National Repository of Grey Literature 11 records found  1 - 10next  jump to record: Search took 0.01 seconds. 
Central bank losses and economic convergence
Cincibuch, Martin ; Holub, Tomáš ; Hurník, Jaromír
This paper discusses the issue of central bank losses, developing a framework for assessing the ability of a central bank to keep its balance sheet sustainable without having to default on its policy objectives.
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Measuring the Financial markets' perception of EMU enlargement: the role of ambiguity aversion
Cincibuch, Martin ; Horníková, Martina
Market views on EMU enlargement are measured by a new indicator based on the shortterm dynamics of forward spreads. Conceptually, this indicator stems from the notion of uncertainty averse agents and equilibrium indeterminacy. The method was applied on data from central European countries, including the Czech Republic, Hungary, Poland and Slovakia. Comparing our results with financial market opinion surveys, the results of the proposed method seems to be in accordance with market expectations.
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Beyond Balassa - Samuelson: real appreciation in tradables in transtion countries
Cincibuch, Martin ; Podpiera, Jiří
Using the simple arbitrage model, writers of this work decompose real appreciation in tradables in three Central European countries between the pricing-to-market component (disparity) and the local relative price component (substitution ratio). Appreciation is only partially explained by local relative prices. The rest is absorbed by disparity, depending on the size of the no-arbitrage band. The observed disparity fluctuates in a wider band for differentiated products than for a commodity like goods.
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Interpretation of czech FX options
Cincibuch, Martin ; Bouc, Pavel
This report describes the Czech koruna option market and explores the behaviour of option prices during three eventful periods of the history of the Czech koruna. It points out their forward-looking nature and also shows how implied risk neutral distribution might be used for monitoring and interpretation of market sentiment.
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Interpretation of Czech FX options
Cincibuch, Martin ; Bouc, P.
We describe the Czech koruna option market and explore the behaviour of option prices during three eventful periods of the history of the Czech koruna.
Value of monetary income in a transition economy
Cincibuch, Martin ; Vávra, David
The article discusses how worth is the monopoly law to issue the national currency in a transition economy.
Interpretation of Czech FX options
Cincibuch, Martin
We explore the behavior of option prices during three eventful periods of the history of the Czech koruna.
Recovering an asset's implied PDF from option prices for the case of mixture of lognormal distribution: a technical note
Cincibuch, Martin ; Vávra, David
We address a technical problem occuring in Malick and Thomas (1997) regarding the estimator of risk neutral distribution based on a combination of lognormal distributions.
Value of monetary income in a transition economy
Cincibuch, Martin ; Vávra, David
We focus on the income from the right to issue money accuring to central banks in a transitional environment.
Testing for uncovered interest rate parity: any unfinished business?
Cincibuch, Martin ; Vávra, David
We hypothesize that the rejection of the UIP using conventional methods may stem from unnecessarily restrictive assumptions traditionally imposed on distribution of exchange rate expectations and we illustrate the potential power of less restrictive methods of UIP testing.

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14 Cincibuch, M.