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1

THE CONTRIBUTION OF TOURISM TO THE LONG-RUN TURKISH ECONOMIC GROWTH

100%
Ongan S., Demiröz D. M.
Ekonomický časopis (Journal of Economics)
|
2005
|
vol. 53
|
issue 9
880-894
EN
This paper empirically investigates the impact of international tourism receipts on the long-run economic growth of Turkey. For this purpose, tourism-led growth hypothesis is tested by using co-integration and Granger causality testing. The causal relationship between international tourism receipts and GDP is examined for the period 1980Q1-2004Q2. Johansen technique is used and vector error correction modelling (VECM) is incorporated into the Granger causality tests. The empirical results suggest that there are bidirectional causal relationships between the two variables in both the short and the long-run. In other words, it can be said that economic growth contributes to the development of tourism while tourism contributes to the economic growth.
2

INTEREST RATE SENSITIVITY OF SAVINGS ACCOUNTS

100%
Witzany J., Diviš M.
Ekonomický časopis (Journal of Economics)
|
2022
|
vol. 70
|
issue 4
349 – 367
EN
Interest rate risk measurement and management of non-maturity deposit balances presents a challenge for practitioners and academic researchers as well. The paper provides a review of several methodological approaches focusing on the area of savings accounts rate sensitivity modelling and estimation. The proposed interest rate sensitivity models are tested on a Czech banking sector dataset providing mixed results regarding the co-integration type models generally recommended in the literature. On the other hand, the analysis shows that simpler regression models may provide more robust results if the co-integration tests between the saving accounts rate and the market rate series fail. According to the empirical results, the sensitivity of the domestic savings rates is slightly higher for companies compared to rates for individuals, but in both cases well below 50%.
3

ANALÝZA VZÁJEMNÝCH VAZEB MEZI DEVIZOVÝMI KURZY STŘEDOEVROPSKÝCH MĚN

88%
Stavárek D.
Ekonomický časopis (Journal of Economics)
|
2007
|
vol. 55
|
issue 7
646-658
EN
The paper examines long-term and short-term relationships among exchange rates of the Visegrad countries' national currencies vis-a-vis euro. The co-integration tests, vector error correction models and Granger causality tests are applied on the daily nominal exchange rates. The results suggest that long-term linkages are very rare. The only relevant long-term linkage was identified between Polish zloty and Slovak koruna during the period of EU membership. The short-term relationships proved to be significant more often. However, their frequency and intensity have been decreasing during the period analysed. This can be considered as the evidence of diminishing sovereignty of the national currencies and their ability to influence development of other currencies.
4

ANALYSING CROSS-CURRENCY BASIS SPREADS

88%
Baran J., Witzany J.
Ekonomický časopis (Journal of Economics)
|
2018
|
vol. 66
|
issue 10
1002 – 1030
EN
This paper investigates the drivers of cross-currency basis spreads, which were historically close to zero but have widened significantly since the start of the financial crisis. Credit and liquidity risk, as well as supply and demand have often been cited as general factors driving cross-currency basis spreads, however, these spreads may widen beyond what is normally explained by such variables. We suggest market proxies for EUR/USD basis swap spread drivers and build a multiple regression and a co-integration model to explain their significance during three different historical periods of basis widening. The most important drivers of the cross-currency basis spreads appear to be short- and long-term EU financial sector credit risk indicators, and to a slightly lesser extent, short- and long-term US financial sector credit risk indicators. Another important driver is the market volatility for the short-end basis spread, and the EUR/USD exchange rate for the long-term basis spread, and to a lesser extent, the Fed/ECB balance sheet ratio.
5

NOMINÁLNY VÝMENNÝ KURZ A SWAPY ÚVEROVÉHO ZLYHANIA NA VLÁDNE DLHOPISY: KOINTEGRÁCIA A GRANGEROVA KAUZALITA

75%
Boďa M., Pinter Ľ., Zimková E.
Ekonomický časopis (Journal of Economics)
|
2014
|
vol. 62
|
issue 1
46 – 70
EN
The paper offers an insight into the relationship between the euro to US dollar nominal exchange rate and the cost of sovereign credit default swaps (CDSs) of five selected countries of the Eurozone: Germany and the PIGS countries. The investigation is undertaken under the rationalized belief that the former indicator represents the status of external economic stability of a country and the latter indicator is a descriptor of their internal debt capacity. The results affirm, inter alia, that there were substantial differences in the intensity and quality of the relation between external economic stability and internal debt capacity during the pre-crisis period as opposed to the crisis period.
6

THE EFFECT OF LABOR PRODUCTIVITY ON REAL EXCHANGE RATE: EVIDENCE FROM CZECH REPUBLIC, HUNGARY, POLAND AND SLOVAKIA

63%
Pošta V.
Ekonomický časopis (Journal of Economics)
|
2010
|
vol. 58
|
issue 7
657-676
EN
The paper builds on an inter-temporal model of an open economy to formulate the hypothesis of the dependence of real exchange rate on labour productivity. The model is formulated under those assumption on which rests the Balassa-Samuelson theorem. The hypothesis is tested using co-integration technique and vector error correction model. Usually, testing the Balassa-Samuelson effect gives mixed results, sometimes finding the opposite reaction of the real exchange rate to the one predicted by the Balassa-Samuelson theorem, pointing to the restrictive nature of the assumptions on which it is based. The analysis shows a little supportive evidence for the Balassa-Samuelson effect. However, according to the analysis the effect of labour productivity on the real exchange rate can hardly be considered as clear-cut as predicted by the Balassa-Samuelson theorem.
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