C33 - Multiple or Simultaneous Equation Models: Panel Data Models; Spatio-temporal ModelsReturn

This study examines the impact of monetary developments on environmental quality and economic growth. We utilize ARDL/PMG models to study twelve climatically vulnerable countries from 1996 to 2018. We find that a 1% increase in real GDP and domestic credit harms the environment by 0.827% and 0.220%, respectively. However, savings improve environmental excellence by 0.373%. A 1% environmental degradation decreases human health by 0.317%; consequently, economic growth declines by 1.102%. Good governance emerges as a key solution, with a 1% improvement in public institutions mitigating the adverse impact of real GDP on the environment by 0.777%. Redirecting 1% of loans to eco-friendly projects improves the environment by 1.311%. Dumitrescu-Hurlin and PVAR Granger tests support these findings.

The paper employs a form of the panel ARDL-based error correction model (ECM) to explore the short-run and long-run relationship between public debt (and certain macroeconomic variables) and economic growth in Central and Eastern European (CEE) countries. It covers the period 2006Q1−2018Q4. The results indicate both short-term and long-term causality (except for financial development), though the marginal effects are variable-specific. There is a negative effect of public debt, interest rate and exchange rate on growth, whereas the saving rate, trade openness, financial development, fixed capital formation and population growth contribute to economic development. Thus, a responsible and saving-oriented fiscal policy, coupled with higher private sector investment, an export-oriented private sector and undervalued real exchange rate, and population growth would contribute to economic development in CEE countries.

This paper considers alternative approaches to the analysis of Laffer curve. The traditional analysis of Laffer curve is based on panel data methods, which were originally developed for microeconomics data with tax to GDP ratio as dependent variable. The main problem of using this approach presents the cross-sectional dependency of macroeconomics data, whose estimation may be biased and potentially inconsistent. The estimation of cross-sectional dependency using robust methods is inappropriate as well, because tax revenue is function of many variables, hence we lose too many degrees of freedom. We propose alternative approach with complex dependent variable, which measures not only tax to GDP ratio, but also effectiveness of corporate tax collection. The complex variable is constructed via DEA method and proposed approach is applied on panel containing observations of 20 EU members in period from 2000 to 2013. We conclude, that while the Laffer hypothesis is not empirically supported the tax rate is statistically significant factor in tax collection efficiency.

We analyze how efficiency of firms in the Czech Republic is affected by their size, age, competition, capital structure, ownership types, and global financial crisis. We employ the stochastic frontier approach, use a large and detailed dataset, and cover time span 2001-2012. While effects of firm characteristics are small, the effects of ownership are economically substantial. We show that majority owners are most contributive with respect to firm's efficiency when compared to other categories we analyze. Minority owners with legally grounded power are able to impose significant efficiency improvement. The effect of the foreign ownership is strongest when foreign owners control firms with less than majority of voting power. Minority owners sharing the control do not seem to contribute to efficiency. The impact of crisis is not balanced but can be regarded as marginally positive in general. The firms' characteristics change only a little. In contrast, worsening impact of the crisis is evidenced for controlling ownership categories. Minority owners exhibit a limited disciplining effect to improve efficiency after the crisis, though.

The paper presents a model of the level of social expenditure in 30 European countries, namely the EU 27 states, Norway, Iceland and Switzerland. The aim is to explain the development of social expenditure levels in the period 1990-2010 and estimate it's sensitivity to basic economic, social, political and institutional determinants. Over 60 potential determinants are derived from the literature and analysed theoretically, and 21 of these variables are used as independent variables in the regression (a fixed-effects model with robust standard errors). Five variables are identifi ed as both robust and theoretically consistent. Social expenditure levels seem to depend on unemployment, GDP growth, population ageing, GDP per capita and the openness of an economy. The results confirm the theory of socio-economic determination of the level of social expenditure. Empirical evidence for other theoretical explanations is not robust, as it is strongly dependent on the exact model specification.

This paper analyzes the technological efficiency of companies in the European Union (EU). Our extensive database covers more than 4 million firm/year observations from many EU countries including both manufacturing and service sectors in 2001-2007. Methodologically we apply a model of a stochastic production productivity frontier. We show that: the economic signifikance of company age is negligible, the higher the debt the greater the efficiency, bigger companies are less efficient, and a medium-level concentration of the market benefits companies. Majority ownership, in contrast, does not lead to higher efficiency, but a combination of majority and minority ownership has a positive disciplinary influence leading to higher efficiency. As to the origins of ownership, it does not seem that foreign-(co-)owned companies imply greater efficiency in old European countries, whereas foreign ownership is a significant driver of efficiency in new EU members through FDI.

We employ a large panel data set and analyze efficiency in the Czech firms during 1998-2007. We investigate how their efficiency evolves over time and how it is affected by ownership structures. Methodologically we employ a panel version of a stochastic production frontier model. We distinguish several categories of the ownership concentration by domestic owners and through foreign direct investments (FDI). Our results show that concentrated and foreign ownership impact efficiency positively in general. This results confirm benefits of the foreign direct ownership on the microeconomic level. Further, we show cases when majority ownership does not necessarily constitute improvements in efficiency. We also analyze effect of ownership coalitions and bring detailed new evidence on how ownership structures and industry sectors affect firms' efficiency.

The aim of the article is to answer the question if the Czech stock market price dynamics is generated by non-linear deterministic dynamic process. To solve this complex problem requires using sophisticated computational operations to analyze huge amount of data input. To overcome this obstacle the visual recurrence analysis is applied in this article. This method enables visualization of the state space reconstructed from a time series in the so called recurrent plot. Further, it quantifies various geometric structures occurred in recurrent plots and gives us more exact information about the nature of the underlying process generating the time series. This analysis is then applied to the most liquid stock returns and the Czech stock market index PX series

Investment expenditure relates to an evident optimization problem: to create an optimal capital stock which is a function of expected profits. According to the Tobin's Q - theory, investment depends on the ratio Q of the market value of business capital assets to their replacement value. A firm's investment should rise with its Q. In practice, however, Q is not observable and the measurement of numerator as well as of denominator presents problems in empirical implementation. Looking for an appropriate approach, both macroeconomic and microeconomic level can be followed. The macroeconomic Q can be derived from the Keynes equation for the price level. Tobin's Q is given here as a measure of the economy's willingness to invest (Mundschenk, 2000). As for the firms, a VAR model is estimated using panel data. Relevant forecasts enable to quantify an expected value of a firm even in case that it is not quoted on stock markets (Behr and Bellgardt, 2002). To characterize a macroeconomic background, the Q of the Czech Republic was computed. Than, the panel data approach was applied to the Czech machinery. The Qs were computed with an evident majority of negative values and a zero correlation to investment, when following the detailed panel structure. A high degree of zero investment might be a signal for policy makers which seems to be recognized by governmental authorities as a necessity of foreign - investment supporting policy.