Tail risk in emerging markets of Southeastern Europe

This article examines the left-tail behaviour of returns on stocks in Southeastern Europe (SEE). We apply conditional extreme value theory (EVT) approach on daily returns of six stock market indices from SEE between 2004 and 2013. Predictive performance of value-at-risk (VaR) and expected shortfall (ES) based on EVT is compared against several alternatives, such as historical simulation and analytical approach based on GARCH with a single conditional distribution. Model backtesting with daily returns shows that EVT-based models provide more reliable VaR and ES forecasts than the alternative models in all six markets. Unlike the alternatives, the EVT-based models cannot be rejected as VaR confidence level is increased. This emphasizes the importance of extreme events in SEE markets and indicates that the ability of a model to capture volatility clustering accurately is not sufficient for a correct assessment of risk in these markets.     

Inflation in New EU Member States: A Domestically or Externally Driven Phenomenon?

This article empirically analyzes the domestic and external inflation determinants for eight non-eurozone new EU member states (NMS), using a structural vector autoregression model. Results indicate that foreign shocks are a major factor in explaining inflation dynamics in the medium run, while the short-run inflation dynamics are mainly influenced by domestic shocks. Moreover, the importance of the foreign inflation component has had a rising trend in the precrisis period in all NMS and mostly coincided with their accession to the EU. This trend ended with the onset of the global financial crisis. The study implicates the need to augment the classical Taylor rule with foreign factors in the case of small open economies.     

Context-Sensitive Access Control Model for Government Services

During the past two decades, e-government information systems have become less paper-based and more computer-based. Those information systems usually take the form of workflow systems. Due to the large social impact of e-government systems, computer security plays a pivotal role in ensuring its efficiency and effectiveness. Access control is one of the key aspects of computer security. Current access control models do not take into account the context of the system and its environment. In this article, we argue that a formal context-sensitive access control model can improve the development of e-government workflow systems and present a particular context-sensitive access control model. The subject of the article is a specification of the context-sensitive access control model for business processes (COBAC). By using a context-sensitive access control, it is possible to define more sophisticated access control policies that cannot be implemented by existing access control models. The COBAC's context is modeled using Web Ontology Language (OWL) in order to provide formal representation of context, rich representation of diverse contextual information, semantic interoperability between various context-aware systems, and a high degree of inference making. The presented model is applicable in different e-government systems, and supports the definition of access control policies for both simple and complex business processes. The model's prototype is verified by a case study on a real e-government business process—the national petty offense trial proceedings.     

Investment opportunities in the source country and temporary migration

Abstract This paper examines how attractive investment opportunities available to temporary migrants at home affect their saving behaviour and the optimal duration of stay abroad. The model predicts an inverse U‐shaped relationship between migration duration and the expected rate of return on repatriated savings. A higher rate provides an incentive to go back earlier and consume less abroad, while it can also trigger emigration aimed at generating the savings required for investment after return. The paper illustrates how the behaviour of temporary migrants reflects the interaction between their preferences and the opportunities available in labour and capital markets of both countries.     

Wage inequality and the labor market impact of economic transformation: Croatia, 1970–2008

In this paper, we examine wage inequality and wage differentials in Croatia from 1970 to 2008 using two long aggregate time series on the distribution of income. We focus especially on changing income inequality related to educational and vocational attainment, changing income inequality within those groups, and how these two components of inequality were affected by the economic transformation from socialism to capitalism. We find that income inequality between groups rose moderately post-transformation, while overall inequality increased more sharply. This finding is consistent with a growing importance of individual rather than group productivity in labor market compensation, a change broadly consistent with the economic transformation of the Croatian labor market.     

The Status of Lobbying in Croatia

The positions of lobbying and the lobbyist, well established in developed democratic societies, are far less clear in transitional countries. The aim of this paper is to present the current status of lobbying in Croatia through a discussion of its reputation in the media, citizens’ attitudes and the perceptions of business sector representatives. For that purpose, three groups of research results are presented. (1) In order to characterize the reputation of lobbying in the media, the results of a quantitative content analysis of information published in daily and weekly newspapers, magazines and on Internet portals are given. (2) To understand the attitudes of citizens to lobbying, the views of the young are considered. (3) Finally, to define perceptions of lobbying in the public sector and business, the results of a survey conducted among 50 employees in government institutions and 50 in the enterprise sector are presented and analyzed.     

STABILITY OF THE UTILITY MAXIMIZATION PROBLEM WITH RANDOM ENDOWMENT IN INCOMPLETE MARKETS

We perform a stability analysis for the utility maximization problem in a general semimartingale model where both liquid and illiquid assets (random endowments) are present. Small misspecifications of preferences (as modeled via expected utility), as well as views of the world or the market model (as modeled via subjective probabilities) are considered. Simple sufficient conditions are given for the problem to be well posed, in the sense that the optimal wealth and the marginal utility‐based prices are continuous functionals of preferences and probabilistic views.     

Contribution of financial market segments at different stages of development: Transition,cohesion and mature economies compared

What is the impact of financial sector segments at different stages of development? We apply a production function approach to investigate the impact of the credit, bond and stock segments in nine EU-accession countries over early years of transition (1996–2000) and compare these to mature market economies and to countries at intermediate stage. We find that the transfer mechanisms differ over the development cycle (from bond markets to educational attainment to labor participation) and that financial market segments with links to the public sector (but not stock markets) contributed to stability and growth in transition economies.