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1

ALTMAN’S REVISED Z’-SCORE MODEL, NON-FINANCIAL INFORMATION AND MACROECONOMIC VARIABLES: CASE OF SLOVAK SMES

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Káčer M., Ochotnický P., Alexy M.
Ekonomický časopis (Journal of Economics)
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2019
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vol. 67
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issue 4
335 – 366
EN
In this paper, we assess the classification performance of the re-estimated Altman’s Z’-Score model for a large sample of private SMEs in Slovakia. More specifically, we assess transferability of the revised Z’-Score model (Altman, 1983) and explore the impact of the non-financial company-specific and macroeconomic variables. The dataset covers the period from 2009 to 2016 and contains 661 622 company-year observations about 149 618 individual companies with 1 575 failures. The discriminatory power of models is tested in out-of-sample period. We find that even though the model with re-estimated coefficients achieves better discrimination performance, it is not statistically different from the revised Z’-Score model. The non-financial variables improve the discriminatory performance significantly, whereas the macroeconomic variables do not. The latter even worsen the out-of-sample and out-of-time discriminatory performance.
2

VISEGRAD FOUR COUNTRIES AND THEIR SOVEREIGN CREDIT RATING

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Alexy M., Ochotnický P., Káčer M.
Ekonomický časopis (Journal of Economics)
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2014
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vol. 62
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issue 5
447 – 472
EN
We study the sovereign credit rating determinants of Visegrad Four countries in the period 1993 – 2012. The ratings come from four major credit rating agencies – Moody’s, S&P, Fitch and R&I. We use linear model with fixed effects. Besides the economic variables inflation, unemployment, broad money to GDP, import to export, openness of the economy, government gross debt, primary balance and size of the government we found out that voice & accountability score of Worldwide Governance Indicators is suitable representative of socio-political situation. Both EU and EMU membership provide additional information to other explanatory variables. The government finance is the most influential determinant in the researched dataset. Unlike in other academic papers, the growth of GDP was not significant variable to explain the sovereign ratings.
3

RISK ATTITUDE ELICITATION METHODS: DO THEY TELL SIMILAR STORIES?

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Alexy M., Georgantzis N., Káčer M., Péliová J.
Ekonomický časopis (Journal of Economics)
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2016
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vol. 64
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issue 9
847 – 877
EN
We focus on the comparison of risk attitudes elicited through three different procedures with the goal to analyse the consistency of risk attitudes. Rank correlations are utilized to measure the degree of association of the subjects’ choices and principal component analysis is employed to find the main factors describing the specific characteristics of risk attributes. We observe patterns of consistency in risk attitudes between two methods and within the selected multidimensional method, too. We find evidence that gender and subjects’ cognitive abilities play a certain role in the consistency of risk attitudes. Participants’ choices in popular Holt and Laury method and the other two methods show nearly no relation. The principal component analysis supports the validity of the distinctive nature of the three risk elicitation methods. We also identify another aspect which is common in the different risk context; we call it the payoff risk sensitivity.
4

DRIVING FORCES OF TOTAL FACTOR PRODUCTIVITY IN EUROPE

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Ochotnický P., Alexy M., Káčer M.
Ekonomický časopis (Journal of Economics)
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2020
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vol. 68
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issue 10
1002 – 1020
EN
In this paper, we explore the driving forces behind total factor productivity growth in 28 European countries in the period from 2005 to 2019. Based on neoclassical theory, theory of endogenous economic growth and competitiveness theory we formulate four research hypotheses related to the impact of technological readiness, human capital, business and tax environment and creativity on the TFP growth. We used fixed effects model focusing on the impact within the countries. Our results suggest that technological readiness is an important driving force behind TFP growth. We could only partially confirm the impact of the remaining explanatory variables.
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