Predictive Systems: Living with Imperfect Predictors

We develop a framework for estimating expected returns—a  predictive system —that allows predictors to be imperfectly correlated with the conditional expected return. When predictors are imperfect, the estimated expected return depends on past returns in a manner that hinges on the correlation between unexpected returns and innovations in expected returns. We find empirically that prior beliefs about this correlation, which is most likely negative, substantially affect estimates of expected returns as well as various inferences about predictability, including assessments of a predictor's usefulness. Compared to standard predictive regressions, predictive systems deliver different expected returns with higher estimated precision.     

Approaches to Real Estate Taxation in the Czech Republic and the EU Countries

International Advances in Economic Research - Real estate taxes are not harmonized in the European Union. Individual states use different approaches when designing such taxes and the percentage of...     

Competitiveness of Czechoslovak exports under socialism and its impact on industries’ output growth after 1989

This paper addresses the performance of international trade during the centrally planned period in socialist Czechoslovakia and its consequences in the transition period. The goal of the paper is to determine whether the relative export competitiveness before 1989 positively influenced the performance of the enterprises in the transition period. To determine the reason for the low competitiveness of socialist enterprises, we use the oral history method, based on interviews with the then managers. We show that the level of competitiveness was influenced by multiple factors. Some of them were of a systemic nature, such as incentive structure, which did not encourage managers to pursue higher productivity, and others were related to day‐to‐day operations of the enterprises and a lack of Western technologies. Consequently, an econometric analysis is applied to determine whether there was any relationship between competitiveness in late socialism (ability to export to world markets) and production growth in the transition period. We expected that sectors that were able to export to Western markets during the centrally planned period were more successful after the fall of the regime. However, our findings do not support this hypothesis.     

Being hybrid: a conceptual update of consumer self and consumption due to online/offline hybridity

ABSTRACT

Emergent mobile technologies are dramatically and rapidly changing not only the way we consume but also the way we live. In theory, it is becoming harder and harder to keep pace with the changes already embodied in practice. First, this paper aims to reduce the gap between theory and practice by introducing online/offline hybridity both as a new kind of hybridity and a universal contemporary human condition. Second, it presents the concept of hybrid space as a new frame of reference, as an overarching conception of our everyday. Third, it proposes the necessary micro-level updates regarding consumer self and consumption due to these changes in perspective. Fourth, it concludes by introducing privatescapes as a new global flow of shared private content with a significant impact on consumer behaviour.     

Portfolio sensitivity to changes in the maximum and the maximum drawdown

In this article, we define new ‘Greeks’ for financial derivatives: sensitivities to the running maximum and the running maximum drawdown of an underlying asset. Some types of portfolios, such as the net asset value of a hedge fund or performance fees, are sensitive to these parameters. In order to illustrate the concept of the new ‘Greeks’, we derive probabilistic representations of sensitivities for two classes of financial contracts: forwards on the maximum drawdown and lookback options. These results allow us to interpret the delta-hedge of the contracts in a novel way.     

Investigating the determinants of banking coexceedances in Europe in the summer of 2008

We examine the nature, extent and possible causes of bank contagion in a high frequency setting. Looking at six major European banks in the summer and autumn of 2008, we model the lower coexceedances of these banks returns. We find that market microstructure, volatility (measured by range based measures) and limited general market conditions are key determinants of these coexceedances. We find some evidence that herding occurred.     

Regional unemployment and human capital in transition economies1

Differences in regional unemployment in post‐communist economies are large and persistent. We show that within‐country regional variation in inherited human capital in four such economies explains the bulk of regional variation in unemployment; we explore potential explanations. Our evidence suggests that internal skill‐biased migration and the flow of foreign direct investment are not working as adjustment mechanisms but rather help explain the lack of convergence in regional unemployment rates. Although this capital and labour mobility pattern is consistent with the presence of regional skill spillovers, we find little support for this hypothesis. Instead, the observed migration pattern appears to arise from different skill‐specific adjustments to regional shocks brought about in part by labour‐market institutions such as guaranteed welfare income.     

The Effects of Foreign Trade Liberalisation and Financial Flows between Slovenia and the EU after Accession

The new version of the CGE model of the Slovenian economy based on the 1998 SAM was used for simulations of the consequences of further foreign trade liberalisation after 1998 as the outcome of implementation of Free Trade Agreements and the European Agreement, adaptation of the Customs Tariff to the for manufacturing products, adoption of the EU Common External Tariff after the accession of Slovenia to the EU, and estimated transfers between the two budgets. Results obtained show a positive net outcome of Slovenian accession to the EU in the long run. On the other hand, rational behaviour by the government will certainly moderate possible short-run negative effects and improve favourable long-run effects.     

Optimal prediction designs in finite discrete spectrum linear regression models

In the paper, we solve the n-point optimal prediction design problem for the simplest nontrivial finite discrete spectrum linear regression models with correlated observations. We show that for all the models in consideration, there exists an optimal prediction design supported on at most three distinct points, which can be computed using one-dimensional optimization. In some cases, an optimal prediction design can be found explicitly.