Prague Economic Papers, 2020 (vol. 29), issue 3
A Liquidity Risk Stress-Testing Framework with Basel Liquidity Standards
Hana Hejlová, Zlatuše Komárková, Marek Rusnák
Prague Economic Papers 2020, 29(3):251-273 | DOI: 10.18267/j.pep.732 
We present a macro stress-testing model for banks' market and funding liquidity risks with a survival period of one year. The model follows the main principles of the Basel standards LCR and NSFR. Besides, the model takes into account the impact of both bank-specific and market-wide scenarios and includes second- round effects of shocks due to banks' feedback reactions. The presented methodology is then applied to a sample of Czech banks. This allows us to monitor the sensitivity of their liquidity position to the combination of shocks under consideration.
Planning Cities Development Directions with the Application of Sentiment Analysis
Dorota Jelonek, Cezary Stępniak, Tomasz Turek, Leszek Ziora
Prague Economic Papers 2020, 29(3):274-290 | DOI: 10.18267/j.pep.740
The aim of the article is to present a model of sentiment analysis tool application for planning directions of city development. The study presents a model of using sentiment analysis to build city development strategies as well as realization of projects related to it. The presented model is a part of a larger work on developing the concept of the Regional Spatial Business Community (RSBC). The RSBC is created on the basis of electronic communities built by stakeholders involved in the development of a given city. On the basis of surveys, a six-stage city development procedure is proposed. Using the aforementioned procedure, we describe potential...
Outreach and Effects of the ECB Corporate Sector Purchase Programme
Jakub Jakl
Prague Economic Papers 2020, 29(3):291-314 | DOI: 10.18267/j.pep.729
This paper analyses the effects of the ECB Corporate Sector Purchase Programme (CSPP) on yields of corporate sector bonds and its impact on the corporate sector's debt markets. The CSPP started as a part of an existing asset purchase programme and significantly affected corporate bond markets. Any research undertaken in this area of the ECB's respective actions is fairly limited due to the restrained access to data and its OTC nature. This paper analyses CSPP effects by using two distinct methods - a detailed regression-controlled event study and an impulse-response analysis of constructed VAR models. This study addresses questions regarding time,...
Does Financial Support from ERDF and CF Contribute to Convergence in the EU? Empirical Evidence at NUTS 3 Level
Mindaugas Butkus, Alma Mačiulytė-Šniukienė, Kristina Matuzevičiutė, Diana Cibulskienė
Prague Economic Papers 2020, 29(3):315-329 | DOI: 10.18267/j.pep.737
Analysing papers that reveal by decomposing territorial inequalities in the EU that the share of disparities attributed to the NUTS 3 level has increased over the last 20 years, this paper aims to examine to what extent the financial support in 2000-2006 from ERDF and CF, which are the main regional policy tools but mainly are directed to address the issues arising at the NUTS 2 level, contributed to supporting convergence at the NUTS 3 level. Our re-search strategy relies on combining a conditional β-convergence model and a difference-in-differences (DiD) estimator. Estimations are generated for four alternative post-policy periods, two...
Exploring the Migration Intention of Romanian Students in Economics
Aurelian-Petruș Plopeanu, Daniel Homocianu, Christiana Brigitte Sandu, Elisabeta Jaba
Prague Economic Papers 2020, 29(3):330-350 | DOI: 10.18267/j.pep.736
In the context of increasing concerns about the demographic decline of Europe and the lack of sustainable policies to fight against it, the main purpose of this study is to estimate the migration intention of the Romanian students in economics and business administration and the influence of the determinant factors. Data are collected from a questionnaire survey applied to a sample of 1,155 students at the Alexandru Ioan Cuza University of Iasi. We have applied a multinomial logistic regression model with both simple effects and interactions. The results have brought strong arguments proving the importance of personal value recognition, beliefs and...
How Consumers’ Inflation Expectations Respond to Explosive Periods of Food and Energy Prices: Evidence for European Union Countries
Aytül Ganioğlu
Prague Economic Papers 2020, 29(3):351-377 | DOI: 10.18267/j.pep.717
In this study, using the recent recursive unit root tests proposed by Phillips et al. (2015), we identify and date-stamp periods where food and energy prices deviate explosively relative to other prices in the economy and analyse the implications in terms of anchoring inflation expectations. During the period from January 2003 to July 2018, we have detected the existence of such periods for 17 out of 27 EU countries. Identifying these explosive periods is particularly important since evidence reveals that consumers change, i.e., revise their inflation expectations during periods when headline consumer prices deviate explosively from core...