in unemployment. We empirically test this effect for the small open emerging economy. As a result of a lack of individual data on household finances, micro data are simulated. Our analysis clearly shows that there is a significant additional decline in consumption related to an increase in household default rates and unemployment. We find that potential household insolvencies have important implications for the financial system as well as for the macroeconomy.
  • Horvath, Roman; Seidler, Jakub; Weill, Laurent (2013)
    BOFIT Discussion Papers 16/2013
    Published in Economic Modelling, Volume 52, Part A, January 2016, Pages 155–161. Special Issue on Recent Developments in Decision-Making, Monetary Policy and Financial Markets.
    This paper evaluates the effect of bank competition on liquidity creation by banks. Thus, we contribute to the literature on both bank competition and the determinants of liquidity creation by banks. To explore this relationship, we conduct dynamic GMM panel estimations on a dataset of Czech banks from 2002 to 2010. We find that enhanced competition reduces liquidity creation, a finding we observe under different specifications, including alternative measures of liquidity creation. We explain this finding in terms of the impact of increased bank competition on the financial fragility of banks, which leads banks to reduce their lending and deposit activities. The evidence suggests that pro-competitive policies in the banking industry can reduce liquidity provision by banks. JEL Codes: G21. Keywords: bank competition, liquidity creation.
  • Égert, Balázs (2002)
    BOFIT Discussion Papers 6/2002
    Published in Economics of Transition vol 10, no 2 (2002), pp. 273-309
    This paper studies the Balassa-Samuelson effect in the Czech Republic, Hungary, Poland, Slovakia and Slovenia.Time series and panel co-integration techniques are used to show that the BS effect works reasonably well in these transition economies during the period 1991:Ql to 2001:Q2.However, productivity growth does not fully translate into price increases due to the structure of CPI indexes.We thus argue that productivity growth will not hinder the ability of the five EU accession candidates to meet the Maastricht criterion on inflation in the medium term.Moreover, the observed appreciation of the CPI-deflated real exchange rate is found to be systematically higher compared to the real appreciation justified by the Balassa-Samuelson effect, particularly in the cases of the Czech Republic and Slovakia.This may be partly explained by the trend appreciation of the tradable-goodsprice-based real exchange rate, increases in non-tradable sector prices due to price liberalisation and demand-side pressures, and the evolution of the nominal exchange rate due to the exchange rate regime and magnitude of capital inflows.
  • Korhonen, Iikka (2002)
    BOFIT Online 10/2002
    The paper estimates the Monetary Condition Indices (MCIs) for three EU accession countries: the Czech Republic, Poland and Slovakia and assesses the relative importance of interest rates and of the exchange rate in the transmission of monetary policy.The calculated MCI ratios indicate that the exchange rate has surprisingly little influence on the Slovakian economy.The MCI ratio for the Czech Republic is very much comparable to that of small EU countries.Poland seems to be extremely sensitive to changes in the exchange rate.However, estimations appear to be quite sensitive to different specifications, and therefore should be treated with caution. Key words: Monetary policy, Monetary Condition Index, the Czech Republic, Poland, Slovakia
  • Nivorozhkin, Eugene (2003)
    BOFIT Discussion Papers 2/2003
    Published in Economics of Planning vol 37, no 1 (2004), pp. 25-45
    This paper uses a dynamic unrestricted capital structure model to examine the determinants of the private companies' target financial leverage and the speed of adjustment to it in two transition economies, the Czech Republic and Bulgaria.We explicitly model the adjustment of companies' leverage to a target leverage, and this target leverage is itself explained by a set of factors.The panel data methodology combines cross-section and time-series information.The results indicate that the Bulgarian corporate credit markets were less supply constrained than those of the Czech Republic during the period under investigation.Bulgarian companies adjusted much faster to the target leverage than Czech firms.The speed of adjustment related positively to the distance between target and observed ratio for Bulgarian companies while the relationship was neutral for Czech companies.The conservative policies of Czech banks and the exposure control were likely responsible for the slower adjustment among the larger companies while the opposite were true for Bulgarian banks and companies. G30, G32, O12, O52 capital structure; leverage; dynamic adjustment model; the Czech Republic; Bulgaria
  • Winiecki, Jan (2001)
    BOFIT Discussion Papers 12/2001
    Published in Problems of Economic Transition vol 45, no 11 (2003), pp. 6-38
    The central theme of this paper is the role of the new, entrepreneurial private sector, established after the fall of communism, in output recovery, and, more generally, in economic expansion of post-communist economies.This role is considered specifically in the context of the successes in Poland, the Czech Republic, and Hungary.The author notes a substantial difference between the performance of the new private sector and the privatized sector in the short to medium run (3-7 years) from the start of privatization.New private firms typically enter the economic game with well-established de jure and de facto property rights and with industrial relations based on market economy rules. Unlike the public sector or privatized firms, the labor force of these firms is not demoralized by the change to market-economy rules.As a result, they often perform better and are quick to increasing their share of aggregate output.This also helps the economy as a whole emerge earlier from transitional recession.The author discusses two hypothetical paths of recovery and expansion; one with and one without a dynamic new private sector.The determinants for establishing and growth of new private firms are considered.In addition to the specific rules and general framework of transition, the study concludes that broad institutional fundamentals of political liberty, law and order, and trust contribute to the successful emergence of this new entrepreneurial sector.Key words: new private sector, transition, growth, Poland
  • Kaitila, Ville (1999)
    BOFIT Discussion Papers 8/1999
    This study analyses the trade of Hungary and the Czech Republic with the European Union in 1997.After a general introduction, the focus turns to the extent of intra-industry trade (IIT) and its horizontal and vertical components.The extent of IIT is also analysed in light of the flows of foreign direct investment (FDI) from the European Union to Hungary and the Czech Republic.This is followed by an analysis of revealed comparative advantage (RCA) in trade between the EU and the two Central European countries.The CN4-digit trade data is divided into two groups according to whether a country enjoys a revealed comparative advantage in a given market area or not.Statistical tests are performed to determine the extent to which the RCA structures of each pair of countries are dependent.The analysis also takes into account the volumes of trade flows. Keywords: revealed comparative advantage, intra-industry trade, Hungary, Czech Republic, EU
  • Fedorova, Elena (2011)
    BOFIT Discussion Papers 24/2011
    With the rise of interconnected global financial systems, there is an increased risk that a financial crisis in one country may spread to others. The contagion effects of the 2008 global financial crisis hit advanced economies fast and hard while sparing less developed and less integrated financial systems. The present study focuses on the contagion effects at Eastern European stock markets and changes in their interconnections after EU accession in 2004. Specifically, we investigate the relationship among the stock market sectors of Poland, Hungary and the Czech Republic during 1998-2009 and their exposure to on-shored financial risk. The evidence suggests direct linkages between different stock market sectors with respect to returns and volatilities with increased equity-shock transmission between markets after EU accession in 2004. Of particular note is the intra-industry contagion in emerging Europe. Our findings have implications for asset pricing and portfolio selection for international financial institutions and financial managers.
  • Korhonen, Iikka; Peresetsky, Anatoly (2013)
    BOFIT Discussion Papers 4/2013
    Published in Emerging Markets Finance and Trade, Volume 52, Issue 5, 2016: 1210-1225 as "What Influences Stock Market Behavior in Russia and Other Emerging Countries?"
    We empirically test the dependence of the Russian stock market on the world stock market and world oil prices in the period 1997:10-2012:02. We also consider three Eastern European stock markets (Poland, the Czech Republic, and Hungary), as well as two markets outside Europe (Turkey and South Africa). We apply a rolling regression to identify periods when oil prices or stock indices in the US and Japan were important. Surprisingly, oil prices are not significant for the Russian stock market after 2006. A TGARCH-BEKK model is employed to assess the degree of correlation between markets, taking into account the global market stochastic trend. We find that correlation between markets increased between 2000 and 2012. Growth was especially high in Eastern European markets during 2004-2006, which is likely connected with the EU accession of these countries in 2004. Key words: Russian stock market, oil, financial market integration, stock market returns, news, emerging markets, transition economies. JEL: G10, G14, G15, C5.