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Risk management for banking products can be challenging in general, but is even more risky in a global, low interest rate environment. This paper deals with the risk management of savings accounts, a bank product defined as a non-maturing account with embedded option that bears a relatively attractive rate of return. We focus on the interest rate risk of savings accounts. By constructing the replicating portfolio and simulating market rates and client rates, we show that under the severest scenario, some banks in the Czech Republic might face a significant capital shortage in next two years if market rates start to increase dramatically from recent low levels. We conclude that savings accounts are riskier liabilities than current accounts and term deposits for banks. Moreover, we propose imposing stricter regulation and supervision on these bank products since they might increase systemic risk of the Czech banking sector in coming years.

Arrangements to cooperate on innovation facilitate access to external sources of knowledge. By using panel data derived from the five waves of Community Innovation Survey in the Czech Republic, we examine whether firms engage in these arrangements persistently or rather revert to other behaviour. Econometric estimates of dynamic random effects and multivariate probit models provide strong support to the thesis of persistence, particularly of linkages with the university sector and suppliers. The results are robust to the initial conditions problem and serial correlation in idiosyncratic errors. Government programmes initiating cooperation on innovation therefore have the potential to induce durable changes in the innovative behaviour of firms.

Environmental information disclosure instruments inevitably also carry information costs. It is important to pay attention to these costs because of the competitiveness issues connected with the regulatory burden of the private sector or the overall cost-effectiveness of different types of environmental regulation from the public sector point of view. We undertake an ex-post analysis to quantify and analyse reporting costs of private sector induced by the European Pollutant Release and Transfer Register (E-PRTR). We focus on the case of the Czech Republic. The average annual reporting costs, additional to other reporting duties, are € 365 per facility. The Czech PRTR comprises 8 times more facilities than required by the European law, and thereby increases correspondingly the total reporting costs. The best predictor variable of the costs is the need for measuring or calculating additional releases or transfers beyond the information requirements of other registers.

Many countries decided to launch car scrapping schemes during the 2009 crisis in order to support their car industries and to boost domestic demand. Owing to the existence of significant international trade links in the automotive sector, there is also a strong theoretical foundation for cross-border effects of such scrappage programmes. This paper explores spillovers of the German scheme to the Czech economy on the basis of a close mutual trade link between these two countries and the size of the Czech automotive sector. It is demonstrated that the German programme provided for a significant boost for Czech personal car exports, which were also coupled with increased imports due to large import requirements of the Czech automotive segment. Overall, the contribution of first-round effects of the German car scrapping scheme to the Czech real GDP growth in 2009 is estimated to have reached between 0.4 and 0.5 percentage points.

The work flexibility is considered as an integral part of the modernization of the labour market and also as an effective solution of the current problems at the labour market. The paper is therefore focussed on this problem in terms of the working time organization, as well as selected forms of employment in developed countries. We pay an attention to theoretical issues and practical application of work flexibility. Appling the methods of spatial comparison and cluster analysis, we identify the key differences and similarities in labour flexibility among selected countries. There are rather significant differences between groups of countries. The results of panel data regression largely indicate that higher flexibility on the labour market could have positive impact on the reduction of unemployment in the future, especially when taking into account the two years lag.

With the European Union expansion in 2004 providing a unique form of natural experiment, this paper uses the European Values Study data and the difference-in-differences estimation to identify causal effects of the EU expansion on migrants’ employment chances and income. Estimation results suggest that the expansion has increased migrants’ employment chances and income. The probability of having a full-time employment for a male migrant in the postexpansion period increases by about 7.7 percentage points. The increase in income for male migrants is higher than that of their female counterparts after the expansion. When the income distribution is broken down into quantiles, estimation results show that male migrants at lower ends of the income distribution experience higher increase in income. At the highest end of the income distribution, there is no evidence that the expansion has any significant effect on either male or female migrants´ income.

The relationship between economic growth and unemployment is well known. The growth of gross domestic product leads to a fall in unemployment and, reversely, its fall is associated with a rise in unemployment. The paper deals with the estimation of Okun's coefficient for EU28 countries between years 2001 and 2014. Additionally, two sub-periods are also analysed. These represent the pre-crisis period 2001-2007 and the post-crisis period 2008-2014. The result shows higher Okun's coefficient in the post-crisis period. Unemployment in that period responded to changes in gross domestic product more sensitively than in the pre-crisis period. As a result, in order to decrease unemployment, lower economic growth was necessary in the post-crisis period compared to the pre-crisis one.

Profitability of a trading system based on the momentum-like effects of asset price jumps was tested on four currency markets (EUR/USD, GBP/USD, USD/CHF and USD/JPY) and three futures markets (Light Crude Oil, E-Mini S&P 500 and VIX), on 7 frequencies (1-minute to 1-day), over a period of more than 20 years. The proposed trading system entered long and short trades in the direction of asset price jumps and held the positions for a fixed horizon, optimized on the in-sample period. The system achieved statistically significant out-sample profits for the USD/CHF, EUR/USD and GBP/USD exchange rates, especially on the 15-minute, 30-minute and 1-hour frequencies, with expected returns of up to 20-30% p.a., including transaction costs. On the 1-day frequency, on the USD/JPY and on the three analysed futures markets, only insignificant profits or losses were achieved. On the 1-minute frequency, the system ended with a loss for all of the assets.

Although there is a strong theoretical framework for the economic growth and its relationship with education, the empirical evidence of this relationship is rather scarce. In this paper we investigated the causality and the long-run relationship between economic growth and higher education in the Czech Republic and Romania, using data series for 1980-2013 period. We used a VECM to analyse the long-run relationship between higher education and economic growth and Granger methodology to test the causality between variables. The results showed that higher education has an important positive effect on economic growth, although the impact level of the higher education on economic growth is different in the two countries. We also showed that there is a causality relationship that goes from higher education to economic growth for both countries.

This article applies Oaxaca-Blinder and Shorrocks-Shapley decomposition techniques to a logistic diffusion model in order to explain the differences in Total Factor Productivity Growth (TFPG) in European Union (EU) countries for the period 1950-2011. Human capital has a dual positive effect on TFPG by boosting innovation and increasing the catch-up capacity of countries to absorb and imitate foreign technologies. Our results show that there are statistically significant differences in the intensity of these effects between high and low average income EU countries, while there are not between euro and non-euro countries. The mean difference in technical change between high and low-income EU countries is largely the result of three factors. The first is the higher average foreign technology assimilation capacity of low income countries. This is particularly true because they are further from the technological frontier and are able to benefit from the advantage of backwardness. The second is the higher direct effect of human capital on technical change in these countries, while the third factor is the higher slowdown role of proximity in them.

The article deals with the issue of the length of procedure in public procurement. Our analysis focuses on construction contracts in 2010-2015. We apply hierarchical linear regressions to these data to identify factors that affect the length of procedure. According to our results, the duration of a public contract does not affect the standard contract price. The nature of the contracting authority, the expected value, the openness of the procurement procedure, and the method of evaluation have a statistically significant impact on the length of the contract. As for other factors regarding the length of awarding time, the use of the subcontractor, the division of a contract into parts, and a review by the Office for the Protection of Competition due extend the time required. By contrast, contracting time can be reduced by the use of outsourcing. In the end of the article, we have put forward recommendations for economic policy and further research.

Using the factor-augmented vector autoregressive (FAVAR) model proposed by Bernanke et al. (2005), this study explores the effect of monetary policy on a wide range of macroeconomic and financial variables for the US, Canada and the UK. The study makes use of financial data from 1990 to 2016, comprising 55-70 variables of the three major nations to show (1) that factors come with additional informational capability, which summarizes the performance of key macroeconomic variables and (2) the manner in which these variables are affected by contractionary monetary policies. Our findings confirm that monetary policy tightening results in decrease in industrial production, employment, share prices, housing starts and inflation; however, it leads to increase in the three-month treasury bill rate, long-term interest rates and unemployment. Overall, the impact of standardized monetary tightening is similar across the countries studied. These results from the major economies and the inclusion of larger data sets containing more variables would be relevant for policy theorists and practitioners from other countries.

We surveyed representative sample of 1,004 adult Poles to check the extent to which they distinguish among the entities operating in the market for personal loans in Poland, how they perceive loans and lending entities, and what is their knowledge on lending/borrowing issues. Particularly, we were interested in getting the insight into the fragment of the market that is operated by personal loan companies, with special emphasis on the profile of the average (statistical) borrower. Our examination was motivated by the controversies surrounding the law amendment started in Poland in 2015 in order to regulate the fraction of the consumer credit market represented by personal loan companies. By utilizing logistic and multivariate linear regression models with variables obtained from our survey, we tested whether the legal reform was well-informed and well-addressed. We found that Polish households have serious problems with distinguishing various entities that provide loans to private individuals and that such problems manifest even greater problem of material shortcomings in Poles' debt literacy. We also evidenced low public trust to lending entities, particularly to loan companies. In the light of the findings the law amendment is well-grounded, however it should be supported by actions aimed at enhancing households' financial literacy.

The paper interprets factors of corporate performance identified by means of statistical pattern recognition techniques. A Dependency-Aware Feature algorithm with non-linear regression model ranked 74 potential factors of corporate performance according to their contribution to corporate performance prediction. This paper brings consecutive statistical analyses, which interpret the effects of Strategy, FDI, Share of Export, Top Management Performance Pay, and Workers' Performance Pay on corporate performance. Furthermore, the analyses reveal strong mutual moderating interdependencies. On the national scale, the paper brings evidence that the companies from the industries researched can use the stational techniques to learn about corporate performance factors. On a global scale, the paper introduces the contribution of Dependency-Aware Feature selection in the field of management and confirms the need for a multidimensional contingency approach in researching corporate performance. The results are based on a sample of 432 private limited or joint stock companies located in the Czech Republic operating in the manufacturing and construction industries and employing 50 or more people.

Using data from European Union Statistics on Income and Living Conditions, the study examines the causes of variation in the unexplained gender pay gap among 25 European countries and considers the effect of the legal environment on these. We employ the Oaxaca-Blinder decomposition to estimate the unexplained part of the gender pay gap. To assess the impact of the rule of law on unexplained gender wage differences, we apply a linear regression model, where the estimated unexplained gender pay gap is used as a dependent variable and selected rule of law indicators (specifically the Worldwide Governance Indicators Rule of Law and the Legal System & Property Rights Index) as explanatory variables. Controlling for other institutions affecting gender wage differences (specifically labour market regulation, work-family reconciliation policy and male wage dispersion), we suggest that differences in the quality of legislation and law enforcement across European countries may partly account for the variation in the unexplained gender pay gap. A very progressive improvement in rule of law indices (from the worst to the best among the 25 European countries examined) leads to a decrease in the unexplained gender pay gap by 4.5-5 percentage points.

With respect to instability and structural changes for maintaining effective functioning of economy an important issue is to study the dynamics of processes in the labour market, including labour supply and employment. Considering negative demographic trends and an acute problem of population aging in Ukraine the article presents an empirical research of the dynamics of labour force participation and unemployment rate, as well as the correlation relationship between them in various periods of time. On the basis of threshold-disturbance moving average and threshold-disturbance autoregressive models there are elicited significant asymmetric reactions of labour force participation rate, unemployment rate and productivity to positive and negative macroeconomic shocks. For modelling the asymmetric behaviour of economic activity of population there is developed a nonlinear logistic smooth transition autoregressive model. In the result of econometric analysis there is received large estimated value of slope parameter which characterizes the smoothness of transition. This indicates that the economic activity of the population in Ukraine quickly reacts to the previous changes that took place in the labour market. In times of crisis Ukrainian households increase labour supply and show increased activity in job search in order to prevent the decline of their income.

Multinational enterprises (MNE) allocate valuable intangible assets and strategic functions to the strategy units (usually parent companies) for that allows them to impropriate the majority of the profits there and protect those assets from subsidiaries' risks. The subsidiaries are frequently routine units. Subsequently, the routine units receive low reward, as they perform only routine functions. The OECD transfer pricing guidelines support that practice to the detriment of go-vernment budgets and public by considering the routine units as the low-risk ones. This paper reviews the relevant literature and shows that the traditional view of risk and profit allocation between strategy and routine units is inconsistent with their relative risks, resp. with relative risks of MNE's subsidiary and independent company. The long-term perspective of MNEs' members' downside risks provides correct information for transfer pricing regulation and fiscal authorities. Results of this paper enable proposal of the transfer pricing risk analysis targets and tools.

This paper explores the dependence of emerging European stock markets (Bulgaria, Croatia, Czech Republic, Hungary, Poland, Romania, Russia, Turkey and Ukraine) on global risk factors (changes in gold prices, US implied volatility index and oil prices) based on daily data from 6 January 2004 to 31 December 2013. We employ a quantile regression model to analyse how the global factors affect stock returns under different market circumstances, such as bearish (lower quantiles), normal (intermediate quantile) and bullish (higher quantiles) times. Empirical results reveal that the response of stock markets is heterogeneous; larger equity markets, such as Poland, Russia and Turkey, are highly sensitive to the global factors while Bulgaria is the least sensitive. Overall, the dependence on gold and oil prices is positive while the dependence on US stock market uncertainty is negative. Additionally, in most of the cases, the dependence intensifies during bear market conditions, in which stock prices fall.

This paper aims to study the dynamic relationship between dependent variables of trade credit (net trade credit to total assets and net trade credit to sales), and six independent variables (profit margin, liquidity ratio, and the dummies collection, credit, size, and crisis) using panel vector autoregression during the period 2004-2013 considering data from eight European countries. The results indicate that net trade credit is negatively influenced by crises, forcing firms to use it less due to survival effects but imposing higher trade restrictions. Notwithstanding, net trade credit to sales is positively influenced by the liquidity ratio and profit margin, and vice-versa, but has a negative relationship with credit and collection dummies, imposing credit shortenings and forcing reliance on short-term credit. For the overall period, firms seem to have sold more than having bought on credit due to tightening trade credit, an effect of the financial crisis.

In this survey article, we present a rich extent of literature on volatility and its propagation on financial markets via spillovers. We document how new approaches or improved existing methodologies lead to results that offer richer insights than those derived from standard econometric techniques. Moreover, the implications of the results can be related to a wide set of markets as the surveyed articles cover emerging and developed European markets as well as the United States.

We focus on changes in dynamic correlation during the recent financial crisis. The results show different responses to this symmetric shock in V4 countries. We discuss possible specialization if the dynamic correlation increases only at certain of the frequencies. Especially, in case of the Czech Republic where the variability of dynamic correlation in business cycle frequencies increased in relation to the euro area, whereas decreased in relation to Germany. Consequently, we point out to the limitations of a correlation and concordance index as common indicators of business cycle synchronization in time domain.

In this paper the authors examine the determinants of NPL ratio using a cross-county analysis from the sample of 25 emerging countries. Using the panel data approach, determinants of NPL are analysed for the period from 2000 to 2011. The main aim of this paper is to draw a relevant econometric model, to demonstrate the impact of independent variables on the dependent variable by using static and dynamic model estimation techniques. The results show that NPLs rate can be mainly explained by crucial macroeconomic factors, such as the GDP and inflation rate, and bank-specific factors, such as ROA, CAP and lagged NPLs rate.

The aim of this article is to complement the existing economic and financial strand of the literature by defining three alternative regimes of the clean price volatility of a bond with respect to the level of interest rates in the economy. The suggested method takes into account responses to the changing nature of financial markets and allows for the possibility of observing negative interest rates. Our approach enables to find particular values of switching points between alternative regimes. After showing main theoretical steps, an investigation of the dependence of such points on key parameters of bonds is provided. An empirical illustration follows, accompanied by a discussion of theoretical and practical effects of this bond property. This approach offers both theorists and interested practitioners a way of overcoming difficulties associated with computations because of the complicated theoretical background. The results can be generalised, so that they apply both to the life of a bond and to the behaviour of a portfolio of bonds at a point of time.

The article shows properties of risk-based portfolios in the German stock market. Those systematic strategies use different approaches to weight stocks in portfolios. We present theoretical and empirical characteristics of five risk-based equity investments: the equal-weighted, minimum variance, maximum diversification and risk parity (equal risk budgeting and equal risk contribution) portfolios. Risk-based portfolios outperformed the market-cap weighted CDAX index with a lower level of risk in the period 2002–2015. Their excess returns relative to the CDAX index can be explained with Scherer’s five-factor model; with Fama-French and low-risk anomaly factors. R2s of different strategies range from 77% to 92%.

The public debate on taxation of domestic small and medium enterprises (SMEs) versus large and multinational enterprises (MNEs) is highly relevant nowadays. Using confidential tax return data instead of financial statement data, the results indicate that domestic SMEs face on average a 1.6 and 4.8 percentage-point higher effective tax burden compared to large domestic and large MNEs respectively. This suggests that tax incentives for SMEs are inadequate to compensate for the tax advantages of large and internationally operating companies. Furthermore, we show that the use of information built exclusively upon accounting data could bias the results.

This study attempted to evaluate the differences between bachelor and master requirements in the field of tourism regarding sixteen communication as well as sixteen managerial competencies explored in a wide range of employers in the Czech Republic. The questionnaire survey data were processed using a multivariate approach of the Fisher linear discriminant analysis (LDA) and its partial least squares algorithm (plsLDA) considering two-set cases and the functional relation of both methods depending on a parameter. It was revealed that although the differences between bachelor and master requirements in communication competencies are more pronounced considering the results of the classical approach to discriminant analysis, this is not the case in its partial least squares variant. The differences are to a great extent variable, filling the whole set of individual competencies. However, the most significant competencies demanded from master graduates are: providing a complex view - summary, providing feedback, time management, leadership and planning, considering both boundaries of eigenvalues with corresponding eigenvectors analytical (resp. smooth) path. The practical implication of the results can serve as a target for modern educational systems preparing students for success in the current competitive environment.

This study investigates the impact of investment incentives on sectoral labour productivity, capital intensity, employment and total factor productivity using data on sixteen manufacturing industry sectors in Turkey during the post-liberalization period. To deal with potential endogeneity of the investment incentives, we apply the system GMM estimation technique to the panel dataset for six five-year periods between 1981 and 2009. Our overall GMM estimations indicate that we fail to find any evidence that investment incentives positively affect anyone of our macroeconomic variables. While investment incentives do not increase the employment growth and total factor productivity growth significantly, they significantly reduce the growth rate of value added per work hour and capital stock per work hour. Given that since the early years of the Turkish Republic, investment incentive systems have always been an important part of the industrialization policies; our results have essential implications for the design and effectiveness of investment incentives.

We examine central banks' involvement in inflation forecast targeting by means of an index-based analysis and ordered logistic regression. The research encompasses the Bank of England, the Czech National Bank, the National Bank of Poland and the Sveriges Riksbank. They produce conditional or unconditional macroeconomic forecasts. Hence, two paths have been used to examine them. We examine whether the four central banks follow their forecasts to some extent. We have found that the CNB and SR are highly consistent in terms of compatibility of their decisions with the forecasts, timing of decisions, and communication by means of forecasts. The NBP follows its forecast much less consistently, while the BoE ignores it altogether. As some of the results for the BoE and NBP are unambiguous, we remain cautious while interpreting them. This paper contributes to the literature on the empirical evaluation of inflation forecast targeting.

The article contributes to the knowledge of customer lifetime value (CLV) models, where extensive empirical analyses on large datasets from online stores are missing. Based on this knowledge, practitioners can decide about the deployment of a particular model in their business and academics can design or enhance CLV models. The article presents predictive performance of selected CLV models: the extended Pareto/NBD model, the Markov chain model, the vector autoregressive model and the status quo model. Six large datasets of medium and large‑sized online stores in the Czech Republic and Slovakia are used for a comparison of the predictive performance of the models. Online stores have annual revenues in the order of tens of millions of euros and more than one million customers. The comparison of CLV models is based on selected evaluation metrics. The results of some of the models which use additional non‑financial data on customer behaviour - the Markov chain model and the vector autoregressive model - do not justify the effort which is needed to collect such data. The advantages and disadvantages of the selected CLV models are discussed in the context of their deployment.