Restructuring the State-Owned Banking Sector: A Comparative Assessment of Approaches in Central Europe

MOCT-MOST: Economic Policy in Transitional Economies -     

Realized volatility transmission: The role of jumps and leverage effects

This paper is the first to employ a multivariate extension of the LHAR–CJ model for realized volatility of Corsi and Renó (2012) considering continuous and jump volatility components and leverage effects. The model is applied to financial (S&P 500), commodity (WTI crude oil) and forex (US$/EUR) intraday futures data and allows new insights in the transmission mechanisms among these markets. Besides significant leverage effects, we find that the jump components of all considered assets do not contain incremental information for the one-step ahead realized volatility. The volatility of S&P 500 and US$/EUR exchange rate futures exhibits significant spillovers to the realized volatility of WTI. Moreover, decreasing equity prices appear to increase volatility in other markets, while strengthening of the US$ seems to calm down the crude oil market.     

Empirical economics acknowledges the cooperation of

Empirical economics acknowledges the cooperation of     

MEASURING AND IMPROVING TECHNICAL EFFICIENCY IN UK POST OFFICE COUNTERS USING DATA ENVELOPMENT ANALYSIS

This paper sought to establish how technically efficient Post Office Counters is nationally and regionally. The method by which this was determined is data envelopment analysis, applied to data for 1989 on 1281 Crown post offices. The input used was labour, and outputs consisted of average waiting times as a measure of quality of service, and nine different categories of counter transactions. Nationally it was found that technical efficiency could be significantly improved by making more efficient use of labour inputs and reducing average waiting times. Wide disparities were found in regional efficiency and it was hypothesized that these relative differences were due to differing working practices, turnovers of staff and local labour market conditions. It was also concluded for the period studied that some structural inefficiency existed due to the existence of inefficient working practices and the lack of computerization of transaction procedures.     

Strategies as states

We define rationality and equilibrium when states specify agents’ actions and agents have arbitrary partitions over these states. Although some suggest that this natural modeling step leads to paradox, we show that Bayesian equilibrium is well defined and puzzles can be circumvented. The main problem arises when player j's partition informs j of i's move and i knows j's strategy. Then i's inference about j's move will vary with i's own move, and i may consequently play a dominated action. Plausible conditions on partitions rule out these scenarios. Equilibria exist under the same conditions, and more generally ε equilibria usually exist.     

Monetary policy rules in Central and Eastern European Countries: Does the exchange rate matter?

We estimate monetary policy rules for six Central and Eastern European Countries (CEEC) during the period when they prepared for membership to the EU and monetary union. By taking changes in the policy settings explicitly into account and by splitting up the exchange rate impact into two different components we significantly improve estimation results for monetary policy rules in CEEC. We uncover that the focus of the interest rate setting behaviour in the Czech Republic, Hungary and Poland explicitly switched from defending the peg to targeting inflation. For Slovakia, however, there still seemed to be on ongoing focus on the exchange rate. Finally, Slovenia and, after a policy switch, Romania exhibit a solid relation with inflation as well.