Rok 2020 (ročník 23)

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The contribution of innovation actors into business R&D funding – does the substitution effect of public support work in the EU?
(Technická Univerzita v Liberci, ) Pisár, Peter; Ďurčeková, Ina; Stachová, Mária; Ekonomická fakulta
Innovation and R&D are becoming a prominent part of policies of countries and transnational unions such as the European Union. This is shown in strategy “Europe 2020” established by EU which prompts member states to invest 3 % of their GDP in R&D. R&D expenditure is an important indicator of innovation performance of a country. However, it is not only important to look at R&D expenditure as one aggregate indicator, but to also consider the contributions of various innovation actors to R&D funding. Since firms are known to be the main innovation actor that creates the biggest amount of innovation in national innovation system, the paper is focused on financing of business R&D. The aim of the paper is to examine business R&D funding from resources of main innovation actors and to analyze the impact of public support of R&D on private R&D investment in EU member states. The research is based on descriptive statistics as well as panel regression and correlation analysis and cluster analysis of 28 EU member states. Our results suggest that the main source used to fund business R&D comes from business sector, followed by public support and resources from abroad. The cluster analysis resulted in four clusters based on the structure of business R&D financing in the EU countries. The analysis of substitution effect of public support of R&D suggests that public support has a positive effect on private investment in business R&D, with the raise of public support for business R&D of 0.1011 % GDP resulting in 1 % increase in business funded R&D expenditure.
Alter Ego Only Four Times? The Case Study of Business Profits in the Visegrad Group
(Technická Univerzita v Liberci, ) Valášková, Katarína; Gavurová, Beáta; Ďurana, Pavol; Kováčová, Mária; Ekonomická fakulta
The paper studies a new point of view and the approach to profit as an inherent part of business finance as well as a symbol of every healthy economy. The fundamental function of the profit is a stimulus; it means initial motivator of the business activity. The profit provides core resources for survival at the business start and after the stabilization, it is the synonym for progress. The aim of this paper is to detect significant change-points in times series of EBITDA during the analysed period in every country of the Visegrad Group to recognize the progress years in the monotonic development. We use a method of homogeneity test of time series that delivers significant robust results. We observe the variable EBITDA to eliminate different tax, interest and depreciation policies of these emerging countries. The original research of this article is based on empirical results of business profits of the sample of 3,853 enterprises covered by the broad theoretical review. Firstly, we identify missing values; and detect the outliers by Z-score and Grubbs test. EBITDA of 1,058 Slovak enterprises, 688 Czech enterprises, 1,376 Polish enterprises and 731 Hungarian enterprises is analysed during the period from 2010 to 2018. We eliminate the inconsistent observations and construct average values of EBITDA. Secondly, we prove normality by Jarque-Bera test, and support it by Shapiro-Wilk test, Anderson-Darling test, Lilliefors test to deliver reliable results. Thirdly, we find an independency of distribution that confirm randomness by the Box-Pierce test. And finally, we identify the years that affect heterogeneity of EBITDA in the countries of the Visegrad Four. We uncover some really surprising results. For all countries in the Visegrad Four, the year 2013 is detected as a change-point at a significance level of 0.05. This significant year shifts EBITDA between two homogeneous series with corresponding central lines and recognizes the similar annual development within the groups. In addition, we discuss the results to the areas and factors affecting the business risk. The adjustable area represented by the business dynamism has no significant impact on the development of EBITDA. The uncontrollable macroeconomic factors such as a GDP, unemployment rate, inflation rate, average monthly gross wage, and Ease of doing business index demonstrate the same development of Slovak, Czech, Polish and Hungarian enterprises. We connect our gained results to the undisputed influence of these factors and its derived components on monotonic development of EBITDA. Despite the fact, that the countries are not economically interconnected as they used to be in the past, in has to be underlined that their mutual relations are still very narrow and close and that might be the reason, why identical results are achieved in the countries with divergent development.
Non-financial Indicators in the Valuation Process – Current Trends
(Technická Univerzita v Liberci, ) Hálek, Vítězslav; Borkovcová, Anna; Hašek, František; Ekonomická fakulta
This article is motivated by the needs to make non-fi nancial indicators more accessible to and clearer for both general public and experts, especially because of the rapid expansion of nonfi nancial indicators and a complete absence of publications that would cover this topic. The main aim of this article is to emphasize the growing infl uence and contribution of the nonfi nancial indicators related to social and environmental changes in society, which has a signifi cant impact on individual companies. Furthermore, the purpose of this study is to defi ne the key terms and show how they relate to the non-fi nancial indicators. The article also aims to describe the importance and the use of the non-fi nancial indicators and defi ne the future development in the non-fi nancial indicators. Measuring the non-fi nancial indicators of a company is a new practice. The need to include the non-fi nancial aspects in the business’s evaluation has forced economic development, during which the environment has become highly unstable and characterized by global competition and rapid technological progress. The economy has turned into a very tough competitive environment. Even for the purpose of valuing an enterprise, it is not enough to compare its activities only from one point of view. The fi nancial indicators themselves seem insuffi cient, mainly because they are largely historical and may not be enough for the analysis of the future development. The contribution of this paper is primarily the determination of the non-fi nancial indicators and their infl uence on society and companies. Non-fi nancial indicators are compared to the fi nancial indicators, as it is so far insuffi ciently addressed topic. Systems of evaluating the performance of companies based on a combination of indicators (fi nancial and non-fi nancial) could become a tool for managing and enforcing a corporate strategy in the short term and especially long term.
Asymmetric Effects of Trade Openness on Economic Growth in Selected ASEAN Countries
(Technická Univerzita v Liberci, ) Sriyana, Jaka; Afandi, Akhsyim; Ekonomická fakulta
In the growing of economic integration and international relations, the effect of trade openness on economic growth has become an important issue across countries. Following the economic integration, the world trading system has become progressive and competitive in recent years. Many countries generated their economic growth by attracting both foreign and domestic investments and expanding export production. In response to current challenges posed by the implementation of economic integration in the ASEAN region, it is important to conduct a study focusing on the impact of trade openness as well as other economic factors on economic growth. This research examines the effects of trade openness and other economic variables such as foreign direct investment, gross capital formation and human capital on economic growth in selected ASEAN countries. Using long term annual data, the empirical NARDL models incorporate asymmetric effects of trade openness on economic growth in Indonesia, the Philippines, Thailand, and Singapore. While such effects for the case of Malaysia are symmetric both in the short and long-run models, the effects are asymmetric in the long run and symmetric in the short run for the Philippines, Thailand, and Singapore. The results are different for Indonesia where the impact of trade openness is asymmetric in the short run and symmetric in the long run. This paper highlights that trade openness has a net positive impact on economic growth only in the Philippines and Singapore. It implies that most of the other countries in that region have a challenge regarding the implementation of trade liberalization. This research also found that both foreign and domestic investments are important factors of economic growth in the ASEAN countries. Similarly, human capital is proven to be an important factor in economic growth. This paper contributes to the literature by providing a new insight that incorporates the asymmetric effects of trade openness on economic growth.
Methodology of Industry Statistics: Averages, Quantiles and Responses to Atypical Value
(Technická Univerzita v Liberci, ) Boďa, Martin; Úradníček, Vladimír; Ekonomická fakulta
The paper notices troublesome aspects of compiling industry statistics for the purpose of inter-enterprise comparison in corporate financial analysis. Whilst making a caveat that this issue is unbeknownst to practitioners and underrated by theorists, the goal of the paper is two-fold. For one thing, the paper demonstrates that financial ratios are inclined to frequency distributions characteristic of power-law (fat) tails and their typical shape precludes a simple treatment. For the other, the paper explores different approaches to compiling industry statistics by considering trimming and winsorizing cleansing protocols, and by confronting trimmed, winsorized as well as quantile measures of central tendency. The issues are empirically illustrated on data for a great number of Slovak construction enterprises for two years, 2009 and 2018. The empirical distribution of eight financial ratios is studied for troublesome features such as asymmetry and power-law (fat) tails that hamper usefulness of traditional descriptive measures of location without considering different possibilities of handling atypical values (such as infinite and outlying values). The confrontation of diverse approaches suggests a plausible route to compiling industry statistics that consists in reporting a 25% trimmed mean alongside 25% and 75% quantiles, all applied to trimmed data (i.e. data after discarding infinite values). The paper also highlights the sorely unnoticed fact that the key ratio of financial analysis, return on equity, may easily attain non-sense values and these should be removed prior to compiling financial analysis; otherwise, industry statistics is biased upward regardless of what measure of central tendency is made use of.
Unemployment Effects of Greenfield and Brownfield Investments in Post-transition European Union Members
(Technická Univerzita v Liberci, ) Bayar, Yilmaz; Remeikienė, Rita; Žufan, Jan; Novotný, Miloslav; Ekonomická fakulta
International direct and portfolio investments have gone up considerably as of mid-1980s. The foreign direct investments with characteristic of long term horizon may affect the economic variables through know-how and technology transfer, physical capital expansion, and new job creation. However, foreign direct investments may have potential to negatively affect the domestic competitors with insuffi cient competitiveness in the industry. So, the economic effects of FDI infl ows have been one of the much-debated and studied issues in the international economics. This study investigates the unemployment effects of greenfi eld and brownfi eld investments in 11 posttransition EU members over 2003–2017 period through panel cointegration and causality tests. The article fi lls the gap in the literature, because the relevant empirical literature has generally researched the impact of total FDI fl ows on the unemployment/employment. The empirical fi ndings revealed that brownfi eld investments raised the unemployment in overall panel in the long run, but greenfi eld investments had no signifi cant impacts on the unemployment in overall panel in the long run. However, greenfi eld investments decreased the unemployment in Croatia, Hungary, and Slovenia, and raised the unemployment in Poland and Slovakia, while brownfi eld investments raised the unemployment only in Czechia. Consequently, it is not very reasonable to compare our fi ndings with the results of other studies using total FDI infl ows as the independent variable. But, it is generally consistent with theoretical and empirical expectations.
Macroeconomic Time Series Affecting the Minimum and Average Wages of V4 Countries
(Technická Univerzita v Liberci, ) Meixnerová, Lucie; Krajňák, Michal; Ekonomická fakulta
The study deals with the evaluation of the impact of macroeconomic indicators such as gross domestic product, unemployment, the implicit tax rate on labour and the consumer price index on the minimum and average wages in the countries of the Visegrad Four. The set of input analysed data is obtained from databases of national statistical offices, the Organisation for Economic Cooperation and Development and Eurostat. Since the minimum wage is influenced by state intervention, it is an intervention in the market mechanism and its costs are borne primarily by employers, it is an important indicator in assessing the impacts in the payroll field. Employers have a direct impact on the level of the average wage. From the results of derived VAR models, it cannot be argued that short-term relations in selected countries show the same regularities. However, common characteristics can be found between macroeconomic indicators and minimum and average wage. The results of the article show that if the endogenous variable is the minimum wage, there are no significant dependencies between the above-mentioned indicators. Each of the analysed countries has its own instrument for regulating the minimum wage independent of macroeconomic factors, which has been confirmed. If an average wage indicator is an endogenous variable, this variable has both a positive and negative impact on the remaining indicators analysed. The implicit tax rate on labour was evaluated as the most statistically significant indicator affecting the average wage. The results of the testing between the minimum or average wage and the macroeconomic indicators in the sense of Granger causality confirmed the fact that the development of selected macroeconomic indicators contributes to an increase in the accuracy of the forecast of the evolution of the average wage in the examined countries.
Importance Sampling for Monte Carlo Simulation to Evaluate Collar Options under Stochastic Volatility Model
(Technická Univerzita v Liberci, ) Li, Pengshi; Li, Wei; Chen, Haidong; Ekonomická fakulta
The collar option is one kind of exotic options which is useful when institutional investors wish to lock in the profi t they already have on the underlying asset. Under the constant volatility assumption, the pricing problem of collar options can be solved in the classical Black Scholes framework. However the smile-shaped pattern of the Black Scholes implied volatilities which extracted from options has provided evidence against the constant volatility assumption, so stochastic volatility model is introduced. Because of the complexity of the stochastic volatility model, a closed-form expression for the price of collar options may not be available. In such case, a suitable numerical method is needed for option pricing under stochastic volatility. Since the dimensions of state variable are usually more than two after the introduction of another volatility diffusion process, the classical fi nite difference method seems ineffi cient in the stochastic volatility scenario. For its easy and fl exible computation, Monte Carlo method is suitable for evaluating option under stochastic volatility. This paper presents a variance reduction method for Monte Carlo computation to estimate collar option under stochastic volatility model. The approximated price of the collar option under fast mean reverting stochastic volatility model is derived from the partial differential equation by singular perturbation technique. The importance sampling method based on the approximation price is used to reduce the variance of the Monte Carlo simulation. Numerical experiments are carried out under the context of different mean reverting rate. Numerical experiment results demonstrate that the importance sampling Monte Carlo simulation achieves better variance reduction effi ciency than the basic Monte Carlo simulation.
Marketing tools in the era of digitization and their Use in Practice by Family and other Businesses
(Technická Univerzita v Liberci, ) Petrů, Naděžda; Kramoliš, Jan; Stuchlik, Peter; Ekonomická fakulta
This article addresses Marketing 4.0 as an exceptionally dynamic field for company competitiveness that is evolving rapidly. The main goal of this article is to evaluate and compare the overall level of use of modern marketing tools in practice by family and non-family businesses, and subsequently to measure the dependence between the extent of Marketing 4.0 activities and number of employees, volume of sales, field of business, and year the company was established. Primary and secondary data was analyzed using basic and advanced statistical methodologies, including the testing of six hypotheses. The study showed that for both family and non-family businesses there has not been any significant increase in overall marketing vitality in the years studied. Indeed, the long-term focus of companies on values provided to customers and relationships with customers was confirmed. The results further showed that from the perspective of marketing vitality, one of the currently more significant weaknesses of smaller companies in particular of both family and non-family types is a missing or insufficient strategy for realization of marketing activities. This study confirms the dependence of the level of overall marketing vitality on sales volume and company size by number of employees, but on the other hand no dependence was proven between marketing vitality on field of business or year company established. This study evaluates the liminality and states that family businesses above all others address what is for them the more important strategic question, namely that of succession. The study is unique in that it compares the results of three studies carried out between 2016 and 2019. The context of this study is framed by an appeal to eliminate barriers to change and rapid response by companies to the needs, requirements, and expectations of customers operating in the online world.
Factors Affecting the Cost of Service Trade: Empirical Evidence from China and the European Union
(Technická Univerzita v Liberci, ) Chen, Ji; Fang, Qiang; Liu, Si; Balezentis, Tomas; Zhang, Chonghui; Ekonomická fakulta
This study examines the factors affecting the cost of service trade between China and the countries of the EU. The costs between China and EU member states from 2005 to 2017 are measured using the improved gravity model. On the basis of relevant theories, the influencing factors system of service trade cost is constructed, and a dynamic panel model is used to conduct empirical analysis. The empirical results can be summarized into four aspects. First, the costs of service trade between China and EU member states has shown a general trend of gradual decline and there is still room for further decline. Second, the costs of trade in services between China and developed EU countries are lower, while those between China and undeveloped EU countries are higher. Third, service restriction, economic development levels and infrastructure have a greater impact on the cost of bilateral trade in services. Lastly, there are differences in influencing factors of service trade cost among countries with different levels of economic development.
VULNERABILITY TO THE CONSEQUENCES OF BREXIT: EVIDENCE FOR POLISH AND SPANISH REGIONS
(Technická Univerzita v Liberci, ) Nazarczuk, Jarosław M.; Umiński, Stanisław; Márquez-Ramos, Laura; Ekonomická fakulta
After the announcement in June 2016 that the UK would leave the EU, studies analysing the consequences of this reversal in economic integration have proliferated, mostly presenting prospective consequences for the UK economy. But Brexit will necessarily also have consequences for non-UK European countries and their regions. Given the different character and intensity of regions’ interconnections with the British economy, we assess Polish and Spanish regions’ vulnerability to Brexit in the sphere of foreign trade. We rely on the conceptual framework originally presented by Turner et al. (2003) comprising: exposure, sensitivity and resilience, which together describe the overall vulnerability to a specifi c phenomenon. We fi ll the gap in the Brexit-related literature by applying the perspective of the regions of other EU countries, engaged in trade relations with the UK. We show that geography “still matters” and due to gravity, path dependency and FDI, some regions have developed relatively stronger commercial links with the British economy. We expected to obtain the taxonomy or Polish and Spanish regions ‘mixed’ within the identifi ed clusters of vulnerability. However, it is not the case, because clusters are mainly composed by Spanish or Polish regions, with a few exceptions, in which several Polish regions are accompanied by one or two Spanish regions. The results show greater vulnerability of Spanish (more exposed but better prepared) than Polish regions (more sensitive). While Brexit is rather perceived as a national problem, its asymmetrical impact on regions’ economy through the trade channel is a serious challenge for regional policy. It is therefore the role for regional institutions to monitor the vulnerability to the Brexit consequences and to facilitate adjustments to the exporting (and importing) companies that will be severely affected. They can be assisted in searching for the alternative export (import) markets.
Face-to-face and Electronic Communication with Customers in Retailing and Company Performance: A Case Study in the Electronics and Communication Equipment Retail Industry in the Czech Republic
(Technická Univerzita v Liberci, ) Eger, Ludvík; Suchánek, Petr; Ekonomická fakulta
Customers today can find the same assortments in a number of retail stores and through the Internet, thus effective store management has become a critical basis for developing strategic advantages. The aim of this research is to identify whether customer satisfaction measured by means of mystery shopping and the results of communication with the public on a company’s Facebook profile assessed by quantitative analysis influence the performance of the selected companies. The evaluation of customer satisfaction and loyalty follows the older pilot study and is newly supplemented by an analysis of communication with customers using social media such as Facebook. The company’s performance is evaluated through the financial ratios (ROA, ROE and ATO) based on accounting data available in the Magnusweb database. The research is focused on selected companies from the electronics and communication equipment retail industry in the Czech Republic and is unique from that point of view because it analyses communication with customers not only in retail shops but concurrently on their profiles for Facebook. The findings show how it is possible to assess the level of customer-oriented communication in retail shops and also the level of communication with customers on the social network. Retailers are increasing their focus on customers’ experience in their shops and on social media sites. The research contributes to a better understanding of marketing in retail and on social media in the selected industry.
E-commerce Development in Europe: A Panel Data Analysis 2003–2017
(Technická Univerzita v Liberci, ) Ortiz, Alma Lucero; Rodríguez, José Carlos; Gómez, Mario; Ekonomická fakulta
The Internet is a networking infrastructure that allows people’s communication throughout the world, transcending time and space limits. Nowadays, the Internet has changed the way of doing business, leading to a digital economy. Indeed, e-commerce has emerged as commercial transactions conducted over the Internet, which has become a source of economic growth for countries. In this sense, the research question conducting this research is as follows: what are the main variables that have affected the development of e-commerce in European countries from 2003 to 2017? In so doing, panel data econometric methods are used in this research. The tests of cross-section dependence (Pesaran test), unit root (Cross-sectional Im, Pesaran and Shin tests), cointegration (Kao and Fisher-Johansen tests), and heterogeneous causality (Hurlin and Dumitrescu test) are applied. In this regard, the results show that the variables in this research are characterized by a transversal dependence, and that they are integrated of order one. Furthermore, there is evidence that the variables are cointegrated, suggesting that there is a long-term relationship equilibrium between these variables. In addition, there is a bidirectional causality relationship between R&D spending (RD) and mobile phone penetration (MPP). Also, there is a unidirectional relationship from the development of e-commerce (EC) to RD and from per capita disposable income (PI) to RD. Besides, results suggest a positive and significant effect of MPP, RD, and PI on the EC in European developed countries. Therefore, these results show that the CE of the developed countries of Europe could be promoted through the improvement of the MPP, DR and IP.
Does Working Women’s Causes Innovation: An Untouched Reality?
(Technická Univerzita v Liberci, ) Jun, Wen; Jamil, Ihsan; Mughal, Bushra; Waheed, Junaid; Hussain, Hadi; Ekonomická fakulta
Working women play a vital role in all fields of lifestyle and are the pillars of society. Women’s workforce is the key to economic boom, innovation, research and development, growth and prosperity in modern societies. Globally, governments spend billions of dollars to promote the workforce, to enhance their country’s economy and innovation. This research aims to contribute to the knowledge on innovation by working women globally and to investigate how working women affect the process of innovation, using the number of patents and trademarks as innovation indicators. The empirical study adopted a two-stage least squares (2SLS) estimation and generalized method of moments (GMM) with and without robust standard errors. Panel data of 136 countries for the period 1996–2016 was used. The results of this study show that working women positively and statistically significantly explained the patent and trademark, which is a proxy for innovation with other control variables (per capita income, education, research and development, technology, article, industry, and foreign direct investment). Overall, the findings show that working women have a positive effect on innovation – they exert a positive and significant effect on patents and trademarks. The regression results based on GMM and system GMM (SGMM) show how working women inﬂuence trademarks and patents. Specifically, the GMM reveals that the regression coefficients of patent and trademark positively affect innovation, with all variables being positive at the 1% level, indicating that the current level of patent and trademark is positive. This implies that working women have favourable economic participation in innovation. This study contributes to the cross-over of knowledge on innovation and working women and reduces the existing scarcity of information on the subject.
Health-related Quality of Life and Socio-economic Status of the Unemployed
(Technická Univerzita v Liberci, ) Puciato, Daniel; Rozpara, Michał; Bugdol, Marek; Oleśniewicz, Piotr; Jáčová, Helena; Ekonomická fakulta
Unemployment has a number of negative, economic, social and psychological effects on unemployed people and their families. Lowered household income leads to a constrained fulfilment of individual and collective needs, which has a significant impact on the quality of life and perceived health condition of the unemployed. The aim of this study is the identification of relationships between the quality of life and socio-economic status of unemployed persons. The study was carried out among 403 registered unemployed persons (246 women, 157 men) from Wrocław, Poland. The main method used in the study was the diagnostic questionnaire survey. Respondents’ quality of life was assessed using the World Health Organization Quality of Life (WHOQOL-BREF) questionnaire, and their socio-economic status with author’s own S-ESQ questionnaire. Arithmetic means and standard deviation were calculated. Correlations between respondents’ quality of life and socio-economic status were checked with the Kruskal-Wallis one-way analysis of variance and Dunn’s post-hoc tests. The ex-ante level of statistical significance was set at α < 0.05. The mean health-related quality of life score of the unemployed respondents under study was higher than the mean perceived health condition score. As for the four quality of life domains, the respondents reported the highest scores in the social domain and psychological domain, followed by the physical and environmental domains. The analysis of mean scores of overall quality of life of the unemployed revealed statistically significant differences between groups of jobless Wrocław residents with regard to such factors as age, number of household members, and per capita income. Respondents’ age, education, marital status, persons per household, per capital income, and having savings were also significant differentiating factors of perceived health condition. The results of the study can be significant for public health policies in Poland and other countries at a similar level of economic development.
Impact of Stock Markets on the Economy in V4 Countries
(Technická Univerzita v Liberci, ) Krkošková, Radmila; Ekonomická fakulta
The performance of the economy should generally reflect the performance of stock markets. Production increases, prices rise, and companies’ profits increase if the economy grows. And the shares should naturally make the profits (which means among other things, higher dividends) even more attractive. But is that really true? The aim of the article is to find out the relationship between the development of stock markets and the economic growth in Visegrad Group countries (V4). The subject of the survey is both the long-term relationship and the short-term relationship in the course of economic cycles. The article uses the tools of time series econometrics, especially VECMs, including corresponding diagnostics, Granger causality and block erogeneity. The relationships between the variables examined vary from country to country. The long-term relationship between the development of stock markets and the economic growth was confirmed in Slovakia and Hungary. It was confirmed that the GDP growth rate influenced the growth rate of stock indices in all V4 countries. The opposite relationship (the stock index growth rate influences the GDP growth rate) was not confirmed only in the Czech Republic. Quarterly data for the period from 2005/Q1 to 2018/Q4 was used for the analysis. This period was selected because all of the V4 countries have been members of the European Union since 2004. The EViews software version 9 was used for the calculations. Variables used in this research are: the GDP, the stock exchange index of the country and stock trading volume. The PX, SAX, BUX and WIG20 stock indices are considered to be the crucial representatives of individual stock markets in this work.
Cointegration Analysis of the World’s Sugar Market: The Existence of the Long-term Equilibrium
(Technická Univerzita v Liberci, ) Kuzmenko, Elena; Smutka, Luboš; Strielkowski, Wadim; Štreimikis, Justas; Štreimikienė, Dalia; Ekonomická fakulta
This paper addresses the issue of interconnection among major sugar markets and commodity/exchange stocks in different parts of the world using the Johansen cointegration approach and vector error correction model. Due to a high degree of sugar market fragmentation and corresponding diversity in price levels and its volatility in different regions, the results of our analysis sheds some light on the very fact of a ‘single’ global sugar market existence and can be important not just with regard to producers and buyers of sugar but for the international investors as well, both in the light of risk governance and maximizing profitability. Using the evaluation of the extent of connection among regional sugar markets, one can assess potential benefits available to investors through international diversification between the analyzed markets. Our analysis has revealed the presence of mutual interaction among the selected sugar markets/commodity stock exchanges in individual regions and confirmed the long-term equilibrium among them. Therefore, despite an obvious diversity in price level and their fluctuations in different world regions, the selected for the analysis regional sugar markets are acting together as a single organism. The determining of the extent to which the analyzed sugar markets are interconnected have significantly strengthen the understanding of the latest sugar price developmental trends. In addition, the results of this study opened space and mapped out clear objectives and measurable targets for potential research – to reveal what markets can be referred to as leading ones in a sense that namely they primarily serve as a source of price turbulence. In summary, our results revealed and confirmed the long-term equilibrium among them and the outcomes of this study opened the new research realms and identified the clear and measurable targets for the future empirical research in this field.
Transmission of Financial Stress Shocks between the USA and the Euro Area During Different Business Cycle Phases
(Technická Univerzita v Liberci, ) Dajčman, Silvo; Kavkler, Alenka; Mikek, Peter; Romih, Dejan; Ekonomická fakulta
This paper examines the transmission of financial stress shocks between the USA and the euro area for recessionary and non-recessionary regimes in the shock-recipient economy. The investigated period is 1999M1–2017M11, which includes several episodes of recessionary and non-recessionary regimes, endogenously determined by the model, as well as several financial stress episodes. After testing for non-linearity, we employ a five-variable Bayesian threshold vector autoregression model using internationally compatible data for financial stress indices. Our results show significant non-linearities in the financial stress-business cycle interactions for the euro area. In comparison to the non-recessionary regime, the US financial stress shocks are more detrimental to the stability of the European financial system, output growth, and inflation in recessions. US financial stress shocks negatively affect euro area unemployment rate, but the effect is independent of the euro area industrial production growth regime. In contrast, the stability of the US financial system is not susceptible to the euro area’s financial stress shocks. However, due to trade ties, the financial stress in the euro area does lead to output contraction, while not affecting inflation and unemployment in the US. We also found that US industrial production growth and unemployment rate are susceptible to domestic financial stress shocks, more in the recessionary than non-recessionary episodes of the US economy. The results suggest a need for a careful domestic and foreign financial stress monitoring and coordination of monetary authorities. While this may profit both economic areas, this is relevant more for the European Central Bank than its US counterpart.
Empirical Analysis of Long Memory and Asymmetry Effects for the Effectiveness of Forecasting Volatility of Returns on the Commodity Market Based on the Example of Gold and Silver
(Technická Univerzita v Liberci, ) Włodarczyk, Bogdan; Miciuła, Ireneusz; Ekonomická fakulta
This paper presents an empirical analysis of the signifi cance of the long memory and asymmetry effects for forecasting conditional volatility and market risk on the commodity market based on the example of gold and silver. The analysis involved testing a wide range of linear and non-linear GARCH-type models. The aim of studying dependencies between rates of return and volatility was to select the optimum model. In-sample and out-of-sample analysis indicated that volatility of returns on gold and silver is better described with non-linear volatility models accommodating long memory and asymmetry effects. In particular, the FIAPARCH model proved to be the best for estimating VaR forecasts for long and short trading positions. Also, this model generated the lowest number of violations of Basel II regulations at the confi dence level of 99%. Among the models studied, the FIAPARCH has the most elastic news impact curve, which translates into more possibilities to adjust to data. The results of the analyses suggest that within the period studied, the FIAPARCH model was the best predictive tool compared to the other models. This stems from the model’s ability to satisfactorily capture the effects accompanying price volatility of precious metals, i.e. asymmetry and long memory. The FIAPARCH model produced the lowest number of VaR violations (lowest risk of the model) for all series, which means that it seems to be the most advantageous predictive model with respect to gold and silver from the point of view of fi nancial institutions. Attention was also paid to the prevalence and signifi cance of long memory and asymmetry effects, which should be taken into account when using GARCH-class models.
Targeting of Online Advertising Using Logistic Regression
(Technická Univerzita v Liberci, ) Šoltés, Erik; Táborecká-Petrovičová, Janka; Šipoldová, Romana; Ekonomická fakulta
Recently, the internet became the dominant medium in marketing and comparing the development of expenditures into advertising indicates the dominance of online advertising will be inevitably stronger. Internet advertising compared to traditional media advertising has plenty of advantages hence online marketing exhibits a huge expansion in recent era. To fully utilize the potential of online marketing, it is necessary to effectively target activities of relevant internet users with the real presumption they will purchase promoted products or services. The paper is focused on demographic targeting by the mean of logistic regression models. Explanatory variables in presented application are arising from affinities of internet webpages visited by particular users and areas of their interests that are identified from their online behaviour. Our paper provides binomial logistic mode whose role is to predict the gender of internet user and multinomial logistic model constructed for the estimation of age category the user may be assigned to. The only variables exploited in the model by the mean of stepwise regression are variables with significant influence. The impact of particular factors is quantified via odds ratios that are used for the identification of areas of interests typical for women, men and for considered age categories. The paper demonstrates how it is possible to utilise estimated logistic models for the estimation of probabilities that the internet user is from a target group – in our case, women aged 25–44 years old. Prediction quality of models is assessed by the set of classification measures arising from confusion matrix that is generally acceptable in machine learning. Presented analyses are conducted in statistical software SAS Enterprise Guide on data provided from the real advertising campaign. More than 160,000 statistical units enabled the confirm results gained on training dataset of a relatively huge validation dataset.

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