Issue 4 - Volume 59/2011
Consumption Function as an Instrument for Flash Estimates of Final Consumption of Households
Page 337, Issue 4 - Volume 59/2011
The flash estimates of main macroeconomic indicators represent an integral part of officially available statistical information in countries of EU-27. They are compiled by means of model tools in countries of the former EU-15 and the same standard should be achieved also in other countries of the current EU-27. In Slovakia, the econometric modelling started in this field in 2004. The main objective of this activity is to create a specific model framework supporting the preparation of flash estimates for GDP and some other basic macroeconomic indicators of the Slovak economy. In the article the methodological approach and two econometric-type models based on quarterly data in the form of Error Correction Model (ECM) are presented and interpreted. As far as explanatory variables are concerned, it is important that they all are available before the flash estimates in reference quarter are compiled.
Keywords: econometric model, quarterly time series, seasonality, stacionarity, co-integration, regression analysis, gross domestic product
JEL Classification: C12, C13, C22, C51, E21, E31
Portfolio Insurance Strategies and their Applications
Page 355, Issue 4 - Volume 59/2011
At first the paper shortly characterizes basic classes of portfolio insurance strategies that provide the investor an ability to limit downside risk while allowing some participation in upside markets. Then some extensions of discrete Constant Part Portfolio Insurance (CPPI) methods that introduce risk budget, a stop loss rule, locking of the guaranteed value, the asset management fee and risk measures in the multiplier are presented and illustrated. Finally the paper presents a modification of CPPI method for pension funds with moving investment horizons. As the result user procedures in Excel environment that automatize the process of guaranteed strategies construction were developed.
Keywords: portfolio insurance, CPPI, multipliers, lock in value, moving horizon
JEL Classification: G11
Estimation of Non-Accelerating Inflation Rate of Unemployment in the Czech Republic and Slovakia
Page 368, Issue 4 - Volume 59/2011
The intention of this analysis is mapping variability of the NAIRU because of different methods and application methods on data two different countries. We aim at detection and analysing instable condition with structural shifts, which lead to changes in development of the NAIRU in researched countries. On the end of the paper we use experience to prediction of development of the NAIRU in short future. In article are suggested some steps, which should increase applicability of the concept NAIRU for discussion macroeconomic policies.
For the estimation of the NAIRU development, the slope and the shift of the Phillips curve we applied the system of the methods which are commonly used at the international level. The figure of NAIRU can be investigated as a dependent variable during the research time period. Main factors causing the greatest changes of NAIRU or its fluctuations are apart from the inflation expectations themselves also: import prices, exchange rate, prices of oil and indirect taxes.
Keywords: NAIRU, Phillips curve, One-equation model, Break model, HP filter, Kalman filter
JEL Classication: E24, E32, E37
Managerial Decision-making: Measuring and Manifestations of Risks and the Possibilities of their Reducing
Page 392, Issue 4 - Volume 59/2011
The paper is concerned with measuring and assessment of risk scenes in managerial decision-making. It builds upon the uncertainty of economic information, which is converted into the concept of risk scene expressed in terms of probability and using confidence intervals of the predicted quantities. The paper explains the relation of a degree of risk expressed by the classical information measure, bit, by the concept of confidence intervals, or possibly by the standard deviation. When making decisions, the manager is interested not only in the quantitatively expressed value of risk scene with the use of forecasting models, but mainly in the impact of decrease/increase of decision-making risk expressed by the effect, i.e. profit/loss caused by such a decision to achieve targets. A method of decision effect calculation is proposed which is derived from the information entropy change and the change in risk scene in managerial decision-making. Forecasting models are applied which are based on an expert estimate and a statistical theory, and the risk scenes are assessed in forecasting models based on neural networks.
Keywords: confidence interval, uncertainty, entropy, prediction models, neural networks, managerial decision, risk scene assessment
JEL Classification: C13, C45, D81, G32
Character and Innovation Activity Intensity in Services in the Slovak Republic and its Economic Importance
Page 412, Issue 4 - Volume 59/2011
Many analysis and studies confirm that there are subsequently disappear the differences between the technology and non-technology innovation character, by ICT introducing are the products innovated, processes and organization structure of the service enterprises. On the character and innovation activity intensity in the services affects lot of factors. Initial platform is the implementation of the innovation on the macro-level supported by the state policy. Slovak republic in European context queues into the countries with the non-adequate pursued innovation policy in practice. Service sector heterogeneity included knowledge-intensive services as well as less sophisticated services targeted on the knowledge is the next factor that influences on the innovation activity of the services. There-fore is important to identify the key areas of innovation implementation according to individual section production character of the services, in conformity with the business strategy and with the acceptation of the specific service properties.
Keywords: services, innovation activity, technology and non-technology innovation, knowledge-intensive services, economic growth
JEL Classification: E23, E24, F29, L19, L84, O25