Boris Fišera, Jana Kotlebová - Dopad riadených depreciácií na finančné trhy (IMPACT OF MANAGED DEPRECIATIONS ON FINANCIAL MARKETS)
Abstract: The impact of expansionary monetary policy on financial markets had previously been investigated in numerous studies – however, these studies mostly focused on the effects of the policy of Quantitative Easing (QE). Consequently, in this paper we investigate the financial market effects of another expansionary monetary policy instrument – managed depreciation followed by the introduction of one-sided exchange rate commitment that was implemented by the Czech and Swiss central banks after the Global Financial Crisis of 2008-2009 (GFC). Specifically, we analyze the impact of this instrument on two main segments of the financial market– bonds and stock markets – in both the Czech Republic and Switzerland. Using a fully modified OLS (FMOLS) estimator, we study the effects of FX interventions and exchange rate movements on bond yields and stock prices. We do find some evidence that the implementation of this policy contributes to lower bond yields and higher stock prices. Central bank foreign currency purchases have decreased bond yields in the Czech Republic, while they had a positive impact on stock prices in Switzerland. Furthermore, we also found that currency depreciation seems to be associated with higher bond yields, while we do not find evidence that the exchange rate movements had an impact on stock market in either country.
Keywords: exchange rate commitment, managed depreciation, FX interventions, FMOLS estimator
JEL Classification: E44, E58, F31
str./pp. 360 - 374
Stanislav Kováč - Analýza volatility bitcoinu: deterministický a probabilistický prístup (BITCOIN VOLATILITY ANALYSIS: DETERMINISTIC AND PROBABILISTIC APPROACH)
Abstract: Bitcoin is the phenomenon of the last few years and has dragged quite a lot of attention either from academicians or investors. Price fluctuations in the Bitcoin spot rate on the Bitcoin exchanges is driven by many factors; hence volatility analysis is of particular importance. In this paper we analyze deterministic approach represented by family GARCH (fGARCH) model and probabilistic approach by stochastic volatility model. Except for volatility time evolution, we involve short-term forecast. As a benchmark we use 30-days historical volatility. Based on mean average percentage error, family GARCH model tracks volatility better.
Keywords: Bitcoin, stochastic volatility, GARCH model
JEL Classification: C73, G17
str./pp. 375 - 387
Marián Čvirik, Monika Stanková - Vzťah medzi sveto-mysliteľstvom (kozmopolitizmom) a spotrebiteľským etnocentrizmom: v prípade Slovenska (RELATIONSHIP BETWEEN WORLD-MINDEDNESS AND CONSUMER ETHNOCENTRISM: A CASE OF SLOVAKIA)
Abstract: This study investigated the relationship between consumer ethnocentrism and world-mindedness in Slovakia. This is a specific link between two different quantities. A sample of the 184 respondents was collected by quantitative approach through direct distribution and online questionnaire. The CETSCALE and the World-mindedness scale were used as measure tools. To explore and to prove the hypothesis was employed one-way ANOVA. Authors of the article used regression and correlation analysis to explore the relationship between quantities. We have proven that the relationship between consumer ethnocentrism (CETSCALE) and world-mindedness (The World-mindedness scale) is significant. The results show Less world-mindedness consumer is more ethnocentric than consumers with more score on the world-mindedness scale (negative analogy). We have also explored the effects of demographic factors on ethnocentrism and world-mindedness. The results can be reflected by various tools. Also the results can be used in many fields (sociology, psychology, marketing) – both theories and praxis.
Keywords: World-mindedness, Consumer ethnocentrism, CETSCALE
JEL Classification: M30, Z10
str./pp. 388 - 398
Zuzana Koštálová - Skúmanie stimulov dlhu domácností na Slovensku (EXPLORING DRIVING FORCES OF HOUSEHOLD DEBT IN SLOVAKIA)
Abstract: The Slovak household debt has been increasing rapidly over last two decades. Many papers suggest that excessive household debt can present a threat to financial stability and ultimately can have a negative effect on GDP growth in the medium term. Therefore, understanding the determinants of household debt is of great importance to policy makers and supervisors. The goal of this paper is to explore potential driving forces of the Slovak household debt by using quarterly data over the period from 2006 – 2018. We test the impact of nine variables (household deposit growth, interest rate on household loans, unemployment rate, gross disposable income, final consumption of households, inflation rate, GDP growth for Germany, House price index and Economic sentiment indicator) on growth of household credit-to-GDP. Our findings indicate that domestic household consumption, house prices and GDP growth for Germany are significant determinants of household debt in Slovakia.
Keywords: household debt, credit-to-GDP, Slovak banking system
JEL Classification: G21, R29
str./pp. 399 - 414
Patrik Jankovič, Peter Mandžák - Dá sa kúpiť zdravie za peniaze? Analýza obalu dát výdavkov na zdravotníctvo (CAN MONEY BUY HEALTH? DATA ENVELOPMENT ANALYSIS OF HEALTHCARE EXPENDITURE)
Abstract: The aim of this paper is to estimate the efficiency of public healthcare expenditures using Data envelopment analysis. We propose two equivalents of DEA models. The first is based on per capita type of variables (health expenditures per capita, healthy years of life and preventable deaths per million people) and second equivalent accumulates all the health expenditures for last 10 years (PPP US dollars in 2011 prices), aggregates healthy years and preventable deaths of population in given country and year. Slovakia has one of the least efficient healthcare systems among EU countries, while Cyprus and Bulgaria seem to be efficient under all specifications of the models. Results from DEA analysis suggest considerable space for improving in Slovakia. Slovakia would need to reduce health expenditure per capita and number of preventable deaths by more than half while keeping the same level of health life years per capita to become efficient. We also briefly looked at the evolution of efficiency in time, since 2011. However, we suggest, that more sophisticated analysis (e.g. Malmquist index) is needed.
Keywords: DEA, healthcare, expenditure efficiency, CCR model, BCC model
JEL Classification: C61, I11, H51
str./pp. 415 - 428
Marek Strežo - Flexibilné regresné modelovanie rizikového poistného pomocou zovšeobecnených aditívnych modelov s isotrópnym vyhladením (FLEXIBLE REGRESSION MODELLING OF THE PURE PREMIUM USING GENERALIZED ADDITIVE MODELS WITH ISOTROPIC SMOOTHING)
Abstract: In case of large number of independent variables mainly in insurance, many non-parametric methods do not perform well. The widely used Generalized Additive Model (GAM) is a flexible technique in which the usual linear relationships between the response and predictor variables are replaced by non-linear smooth. These semi-parametric models permit the response probability distribution to be a member of the exponential family of distributions with robust extensions of Logit, Poisson, Negative Binomial and other Generalized Linear Models. GAMs are represented using penalized regression splines and are estimated by penalized regression methods. Cross validation is using for estimation the degree of smoothness for the unknown functions in the linear predictor. The GAMs allow us to build a regression surface as a sum of lower-dimensional non-parametric term circumventing the curse of dimensionality. This paper discusses the non-life insurance pricing context in which this technique has been developed and several GAMs are compared, where the best model is selected using AIC, GAM UBRE score, deviations and explained deviation.
Keywords: GAMs models, Smoothing splines, UBRE/GCV score, Pure Premium
JEL Classification: C10, C21, G22
str./pp. 429 - 450
Jozef Gáll - Stanovenie úrovne významnosti regiónov cestovného ruchu v Slovenskej republike pomocou zhlukovej analýzy (DETERMINING THE SIGNIFICANCE LEVEL OF TOURIST REGIONS IN THE SLOVAK REPUBLIC BY CLUSTER ANALYSIS)
Abstract: For the effective development and organization of tourism in any tourist region it is most important to assess its assumptions for tourism. Determining the significance of tourist regions in the Slovak Republic can help actors to better identify their priorities and further steps for the development of tourism in a particular region. In the Slovak Republic, there are few documents that classify tourist regions based on their potential and whose results are obtained from current data. The main aim of this article is to construct a model of cluster analysis, which will track the grouping of tourist regions into clusters based on their degree of significance in the tourism sector. Cluster analysis applied in the paper, which includes several different algorithms and methods for grouping objects with the most similarities to the appropriate groups. It deals with how the objects (statistical units) should be grouped in such a way as to make the most similarities within the groups and the greatest difference between the groups. Information on the variables examined, which describe the situation in year 2018, is drawn from the DATAcube database and the document Regionalization of tourism in the Slovak Republic issued by the Ministry of Economy of the Slovak Republic. Based on the results of the cluster analysis, the application of which has helped to obtain a picture of the division tourist regions into four clusters, the degree of significance each cluster and its members was determined by means of average variables. The present article and its results can be used as a basic material for future research in the tourism sector in the Slovak Republic.
Keywords: cluster analysis, methods of hierarchical clustering, regionalization of tourism, tourist regions of Slovakia
JEL Classification: C38, L83, R11
str./pp. 451 - 462
Allan Jose Sequeira Lopez - Priestorová konkurencia so zohľadnením váhy uzlov: prípadová štúdia (SPATIAL COMPETITION WITH CONSIDERING THE WEIGHT OF THE NODES: CASE STUDY)
Abstract: The matrix games are a part of the cornerstones of the game theory, generally used to explain the competition models where the competitors are two or more entities (players). The paper is focused on using the models of game theory to find the optimal location of the player while taking into consideration the customer behavior. In the paper we model a situation of two companies competing for a market which is divided into different nodes. Both companies offer identical goods on the market, but the price of these goods may vary. The players decide on moving to a selected location in order of gain more clients, considering the cost of consumers, which includes both the price of the goods and the transport costs. As a result, the companies are focused on the place close to more possible clients. A spatial competition model is solved using matrix games in a case study of Bratislava city and the results are compared with a model when the weight of nodes is not considered.
Keywords: Spatial competition, matrix game, weighted node
JEL Classification: L130, R410
str./pp. 463 - 476
