Internal Lunch Seminars

The European Central Bank (ECB) is responsible for formulating and implementing monetary policy for countries using the euro. However, existing literature proposes that the monetary policy of the Eurozone has implications for non-Euro countries. In academic literature numerous studies concentrate on the spillover effects of the Euro Area monetary policies on inflation, GDP, exchange rates, and real estate prices, however, a research gap remains regarding the influence of the ECB´s monetary policy on the financial cycle of non-euro countries. Thus, using the local projection method the primary objective of the research is to address the gap in the existing literature and respond to the research question of how the monetary policy of the European Central Bank spills over to non-euro countries' financial cycles. Among other considerations, we seek to address whether an extended period of accommodating monetary policy in the eurozone could result in more pronounced spillover effects than a single easing action.

Increasing high-speed railway planning in Central and Eastern Europe and the lack of border effect estimations in this region encouraged a border effect study in this region. Using railway data collected in 2022, border effects in railway transport between six countries were estimated separately by basing on Czechia and Slovakia. Significant border effects were found between these countries and their neighbours. However, no significant border effect was found between Czechia and Slovakia. These findings support arguments about that countries with common language, culture and history have lower border effects.

Health inequality has a significant genetic component and socio-economic factors, including education, can moderate the effects of genes. However, little is known about whether more years of education can effectively moderate the relationship between genetic conditions and severe contemporary diseases and medical conditions. I use UK Biobank data to investigate the relationship between education, genetic endowment, and four health conditions: heart attack, cancer, stroke, and type-2 diabetes. To avoid the potential endogeneity of education, I focus on the long-term health consequences of a 1972 increase in the UK school-leaving age (ROSLA). As a measure of genetic endowment, I use an index of genetic predispositions for obesity. Genetic predispositions are typically summarised by a weighted average of individual genetic markers called polygenic scores (PGS), where weights are derived from analyses performed on different populations. Furthermore, the outcomes of these analyses often differ from the outcomes the PGS is used to predict. This may skew the results of follow up studies of other outcomes, including cancer. I introduce a two-step method that adjusts the available weights to new outcomes, and show that genetic predisposition for obesity increases the risks of the four diseases I study. The results based on my new method show that the additional year of schooling driven by the ROSLA reform diminished the importance of genetic predispositions for the risks of cancer and heart attack by 40%. The results offer new evidence on how environments moderate the inequalities in health that have been tilted from birth.

We exploit a historical experiment that occurred in Czechoslovakia after World War Two to study the drivers of social capital accumulation in an extremely unfavorable environment. Between 1945 and 1948, the Sudetenland became the scene of ethnic cleansing, with the expulsion of nearly three million German speakers and the simultaneous influx of nearly two million resettlers. Focusing on the areas where at least 90 % of the population was forced to leave, we show that the municipalities hosting a church built before 1945 developed significantly higher social capital under the communist rule, which persisted after the dissolution of Czechoslovakia and the current days.

We estimate the impact of temperatures on work related accident rates in Italy by using daily data on weather conditions matched to administrative daily data on work related accidents. The identification strategy of the causal effect relies on the plausible exogeneity of short-term daily temperature variations in a given spatial unit. We find that both high and cold temperatures impair occupational health by increasing workplace injury rates. The positive effect of warmer weather conditions on work related accident rates is larger for men, in manufacturing and service sectors, and for workplace injuries. Colder temperatures lead to a substantial increase in commuting accidents, especially during rainy days.

This paper examines how cognitive and non-cognitive abilities relate to economic preferences. Cognitive abilities are a comprehensive structure of abilities (attention, memory, intelligence, etc.) that are interconnected. From the existing literature, it follows that the level of cognitive abilities has an influence on the decision-making of individuals and can positively or negatively affect their incomes and future economic planning. However, the level of cognitive abilities is not enough to fully understand the individual and his decisions. For this reason, we will also focus on non-cognitive abilities in the research. These are most often characterized by personality traits that are commonly measured by the Big Five test. This test assesses the following personality traits – neuroticism, extraversion, openness, agreeableness, and conscientiousness. Personality traits are another factor that characterizes the overall individuality of a particular individual. However, it is currently unclear how non-cognitive abilities relate to economic preferences. In the presentation, we will introduce the study design and discuss how the relationship between cognitive abilities, personality traits and economic preferences will be investigated.

With its current skyrocketing prices, electricity costs became one of the most discussed issues over the past year as it is an essential input for any economic activity. Unlike private businesses or consumers, public institutions cannot purchase electricity freely but are bound by a procurement framework and rules on how electricity contracts need to be concluded.

In principle, a public institution can purchase electricity through public tenders or through commodities exchanges. The key question is how the lowest prices can be achieved and which of these procurement options – competition in public tenders or trades at the commodities exchanges – prompts the desired outcome. This contribution aims to investigate this empirically.

We collected unique data on public institutions’ energy contracts in Czechia between 2013 and 2021 from the Czech public registry of procurement deals. The data allows us to distinguish between contracts concluded through public tender or through commodities exchanges, identify the size of the contract and its final price.

Our results suggest that there is generally a higher degree of competition at the commodity exchanges in comparison to public tenders and that the prices at commodity exchanges are lower. Although many factors might result in lower prices, our analyses suggest that the competitiveness of the environment in public tenders and on the commodities exchanges is the main driving factor.

Our findings have important implications for how electricity – an essential production input – should be purchased by public institutions. The results point to possible saving for public institutions when purchasing energy on commodities exchange as compared to public tenders.

The research explores relationship between perceived wealth inequality and political attitudes. Based on relative deprivation theory, I assume, that information treatment showing actual level of wealth inequality may increase willingness to take part in different political activities and even lead to higher level of anti-system attitudes.
The aim of the presentation is to introduce preliminary results based on collected data and discuss possibilities for further research. Crucial areas to assess are the form of information treatment, and possible narrowing of the target group (from representative sample of Czech population to its specific parts, for example people living in peripheral regions).

In recent years, the debate about central banking and climate change has gained significant momentum. It can be said that central bankers and regulators reached a consensus that climate change will affect central banking but there seems to be no consensus on what should central banks do in reaction. This paper analyses the current debate about the so-called green central banking. It classifies policies of European central banks and prudential regulators that were applied, discussed, or proposed as a reaction to the phenomenon of climate change. The paper is based on annual reports and other official statements of these institutions which are analyzed by textual analysis. The classification should clarify the debate in a broader socio-economic context and offer a common language for climate change-related policies of central banks.

I investigate how workers respond to learning that a manager trusts them less than she does their peers. In a laboratory experiment, responsibility for a manager’s earnings is divided unequally between two workers. I vary whether this responsibility allocation decision is made by the manager, or by a random device on the manager’s behalf. Importantly, being entrusted with more/less responsibility for the manager's payoff does not change the workers' wages. Despite this, I find that workers are less generous toward the manager when they are intentionally, as opposed to randomly, assigned a lower level of responsibility. This effect is mediated by the emotional response to learning that the manager chose to place her trust in the other worker. I find no positive effect of being entrusted with higher responsibility. My results demonstrate that managerial decisions that are materially irrelevant for workers can generate a negative reciprocal response if they reveal to the worker that she is less trusted relative to her peers.

This study examines the role of historically defined social identity in human capital development over time by focusing on a region from India where social identities are defined along the lines of castes and religious groups. It investigates the evolution of gaps across social groups in children’s cognitive outcomes and parental investment in children’s education from ages 5 to 15. Significant gaps in test scores and parental investment are found between children from lower and upper Hindu castes. These gaps, which originate early in childhood and persist throughout the 10 years of the study period, cannot be completely explained by the differences in socioeconomic status across social groups. Moreover, the perception of social discrimination is also found to be a significant contributor to the gaps in cognitive outcomes and parental investment across social groups. While parents’ perceived social discrimination is associated with lower parental investment throughout childhood, it is negatively associated with children’s cognitive outcomes only at later ages.

The unforgettable COVID-19 shock can only be reversed by a viable vaccination strategy. In this paper, we investigate the willingness to be vaccinated (WTV) against COVID-19. We provide first-of-its-kind empirical evidence on the citizens (N=11,932) of the EU-27 by employing recent data from the European Commission. Controlling for the correlations in the error terms, we utilize a simulated multivariate probit regression model. Our results show that amongst all the statistically significant drivers of the WTV, the positive perception (vaccination works and has no side effects); R&D information (clarity on how vaccination is developed, tested, and authorized) have the largest impact on the WTV. We find that the group of variables on social feedback, and trustworthy sources of information are to be considered for WTV policy. The counteracting policy gaps are also identified. Our work is novel and has implications for COVID-19 vaccination policies across the EU.

MS-Teams

Abstract: Stochastic processes based on standard Brownian motions can't address an established "stylized fact" in finance: the long-range dependence or memory effect. This issue has stimulated the inclusion of alternative diffusion mechanisms in the price modeling, namely fractional Brownian motion and its relatives. Here, we will revisit the application of fractional-based diffusions for option pricing purposes and its relation with the efficient market hypothesis. Moreover, we will address some further extensions based on multifractional Brownian motions and their capabilities to mimic some financial features, proposing new results around them.

The seminar will be streamed online on MS Teams.

The seminar will be streamed online on MS Teams.

Abstract: In this paper, I investigate the long-term dynamics of informational market efficiency between portfolios of different levels of market capitalisation. The convergence in market efficiency between portfolios, represented by different S&P and FTSE indices, can be observed in time. However, the convergence was mostly completed by 2006. An asymmetrical response to shock is observed between portfolios. Lower capitalised portfolios were more negatively affected by them. A positive relationship between market efficiency and market capitalisation was observed for all indices, however, the market efficiency of S&P 500 was lower than that of S&P 400 and S&P 600 from 2006 onward.

The seminar will be streamed online on MS Teams.

Abstract: This paper aims to verify if the price fluctuation of the Ruble during the onset of the Russo-Ukrainian crisis was predictable, as indicated via implied volatility and investor's (general population's) attention. It uses high-frequency attention, implied volatility, and price data and provides evidence that both attention and implied volatility are relevant for predicting price fluctuations in the short run.

The seminar will be streamed online on MS Teams: Link

Abstract: In this proposal, we aim to briefly present several hypotheses of our recent research interest, which stems from an ongoing military conflict between Russia and Ukraine. The impact the conflict has on assets price variation cannot be doubted, and the information availability may play an integral part in assets high price variation as it did in no conflict before. Thus, we want to explore the magnitude of attention through google search queries and whether attention to the conflict may lead to higher asset price variation in global equity markets. We are also interested in the influence regarding asset prices and the proximity to the conflict. Current preliminary results suggest that the attention towards the conflict is significant in the after-invasion period and helps predict volatility.

The seminar will be streamed online on MS Teams: Link

Abstract: The existing literature provides mixed results on the usefulness of implied volatility for managing risky assets, while evidence with respect to expected shortfall predictions is almost nonexistent. Given its forward-looking nature, implied volatility might be more useful than backward-looking measures of realized price fluctuations. On the other hand, the volatility risk premium embedded in implied volatility leads to overestimation of the observed price variation. This paper explores the benefits of augmenting econometric models used in forecasting the expected shortfall, a risk measured endorsed in the Basel III Accord, with information on implied volatility obtained from EUR/USD option contracts. The day-ahead forecasts are obtained with a two-step procedure, where the estimates of value-at-risk for several quantiles are combined to approximate the predicted expected shortfall. We consider several classes of econometric models: historical simulation, GARCH, quantile regression--based HAR and combination forecasts. Using formal statistical tests, we verify whether the resulting expected shortfall forecasts are well behaved and test the models' accuracy. Our results provide evidence that the information provided by forward-looking implied volatility is more useful than that in backward-looking realized measures. These results hold across multiple model specifications, are stable over time, hold under alternative loss functions and are more pronounced during periods of higher market uncertainty, when managing asset risk matters most.