Fulltext search in archive

The efficient market hypothesis (EMH) fails as a valid model of financial markets. The fractal market hypothesis (FMH) is a more general alternative way to the EMH. The FMH is formed on the following parameter space: agents' investment horizons. A financial market is more stable when a fractal character in the structures of agent's investment horizons is adopted. For computer simulations, the classical model is modified. This adjusted model shows that various frequency distributions on agents' investment horizons lead to different returns behaviour. The FMH focuses on matching of demand and supply of agents' investment horizons in the financial market. The FMH asserts that investors have different information based on temporal attributes. Since all investors in the market have different time investment horizons, the market remains stable. Our simulations of probability distributions of agents' investment horizons demonstrate that many investment horizons guarantee stability on the financial market.

This article aims at investigating the nature of the causal relationship between immigration and economic development measured by GDP per capita in Norway using Granger causality test. The results on the unit root test indicate that all the series are non-stationary and are in I(1) process. The Johansen cointegration test reveals that there is no cointegration among the data sets. The Granger causality test shows that when the level of immigration increases, GDP per capita also increases. It has also been found that immigration has no impact on unemployment, and vice versa.

This paper deals with present situation and future development of pension reform in the Czech Republic. A comparison with neighboring country - Austria, has been done. Parametrical reforms of pay as you go systems in both countries are compared and evaluated. Pretensions to introduce the multi-pillar pension system are commented and appraised. Some opacities in current definitions of private pension systems are mentioned. Specific risks of different pillars are introduced, together with the necessity to monitor costs of the pension administrative itself. Aging of the society and public budgets deficit are very important circumstances influencing the pension policy, however, the main aim of reforms should be the creation of a modern system, supporting the maintenance of the living standard of the elderly. Well functioning labour market and developed financial market for a modern pension system are indispensable.

The article analyzes efficiency of the Czech treasury T-bill market and the interbank deposit market over period 1993 to 1999. An efficient market-expectation hypothesis and alternative preferred habitat hypothesis were selected to compare both the markets and to determine the extent to which they are affected by macroeconomic fundamentals. The results reveal that the treasury T-bill market is more effective compared to the interbank deposit market. This founding has strong implication in the sence that only the treasury market over the given period is appropriate to be empirically investigated.

The purpose of this paper is to investigate the time-series and distributional properties of Central European stock returns. We test the random walk hypothesis and then consider an alternative to random walk - the ARIMA model for stock prices. The behavior of volatility of returns over time is studied using the GARCH-t model which also allows us to learn more about the distribution properties of stock returns. We employ the BDS test to assess the ability of the estimated GARCH-t model to capture all nonlinearities in stock returns. Our empirical findings reveal that the Czech and Hungarian stock market indices are predictable from the time series of historical prices, whereas that of Poland is not. The returns on all three indices are conditionally heteroskedastic and non-normal. The estimated number of degrees of freedom ranges from 18 to 4.

In 2003, the economic growth moderately accelerated. The main factor of this acceleration was massive household consumption accompanied by the revival of fixed capital formation. Gradual narrowing of the gap between consumer and investment demand was one of major achievements of 2003, supporting the long-term sustainability of Czech economic growth. In 2003, both imports and exports accelerated, the trade deficit remaining at the same level as in 2002. Considering acceleration of Czech economic growth in 2003, stagnating level of trade deficit is favourable. The reason for continuously high current account deficit is growing deficit of income balance and declining surplus of service balance. The deficit of the current account in the last two years was not provoked by growing imports (as in the nineties), but has been predominantly the price for the massive foreign direct investment inflows in the past decade.

Statistical analysis of sectorial and global indexes at Prague Stock Exchange in 1997 was performed. The relative variability of sectorial indexes ranged from 5 % (Mining) to 29 % (Agriculture). The normal distribution was appropriate roughly for one half of index returns. Daily (resp. weekly) correlation coefficients between different sectorial daily and weekly returns were statistically significant particularly between Finance and Banking, Investment Funds and Heavy Industry sectors with typical values from 0.2 to 0.5 (daily) and from 0.4 to 0.6 (weekly). Quasi-periodic time course of indexes enables the trend modelling through harmonic components superposition. The first four harmonic terms were capable to explain 80-90 % of values observed.
Time behaviour of index returns was modelled using Box-Jenkins method. As a rule, simple models up to the second order proved to be satisfactory. Further, two thirds of index returns were explained by the first order moving average model. Prevailing part of sectorial index returns exhibited random behaviour with respect to number of positive and negative events, but the opposite is true from the point of view of runs number expected. The weekend effect has been found with Monday returns systematically lower. The dependence of PX - GLOB returns variance on the PX - GLOB values may give rise to an idea about different generating mechanism at different levels.

Gross domestic product continued to grow in 2002, faster than in the economies of most of the Czech Republic's major partners, albeit at a slower pace than in 2001. The major driving force of economic growth was private consumption, followed by government consumption. Investment demand registered a slowdown as an indirect result of weak foreign demand. 2002 was the year of record-low inflation in the history of the Czech Republic - at the end of the year, the consumer price index stood at 0.6 %. During 2002, nominal appreciation of the Czech currency accelerated - the koruna appreciated against the euro by almost ten per cent. The labor market was severely hit by the general economic slowdown and the unemployment rate anew reached the record-high level at the end of the year.

This paper is aimed at addressing general characteristics of growth and development that concerns all transition countries before their accession to the EU when their convergence to the EU average gross domestic product (GDP) per capita is expected. By looking back at the GDP statistics of major industrial countries for the last 90 years, a question is posed why some countries get on a path of a fast growth while some others go from one secular crisis to another. In assessing the policies supporting growth it is concluded that conditions on the company and industry level are more important than national macroeconomic policies.

This paper develops a theoretical framework for the analysis of transformation of the service sector during privatization process. A simple model which includes a supplier of services and retail firms is presented and applied to study the effects of various sequences of privatization. Our findings indicate that privatizing the supplier first is always at least as good as privatizing the retailers first because (unlike the strategy of privatizing the retail firms first) it increases both the number of retail firms and profit of the supplier.

Domestic demand, especially private household consumption and fixed capital investment was the main engine of continuing economic growth. At the same time, strong domestic demand did not provoke regular inflationary pressures. Inflation has stopped to be a threat of macroeconomic stability since the last quarter of 2001. Therefore, the Czech monetary policy could follow the overall world trend in basic rate cuts, the appreciating Czech currency being, however, very reluctant to monetary policy steps. The slowdown in Western Europe was felt predominantly in the Czech industry, which was very sensitive especially to the decline of demand for Czech industrial exports to Germany. The scope of external imbalance was approximately the same as in previous year - low level of import prices helped to offset the negative impact of weakening foreign demand. The current account deficit was comfortably offset by ongoing inflow of FDI.

The aim and probably the biggest contribution of this paper is to produce unique data series for the capital stock and an estimate of the depreciation rate (using microeconomic data) in the transitive economies in the period 1989 - 1999 and subsequently to try to calculate the growth accounting formula. The countries of primary interest are the Czech Republic and Slovakia, where the most complete data sources are available. The paper will prove that in the first years of economic transition Central and Eastern European countries show extremely high dynamics of growth that can be attributed to increases in productivity, that is very high Solow residual.

The paper presents a tool for the simulation of environmental policy impact. The main concern deals with different market structures and policy results. The subject is analyzed with use of an investment schedule of a representative firm, which faces the choice of two possible production technologies. Both technologies produce the same homogenous product. However, one of the technologies is viewed as a pollutant industrial technology with great negative externalities. Therefore an environmental policy maker may wish to use some indirect tools to influence the investment schedule. The policy maker may tax or subsidize capital used in any technological process. The impact of these indirect tools on the statics and dynamics of the firm's investment schedule is examined under standard neoclassical hypotheses: i.e. rationality and profit maximization.

This paper investigates the behaviour of the labour market using labour force surveys data between 1993 and 2000. The first part of the paper is focusing on structural changes in employment in absolute and relative terms. Different groups (gender, occupations, and industries) are investigated to see major flows on the Czech labour market during the transition period. Paper concentrates on changes on the labour market by means of gross flow analysis and also on international comparison.

The paper presents an empirical analysis of the relationship between international trade and market concentration. Market concentration is measured with and without adjustment for foreign trade and results are compared. On most markets the adjustment of domestic supply for exports and imports reduces market concentration. Most concentrated industries as a rule further concentrated and the least concentrated industries further de-concentrated during the period 1993 - 1997.
Comparison of market concentration with the EU showed that manufacturing product markets that are in the EU very concentrated and for which economies of scale are typical, are not concentrated in the Czech Republic. This fact can imply a performance that is below the optimal scale and low competitiveness on the international markets. On the other hand, the least concentrated markets in the EU continue to be relatively more concentrated in the Czech Republic. These are often local markets on which foreign trade cannot create competition and should be therefore closely monitored by antimopoly authority.

After the collapse of communism, it was acknowledged that mass privatization was a priority for Eastern Europe. This paper examines why it was necessary to accelerate the process, and the various methods that were used. It focuses on the Czech system of voucher-based privatization. In the Czech experiment in transferring ownership rights is discussed a number of issues in relation to the post-privatization corporate governance. It is imperative that privatization is not perceived as an instant conversion from central planning to an idealistic model of a market economy. On the contrary, it is just the beginning of a long term, evolutionary process of institution building. Policy-makers need to realize that transition towards effective systems of governance may be jeopardized if left to market forces alone. Instead, it must be accompanied by robust regulatory measures, such as legal framework and capital and product markets.

This paper discusses the implications of accession of the Czech Republic to the European Union. First, we estimate the potential growth in the enlargement and the non-enlargement scenarios. Second, we provide a structural forecast of GDP components. We show that both forecasts are consistent. Accordingly, GDP growth is forecasted to be 4.5 % and 5.0 % in 2001 - 2004 and 4.2 % and 5.2 % in 2005 - 2010 for the accession and non-accession scenarios, respectively. The accession scenario follows the current cyclical pattern (recession 1998 - 1999, recovery 2000 - 2003, boom 2004 - 2007, and a soft landing in the following years), while the non-accession scenario would extend the current recession until 2005.

Czech labour market has been getting closer to standard labour market, notable growth of long-term unemployment can therefore be expected in the years to come. The level of long-term unemployment is still much lower in comparison with market economies, so that wide space still exists to stop massive growth of long-term unemployment.
Reviewing the West European experience shows that active employment policies can be quite helpful to cope with the problem of long-term unemployment and its social impacts. National Employment Plan declares more intensive implementation of active employment policy, its financial possibilities being, however, rather limited. Some structural problems of Czech labour market could limit effectiveness of this Plan as well.

This paper provides an empirical investigation of long-term relationship between the stock market indices of the Czech and Slovak Republic. The empirical work applies log of weekly average data on the Czech PX - 50 and the Slovak SAX from September 1995 to December 1997. Empirical investigation is conducted by means of unit root tests and the EngleGranger methodology of cointegration test. The result from the unit root tests shows that individual stock indices are nonstationary - I(1). The result from the cointegration test shows that there is no long-term relationship between the two indices, even though, the strong economic ties and policy coordination between the two republics seem to be in favor of some cointegration.