F47 - Macroeconomic Aspects of International Trade and Finance: Forecasting and Simulation: Models and ApplicationsNávrat zpět

We construct a simple model of exchange rates stemming from the methodology of behavioural equilibrium exchange rate (BEER) models on annual panel data for 34 countries with a floating exchange rate regime during the period 2000-2020. The basic building block of the model is the absolute version of purchasing power parity theory (the ratio of domestic and foreign price levels), further extended by other variables rooted in economic theory. A complementary interpretation of our approach could be a measurement of exchange rate deviations from purchasing power parity caused by variation in economic fundamentals. The results suggest that purchasing power parity is an appropriate reference point for exchange rate models. Furthermore, national currencies tend to be stronger against the euro with higher GDP per capita, interest rates, investment freedom, urbanization rate and terms of trade, and with lower inflation. The presented deviations of exchange rates from the model equilibrium are significantly lower than those implied by a naïve model based on purchasing power parity alone.

This article describes the trend of income distributions in Czech Republic over the years 1995-2008. There is not social economy study on the topic incomes. We analyze time series of incomes over these years. The income distributions and their trends are analyzed over all Czech Republic, next depending on sex and age (we work with three age groups - under 30 years, 30-50 years and over 50 years). For the better comparison in each category we published the common characteristics of location and variability and their trend over time. The trend of incomes in CR is increasing linear over time in accordance to sex and to age, too. As suitable characteristic of location we have chosen average and median. For measurement of variability we have used standard deviation. The Gini index over all Czech Republic and for each category was calculated. The values of this index are increasing over time. The values are in boundaries 0,22-0,265 over all Czech Republic.

The article aims at introducing new methodology for recognizing suitable indicators to monitor the potential risk of extensive pressure on the exchange rate (early warning indicators) and for identifying vulnerabilities in an economy to this pressure reflected by simultaneous negative development of the observed early warning indicators. The construction of the empirical model is based on the combination of the signal approach and the binary model of behaviour. This model focuses on both strong and increased pressure on exchange rate and the parameters are adjusted to the Czech environment. The results indicate that the most significant early warning indicator for the Czech economy is the gap between current account deficit and foreign direct investment and further M2 to foreign exchange ratio, GDP growth and export growth. In total the model identified correctly 72 per cent periods of increased vulnerability of the Czech economy to excessive devaluation pressure. At the same time it identified correctly 78 per cent of tranquil periods. This methodology constitutes an innovative approach, which needs a further verification.

The large financial crises in the last decade have increased the interest of many economists in searching for some indicators, which can predict speculative attacks on currencies. Most of these studies concern on emerging economies, because they are more vulnerable to such speculative attacks. This paper points out main methodological issues of two standard approaches to the construction of the early warning system - the signal approach and the regression probit or logit model approach. Based on avoiding these issues alternative approaches have been evolved. Three of them - two regimes model, VAR model and Markov-switching model - are described in the next part of this paper. The comparison of predictive power shows the importance of the construction of country specific early warning systems.

The Czech economy was characterized by a high nominal and real appreciation which was caused by great foreign direct investment inflow in 2002. The paper analyzes the effect of the Czech currency appreciation on industrial branches and the industry as a whole using a simple model based on a corporate accounting. The outcome of the model is then compared with actual y-o-y data of non-financial corporations in 2002. There is significant difference between industrial branches in sensitivity to appreciation. Foreign owned branches are able to limit the negative impact of appreciation, whereas the worst situation is in branches owed only by residents and public. The property structure and in addition the labor intensity of production have had a great effect on corporate finance after the rapid crown appreciation.