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Transmission of uncertainty shocks: learning from heterogeneous responses on a panel of EU countries
Claeys, Peter ; Vašíček, Bořek
Numerous recent studies, starting with Bloom (2009), highlight the impact of varying uncertainty levels on economic activity. These studies mostly focus on individual countries, and cross-country evidence is scarce. In this paper, we use a set of (panel) BVAR models to study the effect of uncertainty shocks on economic developments in EU Member States. We explicitly distinguish between domestic, common and global uncertainty shocks and employ new proxies of uncertainty. The domestic uncertainty indicators are derived from the Business and Consumer Surveys administered by the European Commission. The common EU-wide uncertainty is subsequently derived by means of a factor model. Finally, the global uncertainty indicator – inspired by Jurado et al. (2015) – is extracted as a common factor from a broad set of forecast indicators that are not driven by the business cycle. The results suggest that real output in EU countries drops after spikes in uncertainty, mainly as a result of lower investment. Unlike for the U.S., there is little evidence of activity overshooting following this initial fall. The responses to uncertainty shocks vary across Member States. These differences can be attributed not mainly to different shock sizes, but rather to cross-country structural characteristics. Member States with more flexible labour markets and product markets seem to weather uncertainty shocks better. Likewise, a higher manufacturing share and higher economic diversification help dampen the impact of uncertainty shocks. The role of economic openness is more ambiguous.
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Technologie zpracování dříví v kalamitních těžbách
Vašíček, Bedřich
BEDŘICH VAŠÍČEK: Technology of processing of calamity loggings The objective of this bachelor work is assessment of the calamity on the 22nd of June 2011 in the forestry management in Pec pod Sněžkou. It concerns damages caused to forest cover in the forest section Zelený potok as a result of meteorological phenomenon called downburst. To process the calamity there were used several technologies and the objective of the work is to evaluate their application in difficult mountain locations of National Park Krkonoše. Further aim is to highlight the influence of the forest calamity on bucking, converting the wood into cash and purchasing of services necessary for the wood processing. Further area solved in this work is the Occupational Safety and Health, because generally logging belongs among one of the most risky works.
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Banking and Currency Crises: Differential Diagnostics for Developed Countries
Joy, Mark ; Rusnák, Marek ; Šmídková, Kateřina ; Vašíček, Bořek
We identify a set of “rules of thumb” that characterise economic, financial and structural conditions preceding the onset of banking and currency crises in 36 advanced economies over 1970–2010. We use the Classification and Regression Tree methodology (CART) and its Random Forest (RF) extension, which permits the detection of key variables driving binary crisis outcomes, allows for interactions among key variables and determines critical tipping points. We distinguish between basic country conditions, country structural characteristics and international developments. We find that crises are more varied than they are similar. For banking crises we find that low net interest rate spreads in the banking sector and a shallow or inverted yield curve are their most important forerunners in the short term, whereas in the longer term it is high house price inflation. For currency crises, high domestic short-term rates coupled with overvalued exchange rates are the most powerful short-term predictors. We find that both country structural characteristics and international developments are relevant banking crisis predictors. Currency crises, however, seem to be driven more by country idiosyncratic, short-term developments. We find that some variables, such as the domestic credit gap, provide important unconditional signals, but it is difficult to use them as conditional signals and, more importantly, to find relevant threshold values.
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Spillover of the ECB's Monetary Policy Outside the Euro Area: How Different is Conventional From Unconventional Policy?
Babecká Kucharčuková, Oxana ; Claeys, Peter ; Vašíček, Bořek
This paper studies the macroeconomic impact of ECB policy on the euro area and six non-EMU countries. The analysis is based on the evolution of a synthetic index of overall euro area monetary conditions (MCI) that can be decomposed into conventional and unconventional policy measures. A standard monetary VAR including the MCI subcomponents shows that the transmission of unconventional monetary policy in the euro area is quite different than under conventional policy: prices react quickly, but the response of output (industrial production) is muted. A block-restricted VAR analysis confirms that euro area monetary policy spills over to the macroeconomic developments of non-EMU countries. While conventional monetary policy has a generalised effect on economic activity, exchange rates and prices, unconventional measures have generated a variety of responses. Exchange rates respond rather quickly, but an effect on the real economy is found only for some countries, and inflation remains largely unaffected.
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Inflation and the Steeplechase Between Economic Activity Variables
Baxa, Jaromír ; Plašil, M. ; Vašíček, B.
A sharp increase in unemployment accompanied by a relatively muted response of inflation during the Great Recession added further doubts to the validity of the Phillips curve and the existence of a systemic relationship between economic activity and inflation. This paper aims to show to what extent the uncertainty about the choice of proper forcing variable contributes to the ambiguity of the evidence on the Phillips curve in the United States and other G7 countries. We use dynamic model averaging (Raftery et al., 2010), which marries the flexibility of the time-varying parameter framework with the possibility of model switching in each period. Our results show that inflation seems to respond to different measures of economic activity across time and space to a varying extent and no measure of economic activity clearly dominates in all countries or over the whole sample.
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The Exchange Rate as an Instrument at Zero Interest Rates: The Case of the Czech Republic
Franta, Michal ; Holub, Tomáš ; Král, Petr ; Kubicová, Ivana ; Šmídková, Kateřina ; Vašíček, Bořek
This study examines the use of the exchange rate by the Czech National Bank as a monetary policy instrument at the zero lower bound on interest rates. It provides a review of the economic literature on unconventional monetary policy instruments and particularly on the possibility of using the exchange rate. It explains the CNB’s reasons for further easing monetary policy and for choosing the exchange rate instrument and its specific level, and discusses its expected benefits in the case of the Czech Republic. It also explains why the CNB ultimately decided to transparently declare a one-sided exchange rate commitment with potentially unlimited foreign exchange interventions. The article concludes by assessing the impacts of the exchange rate weakening on the Czech economy to date, as compared to what the CNB had expected, and by describing the public debate of the CNB’s action and related changes in its communication strategy.
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Inflation and the Steeplechase Between Economic Activity Variables
Baxa, Jaromír ; Plašil, Miroslav ; Vašíček, Bořek
A sharp increase in unemployment accompanied by a relatively muted response of inflation during the Great Recession cast further doubts on the validity of the Phillips curve. With the aid of dynamic model averaging (Raftery et al., 2010), this paper aims to highlight that the existence of a systemic relation between real activity and inflation is blurred due to (i) the failure to capture inflationary pressures by means of a single measure of economic activity, and (ii) the existence of a non-linear response of inflation to the driving variable. Based on data for the U.S. and other G7 countries, our results show that the relation between economic activity and inflation is quite sturdy when one allows for more complex assessment of the former. We find that inflation responds to different measures of economic activity across time and space, and no measure of economic activity clearly dominates. The output gap is often outperformed by unemployment-related variables such as the short-term unemployment rate, the unemployment expansion gap, and the unemployment recession gap. Finally, our results confirm a weakening of the inflation–activity relationship (i.e., a flattening of the Phillips curve) in the last decades, which might be attributed to structural changes in the economy and monetary policy, that is robust both across activity measures and across countries.
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Short-Term Determinants of the Idiosyncratic Sovereign Risk Premium: A Regime-Dependent Analysis for European Credit Default Swaps
Calice, Giovanni ; Miao, RongHui ; Štěrba, Filip ; Vašíček, Bořek
This study investigates the dynamic behavior of the sovereign CDS term premium for a group of European countries. The CDS term premium can be regarded as a forward- looking measure of idiosyncratic sovereign default risk as perceived by financial markets in real time. Using a Markov-switching unobserved component model, we decompose the daily CDS term premium into two unobserved components of statistically different nature (stationary and nonstationary) and study the determinants of their short-term dynamics. Specifically, we link these components in a vector autoregression to various daily observed financial market variables. We find that decomposition into the two components is vital for understanding the short-term dynamics of the entire CDS term premium. The strongest impacts can be attributed to CDS market liquidity, local stock returns, and overall risk aversion. By contrast, the impact of shocks from the sovereign bond market is rather muted. Therefore, the CDS market microstructure effect and investor sentiment play the main roles in sovereign risk evaluation in real time. Moreover, our results suggest that the response of the CDS term premium to shocks to financial variables is regime-dependent and can be ten times stronger during periods of high volatility.
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Business Plan
Vašíček, Vít Bc. ; Pirožek, Petr (advisor)
The business plan is the crucial and fundamental document allowing the company to take decision to implement the project, or not. The core project itself is to buy and modernize a lawn tennis centre. To support the decision to accept or to reject the project there is made the internal and external analysis of the company; this part of work is contained in the introductory part of them. It is supplemented with the anticipated demand estimation. Coming from these conclusions there is elaborated the realistic version of the sales concept. As the next step the accounting statements were elaborated and the final financial analysis and business plan assessment were made.
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Changes in Inflation Dynamics under Inflation Targeting? Evidence from Central European Countries
Baxa, Jaromír ; Plašil, M. ; Vašíček, B.
The purpose of this paper is to provide a novel look at the evolution of inflation dynamics in selected Central European (CE) countries. We use the lens of the New Keynesian Phillips Curve (NKPC) nested within a time-varying framework. Exploiting a time-varying regression model with stochastic volatility estimated using Bayesian techniques, we analyze both the closed and open-economy version of the NKPC. The results point to significant differences between the inflation processes in three CE countries. While inflation persistence has almost disappeared in the Czech Republic, it remains rather high in Hungary and Poland. In addition, the volatility of inflation shocks decreased quickly a few years after the adoption of inflation targeting in the Czech Republic and Poland, whereas it remains quite stable in Hungary even after ten years’ experience of inflation targeting. Our results thus suggest that the degree of anchoring of inflation expectations varies across CE coutries.
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