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The Interest Elasticity of Money Demand: A Meta-Analysis
Slouková, Eliška ; Havránek, Tomáš (advisor) ; Holub, Tomáš (referee)
Even though precise evaluation of money demand function is essential for cen- tral banking and for the right determination of the transmission mechanism, economists have not reached a consensus about the underlying determinants of money demand function neither their magnitude and direction. Researchers differ even in the selection of measures used for the main variables - income, and interest rate. While the heterogeneity in elasticity estimates of the former one has been scrutinize in several quantitative surveys, to the best of our knowledge, there has not been compiled any meta-analysis focusing on differences among the interest rate elasticities of the money demand. Therefore, we collected 53 studies reporting 1 094 estimates of interest rate elasticity. Implementing both the state-of-the-art methods and those proposed only recently, we have found out that researches are prone to selective reporting. Firstly, our results shows that negative publication bias is present in empirical studies of the money de- mand and increases the average elasticity estimate approximately three times (in absolute terms). Secondly, negative highly precise estimates are more likely to be compared to their imprecise counterparts. Additionally, we scrutinize po- tential sources of heterogeneity among individual...
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International gender wage gap: A Meta-analysis
Navarová, Tereza ; Havránek, Tomáš (advisor) ; Pertold-Gebicka, Barbara (referee)
This thesis uses modern meta-analysis methods to produce a systematic quantitative review of the literature on the international gender wage gap. After collecting 661 estimates from 51 peer-reviewed studies, estimates from published studies are subjected to several tests studying the presence of publication bias. To test for publication bias, standard errors of estimates are approximated for studies that do not report standard errors or other confidence measures. Based on both linear and non-linear formal tests, the presence of significant publication bias is not detected. Furthermore, Bayesian model averaging is performed to explain the heterogeneity in the collected data, with robust control performed using frequentist model averaging. The results suggest that omitting variables related to human capital leads to the estimation of higher average gender wage differences. In contrast, authors who focus subsamples of the labour market (such as college graduates or only fulltime workers) estimate on average smaller gender wage differences. 1
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Evaluating Economic Policy Using the Synthetic Control Method
Opatrný, Matěj ; Havránek, Tomáš (advisor) ; Ščasný, Milan (referee) ; Tremewan, James (referee) ; Caselli, Francesca G. (referee)
The doctoral thesis consists of three essays that address the application of synthetic control method to various economic policy intervention. In the first essay I evaluate the quantitative effects of the Czech National Bank's commitment to keep the Koruna from appreciating that were put in place in 2013. I find that the commitment helped decrease unemployment substantially. The effect on overall output is also strongly positive, almost 2 percentage points for growth in 2015. The effect of the commitment on inflation is positive but not statistically significant at standard levels. In the second essay I focus on the impact of joining the EU on the Czech agriculture. The results show that the Czech Republic would have had a higher food index if it had not entered the CAM and CAP. Moreover, I show that the CAP and CAM had different impacts on farms in the Czech Republic and Bulgaria, which have the most comparable agriculture according to the results of the synthetic control method. In the final essay I estimate how the UK financial markets would have evolved if the Remain camp had won the referendum. The results suggest that there would not have been any significant change in the development of the FTSE 100 Index in the medium to long term if there had not been a referendum. On the other hand, I...
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Measuring the Value of a Statistical Life in the Czech Republic: A Hedonic Wage Approach
Špiroch, Jakub ; Havránek, Tomáš (advisor) ; Pertold-Gebicka, Barbara (referee)
To resolve the wage-risk trade off relationship on the labor market in Czech Republic, we introduce multiple hedonic wage regressions. Empirical theory ad- mits an income and age heterogeneity in value of a statistical life (VSL). This thesis employs a quantile regression along with age-dependent non-fatal and fa- tal on-the-job risk rates to estimate the age and income variation in VSL within a unified framework. Our results, based on EU-SILC 2018 data, implicate an inverted-V-shaped development of VSL with respect to age. The estimates of age-VSL peak for workers within the age cohort 42-47 across most real wage quantile levels and once reaching the maximum point the VSL proceeds to de- cline with age. In order to infer any effects of the global pandemic on VSL, we propose a set of novel COVID-19 control variables. Additionally, we annuitize the VSL estimates, which yields the value of a statistical life year (VSLY). The measures of VSLY correspond to the age and income varying trend of VSL. In conclusion, this thesis offers applicable varying VSL estimates across cohorts and wage distribution to policy-makers and respective authorities. JEL Classification J17, J24, J28, J31, J33 Keywords hedonic wage, compensating wage differential, quantile regression, VSL, income elasticity Title Measuring the...
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High-Frequency Food Prices: Evidence from the Czech Republic
Pavlovová, Anna ; Havránek, Tomáš (advisor) ; Kukačka, Jiří (referee)
With increasing engagement in on-line shopping accelerated by the events of 2020, what can we learn about prices and their rigidity in the on-line sector? We collect an extensive dataset of scraped daily prices for four on-line grocery retailers from the Czech Republic from January 2020 to April 2021. We find substantial di erences in pricing among the retailers, including the impact of interest rate changes and the introduction of lockdowns on the probability of price change. Price rigidity depends significantly on the retailer and the assumptions imposed on temporary price changes. The mean number of all price changes among retailers ranges between 3.10 and almost 11 per year. Depending on the definition of excluded temporary price changes, retailers change prices permanently on average between 0.68 to 4.04 times per year. We show that a more in-depth analysis of temporary price changes is crucial for a robust assessment of price rigidity. JEL Classification E30, L81, C55, D22 Keywords on-line grocery shopping, price flexibility, tem- porary price changes, scraped prices Title High-Frequency Food Prices: Evidence from the Czech Republic
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Female Leadership and Financial Performance: Evidence from the Czech Republic
Bajerová, Veronika ; Havránek, Tomáš (advisor) ; Nechvátalová, Lenka (referee)
Women are underrepresented in leadership positions even though they constitute half of the population. Even though the number of women in leadership position is growing the literature about the relation between women in leadership positions and financial performance in the Czech Republic is scarce. Therefore, we want to investigate a relation between women in a statutory body and four firm financial performance measurements of different types of firms. Using a data set containing 405 firms we investigate the long-term growth of the number of women in leadership positions and their relation to financial performance during the time frame from 2010 to 2019. We use an instrumental variable estimation method with two types of instruments. The first instrument is a percentage of women in an industry in the Czech Republic and the second is a share of women considering the industry and the year in the data set. The analysis shows a strong positive relation between the returns on assets and women in leadership positions and a neutral relation between other performance measurements and women in leadership positions. This indicates that a firm would experience neutral or positive consequences in terms of financial performance when employing women in a statutory body.
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Islam and Economic Performance: A Meta-Analysis
Kratochvíla, Patrik ; Havránek, Tomáš (advisor) ; Schwarz, Jiří (referee)
Islam and Economic Performance: A Meta-Analysis Patrik Kratochvíla June 28, 2021 Abstract The ongoing economic supremacy of the West has prompted debates on the ability of non-Christian religions to generate economic growth. The academic literature focusing on the Islamic religion o↵ers multiple answers, leaving the matter unresolved and with no definite conclusion. Based on a quantitative sur- vey of 315 estimates collected from 41 relevant academic studies, Islam exerts a positive and statistically significant e↵ect on economic growth in 40% of cases, a negative and statistically significant e↵ect in 10% of cases, and virtually zero e↵ect in 50% of cases. Tests for publication bias indicate slightly preferential reporting against negative estimates. When I correct for this bias, I find that the mean e↵ect of Islam on economic growth is positive but economically small. I also construct 79 moderator variables capturing methodological heterogeneity among the primary studies and apply the method of Bayesian model averaging to deal with model uncertainty in meta-analysis. The analysis shows that the heterogeneity in the results is primarily driven by di↵erences in the sample com- position and the choice of control variables, and to a lesser extent by estimation characteristics and proxies for Islam employed. 1
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Economic freedom and economic growth: A Meta-Analysis
Sardinero, Víctor ; Havránek, Tomáš (advisor) ; Schwarz, Jiří (referee)
The association between economic freedom and economic growth has been largely explored by researchers and the overall ndings indicate a signi cant and positive relationship. The empirical literature, however, is subject to suer from bias. In this paper we collect 16,070 estimates from 69 studies and using recently developed meta-analytic techniques investigate the eect of publication and speci cation biases on the reported results. While our baseline analysis re- ports some evidence for publication bias, but not very strong and robust, and con rms the speci cation bias reported by previous reviews, we also nd that these results are aected by the inclusion of three in uential outliers in the data set. Once we trim these studies, there is no evidence of speci cation bias anymore and we nd evidence of a robust and strong publication bias. Further, after controlling for the bias, we nd that the true eect of economic freedom on growth is substantially smaller than the eect reported by the empirical literature. JEL Classi cation O43; P10; P12; C52 Keywords 'economic freedom', 'economic growth', 'publi- cation bias', 'speci cation bias', 'meta-analysis' Title Economic freedom and economic growth: A Meta-Analysis
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Three Essays on Corporate Financial Misconduct and Market Reactions
de Batz de Trenquelléon, Laure ; Kočenda, Evžen (advisor) ; Havránek, Tomáš (referee) ; Brůna, Karel (referee) ; Karpoff, Jonathan M. (referee)
Chapter 1 Summary of the Dissertation "We are in the golden age of fraud." Jim Chanos, Kynikos Associates, Financial Times 24/07/2020. Beyond the speculations about the consecutive waves of Covid, 2020 will be reminded for one of the most notorious failures of a listed firm, due to a massive accounting fraud: the German payment fintech Wirecard. The firm, with 30 subsidiaries in 26 countries, joined the prestigious DAX index just two years before. The spillovers of the billion-euro fraud range from the arrest of top managers to suspicion of auditors, politicians, and regulatory authorities (BaFin, European Commission, and ESMA), as suggested the Financial Times headline "Why was Frankfurt so blind for so long?"1 Such a failure serves as a reminder of the relevance of financial markets regulation, oversight, and enforcement, in order to protect investors and to encourage compliance with regulations. Research on the relationship between the publication of financial misconducts and financial performance for corporates has continuously grown, as illustrated by the recent in- depth literature reviews undergone by Amiram et al. (2018) and Liu and Yawson (2020). It is fueling regulatory debates on how to enforce more efficiently financial regulations. Some specificities of white-collar crimes must be accounted for...
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Estimating the effective lower bound for the Czech National Bank’s policy rate
Kolcunová, Dominika ; Havránek, Tomáš
This paper focuses on the estimation of the effective lower bound on the Czech National Bank’s policy rate. The effective lower bound is determined by the value below which holding and using cash would be preferable to holding deposits with negative yields. This bound is approximated on the basis of the storage, insurance and transport costs of cash and the loss of convenience associated with cashless payments. This estimate is complemented by a calculation based on interest charges reflecting the impact of negative rates on banks’ profitability. Overall, we get a mean of slightly below –1%, approximately in the interval (–2.0%, –0.4%). In addition, by means of a vector autoregression we show that the potential of negative rates is not sufficient to deliver monetary policy easing similar in its effects to the impact of the Czech National Bank’s exchange rate commitment during the years 2013–2017.
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