C10 - Econometric and Statistical Methods and Methodology: GeneralReturn

The main purpose of this study is to examine the impacts of GDP, trade openness, the freedom index and the internet on FDI in 54 countries, including developing, transition and developed countries, over the period 1995-2021. First, the variables affecting FDI are determined. Then, first- and second-generation unit root tests are conducted for panel data to investigate stationarity. Finally, long- and short-run relationships between variables that have an effect on FDI are exhibited with panel cointegration tests and panel ARDL analysis. Among 17 candidate variables, internet, GDP, the freedom index and trade openness are determined to affect FDI. GDP, the internet and the freedom index have a significant positive and trade openness has a significant negative relationship with FDI in the short run. Finally, there is a long-term equilibrium between FDI and all the variables. Trade openness also has negative coefficient in developing countries such as China, Brazil and Turkey. This is a unique study in which empirical findings are given for each country with the PMG model, which would aid the policy implications identified for the 54 countries, including developing, transition and developed countries.

The effects of the shadow economy on the environment have been amply documented in the literature; however, the relevance of financial inclusion and the unpredictability of economic policy are still up for debate. Therefore, this study examines the diverse effects of financial inclusion, shadow economies and economic policy on carbon emissions in 21 Sub-Saharan African countries from 2002 to 2019. To determine whether this hypothesis is true, this study uses the panel spatial correlation consistent (PSCC), method of moments quantile regression (MM-QR) and Dumitrescu-Hurlin (D-H) (2012) methodologies. The findings of the PSCC show that financial inclusion increases carbon emissions in SSA countries but the shadow economy and economic policy uncertainty have an adverse impact on emissions. Using the MM-QR estimation with fixed effects, the same results are obtained across all quantiles after accounting for the effects of the shadow economy and economic policy uncertainty over the conditional distribution of CO₂. The effect of financial inclusion on CO₂ emissions is positive, but only statistically significant at the 30^th to 70^th quantiles until traces of significance are erased. In addition, there is evidence of a two-way causal relationship between the shadow economy and CO₂ emissions, financial inclusion and the shadow economy, urban population and CO₂ emissions, renewable energy use and economic policy uncertainty, trade liberalisation and economic policy uncertainty, and financial inclusion and economic policy uncertainty. The empirical results of this study offer insightful policy suggestions to counteract the direct impact of financial inclusion and to amplify the damaging effects of the shadow economy and economic policy uncertainty on carbon emissions.

The aim of the paper is to analyse, model and compare selected macroeconomic variables of the Czech and Slovak economies and their dynamics using VAR models. This article shows an application of a selected model on real-time series of chosen macroeconomic indicators using four variables (R - interest rate, M - money supply (M2), P - price level (CPI), Y - GDP). We identify and test two long-run relationships. The following hypotheses have been confirmed: H₁: a change in monetary aggregate affects a change in price level and a change in economic growth; H₂: there is a causal relationship between GDP and M2; H₃: there is a direct correlation between interest rates and the price level anticipated in the Fisher equation. The following methods are used: Granger causality, impulse response function, cointegration and error correction models. In the end, econometric models of macroeconomic time series are compared in the Czech and Slovak economies. The calculations used EViews software.

This study identifies systemic break points in a factor pricing model for firms traded on European stock markets around the financial crisis. The aim is to shed light on the systemic risk transfer in explaining average stock returns in the fragmented European exchanges. Our analysis takes advantage of recent development in econometrics and employs models which enable "automatic" detection of factor model break points. We find that Western European exchanges are more closely integrated with American financial markets than Northern European stock exchanges and those in the United Kingdom. However, all exchanges were eventually affected by the systemic shock. The results of this study provide insight into immunisation strategies for portfolios created from European stocks.

The paper presents an analysis of the development of the gender wage gap in the Czech Republic over the last twenty years, particular attention being paid to the period since 2009. Data on the average and median nominal wage as well as inflationary trends were gathered from the official website of the Czech Statistical Office. Having used the data, the conversion to the average and median real wage was carried out, allowing for a comparison of the current purchasing power of the Czech Republic's population with that in the year 1996. The differences between male and female average and median wages (both nominal and real) were examined. The development trend analysis of the obtained time series was performed adopting parametric (quadratic trend function) and non-parametric (moving averages) approaches. The quality of the chosen trend functions was verified using individual t-tests, total F-test, autocorrelation and partial autocorrelation functions and Durbin-Watson statistics. The results achieved indicate a steady downward trend in the differences between male and female wage levels since 2009.

The article is devoted to the analysis of the impact of information and communication technologies (ICT) on labour productivity and total factor productivity in the Czech Republic focusing on the period between the years 1995 and 2011. The authors follow the international methodology adapted to the availability of a reliable dataset, and divide the ICT sector in the ICT manufacturing, ICT services and ICT-using sectors. The issue of the quality of data sources and individual indicators entering the analysis is discussed in detail. While in the period between the years 1995 and 2003 the influence of ICT services prevails in the period 2003 and 2011 the influence of ICT using sectors grew much stronger in comparison. In both periods the importance of ICT manufacturing industry is negligible, which is also caused by the methodology of estimation of gross value added and recalculation into constant prices, as well as the low share of value added on production in that sector. Overall, the impact of ICT on the national economic aggregates should not be overstated.

The article focuses on new possible approaches of total factor productivity measurement. The standard computation takes into account the number of hours worked as the labour input and net or gross fixed capital stock as the capital input. This article improves the computation by using labour services as the labour input (it is necessary to take into account the skills and efforts of the workers) and capital services as the capital input. Substitution of capital stocks by capital services means that only flow indicators are used for TFP measurement. This issue became more popular in recent time in line with the revision of the manual for national accounts - SNA 2008. This paper concentrates on the development of the Czech economy between the years 2002 and 2008.

Czech laws on Deposit Guarantee-Schemes are characterized. It is described history of rise of the Czech Deposit Insurance Fund and dynamics of its basic characteristics. Czech deposit guarantee system is compared with the European system and with the European Directive on Deposit Guarantee-Schemes. It is calculated the effective rate of "taxation" by the compulsory payment to Czech Deposit Insurance Fund, which is (because of the very low interest rates in the Czech Republic) extremely high (about 30-40 %). Recommendations: 1) discard the audited firms from the Deposit Guarantee-Scheme and 2) decrease the amounts compulsorily paid by banks for deposits of small clients (deposits of households).

Efficiency of hospitals belongs among frequently discussed topics of public policy. This paper deals with a nonparametric model for efficiency evaluation of hospitals - data envelopment analysis (DEA). DEA evaluates efficiency of production units with the help of mathematical programming. DEA specifies the production frontier as the most pessimistic piecewise linear envelopment of the data. In case that a hospital is inefficient DEA determines the sources of inefficiency and defines corresponding target values. In this study, authors analyze the sample of 22 Czech acute-care hospitals with the constant-returns-to-scale model (the CCR model) and the variable-returns-to-scale model (the BCC model). The data comes from regional yearbooks of the Institute of Health Information and Statistics of the Czech Republic (ÚZIS ČR). A fundamental problem of evaluation in health care is a definition of inputs and outputs, especially a measurement of case-mix of patients. Interpretation of the results is described on one selected hospital (Hospital of Prachatice). One hospital was identified as efficient by the CCR model and six hospitals were efficient according to the BCC model.

This paper focuses on the identification of the main criterion for the classification of basic indicators and their corresponding scales (nominal, ordinal, interval and ratio). The criterion is the number of meaningful categories of the formulation or measurement of all mutual differences of all potential values of the indicator. The paper insists on the necessity of distinguishing at least four types of the given indicator. The classification (and differences) of the indicators is included in the enclosed table. The purpose of the table is to: give information about the data arranged in an ordering scheme; further evaluate whether their differences are determined or they are meaningless; and investigate whether differences between values can be found and if ratios are meaningful or not. The meaning of the classification of indicators for a correct interpretation of the mutual differences between their values is emphasized.