Research Seminars (Archive)
Measuring the perception of financial risk tolerance: A tale of two measuresLecturer: John Gilliam Affiliation: Texas Tech University Mendel University, Room Q43 1:00 PM • 12/2/2016
The assessment of financial risk tolerance, as a tool for managing expectations of portfolio volatility, is essential to goal attainment. This study compares two empirical measures of risk tolerance and separately examines the association between these measures of risk tolerance and asset allocation. The instruments used to determine investors’ perception of financial risk tolerance are the Survey of Consumer Finance’s (SCF) single-question measure and a 13-item, multidimensional measure developed by Grable and Lytton (1999). A sample comprised of 328 respondents, predominantly faculty and staff at colleges and universities in the Southwest, completed a 38-question, web-based survey. Results suggest that, while both scales are associated with preference for risky or non-risky asset allocation among respondents, the 13-item scale has greater explanatory power.
Equity in Health FinancingLecturer: Diana De Graeve Affiliation: University of Antwerp Mendel University, Room Q43 1:00 PM • 11/25/2016
Fairness in the finance of health care relates to the distribution of health care payments across the population and is an important issue for most health care systems. The focus is on whether payments for health care are in accordance with ability to pay and on whether households are protected against catastrophic expenses. This chapter describes and discusses the methodologies used in measuring both (in)equity concepts. Further an overview is given of empirical results covering developed as well as developing countries. Finally some policy concerns about improving equity are highlighted.
Stock Market Contagion in Central and Eastern Europe: Unexpected Volatility and Extreme Co-exceedanceLecturer: Štefan Lyócsa Affiliation: University of Economics in Bratislava Faculty of Economics, Masaryk University, Room S314 2:00 PM • 11/18/2016
The presentation shows recent evidence about the existence and size of contagion from the U.S. stock market to six Central and Eastern European stock markets. A novel approach to the measurement of contagion is presented, that examines how volatility shocks in the U.S. stock market impact emerging stock markets in Europe. We will discuss whether stock markets in Europe are sensitive to the occurrence of un-expected negative events in the U.S., i.e. whether events in the U.S. are contagious. Finally, some implications are discussed, particularly to portfolio diversification opportunities.
Empirical approaches to the modelling of stock market networksLecturer: Tomáš Výrost Affiliation: University of Economics in Bratislava Faculty of Economics, Masaryk University, Room S314 1:00 PM • 11/18/2016
The talk focuses on the results of modeling stock market networks. In the first part of the talk, general principles of network construction are introduced and several common widely used graph-theoretic algorithms for suitable subgraph selection, such as minimum spanning trees and planar maximally filtered graphs are confronted with their economic rationale. Next, several econometric approaches to the construction of correlation based networks are presented, including DCC-MVGARCH and Granger causality. Finally, in its empirical part, the talk presents selected results on various approaches to the modelling of specific stock market networks.
Financial Crises in Developed Countries: Stylized Facts and Early Warning ModelsLecturer: Bořek Vašíček Affiliation: CNB, European Commission Mendel University, Room Q43 1:00 PM • 11/4/2016
We identify a set of “rules of thumb” that characterise economic, financial and structural conditions preceding the onset of banking and currency crises in 36 advanced economies over 1970–2010. We use the Classification and Regression Tree methodology (CART) and its Random Forest (RF) extension, which permits the detection of key variables driving binary crisis outcomes, allows for interactions among key variables and determines critical tipping points. We distinguish between basic country conditions, country structural characteristics and international developments. We find that crises are more varied than they are similar. For banking crises we find that low net interest rate spreads in the banking sector and a shallow or inverted yield curve are their most important forerunners in the short term, whereas in the longer term it is high house price inflation. For currency crises, high domestic short-term rates coupled with overvalued exchange rates are the most powerful short-term predictors. We find that both country structural characteristics and international developments are relevant banking crisis predictors. Currency crises, however, seem to be driven more by country idiosyncratic, short-term developments. We find that some variables, such as the domestic credit gap, provide important unconditional signals, but it is difficult to use them as conditional signals and, more importantly, to find relevant threshold values.
Linguistic distance, networks and the regional location decisions of migrants to the EULecturer: Klaus Nowotny Affiliation: University of Salzburg Faculty of Economics, Masaryk University, Room S314 1:00 PM • 10/7/2016
This paper analyzes the interaction between migrant networks and linguistic distance in the location decisions of migrants to the European Union at the regional level. We find that networks have a positive effect on location decisions while the effect of linguistic distance is, as expected, negative. We also find a positive interaction effect between the two variables: networks are thus more important the larger the linguistic distance between the home and host countries, and the negative effect of linguistic distance is smaller the larger the network size.
Rail passenger market opening: The British experienceLecturer: Andrew Smith Affiliation: Institute for Transport Studies, University of Leeds Faculty of Economics, Masaryk University, Room P106 4:20 PM • 10/6/2016
European policy has focused in recent decades on liberalising Europe’s railway systems with a view to promoting competition and enhancing the performance of railways. Whilst legislation on passenger competition has moved more slowly than in freight, the 4th Railway package envisages competition becoming much more extensive in the passenger sector in the coming years; covering both commercial services and public service contracts. In this presentation we ask what lessons can be learnt from Britain which has implemented the most ambitious reforms of the passenger rail sector, with all services (commercial and public service) being subject to competitive tendering – supplemented to a small degree (currently) by open access competition on long distance routes. Britain has taken a different approach to those countries within Europe that have opened their passenger markets to competition - most notably Sweden and Germany. These differences are important because they enable us to study the impact of competitive tendering and open access under a different set of circumstances to the wider European experience; and thus to draw a richer set of lessons about what works and in what circumstances. Britain also has a twenty year period over which the evidence can be documented and assessed, during which time the model has been reviewed and changed several times. Even the current position does not seem to be the final equilibrium, and the paper therefore also asks what directions future policy should take in Britain and what the lessons may be for other countries.
Shadow banking in ChinaLecturer: Xinhua Liu Affiliation: Shaanxi Normal University, Xi’an, China Faculty of Economics, Masaryk University, Room P312 5:00 PM • 10/5/2016
The rapid development of China’s shadow banking sector in the last years attracted wide attention. There are a lot of questions concerning increasing growth of credit, its quality, money market products and financial sector interconnections. All these issue poses challenges to financial stability. Many economist wonder whether the growth of shadow banking in China is headed for a meltdown similar to recent US and European experience.
Optimal Perception BiasesLecturer: Jakub Steiner Affiliation: CERGE-EI and University of Edinburgh ESF Masaryk University, P101 11:00 AM • 6/3/2016
We study perception biases arising under second-best perception strategies. Agent correctly observes all payoff-relevant parameters but cannot retain all the information until her decision. Evolution chooses a perception strategy that determines the pattern of information loss across many decision situations the agent encounters across her life. We argue that the optimal perception strategy exhibits illusion of control, over-confidence, and optimism.
Sticky Floors: Due to Employer or Employee Preferences?Lecturer: Stijn Baert Affiliation: University of Ghent ESF Masaryk University, P101 5:00 PM • 6/2/2016
During the last decade, economists have identified sticky floors in the labour market, i.e. the pattern in which women are, compared to men, less likely to (start to) climb the job ladder. Two studies were conducted to test two potential mechanisms underlying these sticky floors. On the one hand, a field experiment was conducted to test whether employers discriminate (more) against women when they apply for promotion jobs. On the other hand, a lab experiment was conducted to test whether women have a less pronounced preference for jobs implying a promotion than men.