527 research outputs found
Inflationary Bias in Mid to Late Transition Czech Republic
No full textA series of studies confirm results presented Filer and Hanousek (2000) suggesting that mismeasurement of inflation during the transition is a serious problem, on the same relative order of magnitude (and greater in absolute magnitude) as in advanced market economies. Overall, inflation has been overstated by more than 4 percentage points a year during the 1990s in the Czech Republic. By far the largest portion of this bias is due to uncaptured quality changes. In effect, Czech consumers are living considerably better after the fall of communism, but this increase in living standards has manifested itself through better quality rather than greater quantities of goods consumed.Inflation Bias, Transition Economies, Output Fall
Essays on Exporting Behavior of Firms and on Inflation Persistence
No full textResearch Journal Articles Working Papers Research in Brief Series Dissertations Other Publications Featured Article Dissertations Date: Tuesday, June 02, 2009 - 10:30 Branislav Saxa: "Essays on Exporting Behavior of Firms and on Inflation Persistence" Dissertation Committee: Jan Hanousek (chair) Evžen Kočenda Lubomír Lízal Krešimir Žigić Abstract: In the first two essays, I examine the behavior of exporters and non-exporters using a rich firmlevel panel data source from the Czech Republic. The first essay reacts to recent literature on learning-by exporting and explores whether exporting firms are more productive because initially more productive firms self-select themselves into exporting or because exporting firms are becoming more productive. To provide convincing estimates, one must be able to disentangle learning-by-exporting from changes in company management that induce the company to both start exporting and introduce productivity increasing measures. Therefore, I compare estimates based on matching on propensity score, which do not control for potential management changes, to estimates based on an instrumental variables strategy. Specifically, I focus on firms that start exporting due to changes in the industry-specific ratio of producer prices on domestic and foreign markets. The results suggest..
Privatization and Stock Market Creation: Evidence from Transition Economies
No full textResearch Journal Articles Working Papers Research in Brief Series Dissertations Other Publications Featured Article Dissertations Date: Friday, June 26, 2009 - 14:00 Zuzana Fungáčová: "Privatization and Stock Market Creation: Evidence from Transition Economies" Dissertation Committee: Jan Hanousek (chair) Randall Filer Evžen Kočenda Jan Švejnar Abstract: The importance of finance for growth has already been confirmed in numerous studies. This relationship is especially crucial for the transition economies where financial systems had to be built from the scratch after the collapse of central planning. This work investigates stock markets that constitute an important part of the developed financial system. Functioning stock markets are found to be necessary even if the country's financial system is bank-based. In fact, in the transition countries stock markets are a relatively new phenomenon. Even though in comparison to the developed countries these markets remain still underdeveloped, they have been evolving as an important complement to the banks in the course of the transition process (EBRD Transition Report 2006). Stock markets emerged to help with the transformation of the state-owned assets to private hands and afterwards also with the rearrangement of ownership structures. They were also expected to..
The Permanent Income Hypothesis: A Test on Czech Privatisation
No full textSince the late eighties, economists have been regarding the transition from command to market economies in Central and Eastern Europe with intense interest. In addition to studying the transition per se, they have begun using the region as a testing ground on which to investigate the validity of certain classic economic propositions. In his research, comprising three articles written in English and totalling 40 pages, Mr. Hanousek uses the so-called "Czech national experiment" (voucher privatisation scheme) to test the permanent income hypothesis (PIH). He took as his inspiration Kreinin's recommendation: "Since data concerning the behaviour of windfall income recipients is relatively scanty, and since such data can constitute an important test of the permanent income hypothesis, it is of interest to bring to bear on the hypothesis whatever information is available". Mr. Hanousek argues that, since the transfer of property to Czech citizens from 1992 to 1994 through the voucher scheme was not anticipated, it can be regarded as windfall income. The average size of the windfall was more than three month's salary and over 60 percent of the Czech population received this unexpected income.
Furthermore, there are other reasons for conducting such an analysis in the Czech Republic. Firstly, the privatisation process took place quickly. Secondly, both the economy and consumer behaviour have been very stable. Thirdly, out of a total population of 10 million Czech citizens, an astonishing 6 million, that is, virtually every household, participated in the scheme. Thus Czech voucher privatisation provides a sample for testing the PIH almost equivalent to a full population, thus avoiding problems with the distribution of windfalls. Compare this, for instance with the fact that only 4% of the Israeli urban population received personal restitution from Germany, while the number of veterans who received the National Service Life Insurance Dividends amounted to less than 9% of the US population and were concentrated in certain age groups.
But to begin with, Mr. Hanousek considers the question of whether the public percieves the transfer from the state to individual as an increase in net wealth. It can be argued that the state is only divesting itself of assets that would otherwise provide a future source of transfers. According to this argument, assigning these assets to individuals creates an offsetting change in the present value of potential future transfers so that individuals are no better off after the transfer. Mr. Hanousek disagrees with this approach. He points out that a change in the ownership of inefficient state-owned enterprises should lead to higher efficiency, which alone increases the value of enterprises and creates a windfall increase in citizens' portfolios. More importantly, the state and individuals had very different preferences during the transition. Despite government propaganda, it is doubtful that citizens of former communist countries viewed government-owned enterprises as being operated in the citizens' best interest. Moreover, it is unlikely that the public fully comprehended the sophisticated links between the state budget, state-owned enterprises, and transfers to individuals. Finally, the transfers were not equal across the population.
Mr. Hanousek conducted a survey on 1263 individuals, dividing them into four monthly earnings categories. After determining whether the respondent had participated in the voucher process, he asked those who had how much of what they received from voucher privatisation had been (a) spent on goods and services, (b) invested elsewhere, (c) transferred to newly emerging pension funds, (d) given to a family member, and (e) retained in their original form as an investment. Both the mean and the variance of the windfall rise with income. He obtained similar results with respect to education, where the mean (median) windfall for those with a basic school education was 13,600 Czech Crowns (CZK), a figure that increased to 15,000 CZK for those with a high school education without exams, 19,900 CZK for high school graduates with exams, and 24,600 CZK for university graduates. Mr. Hanousek concludes that it can be argued that higher income (and better educated) groups allocated their vouchers or timed the disposition of their shares better.
He turns next to an analysis of how respondents reported using their windfalls. The key result is that only a relatively small number of individuals reported spending on goods.
Overall, the results provide strong support for the permanent income hypothesis, the only apparent deviation being the fact that both men and women aged 26 to 35 apparently consume more than they should if the windfall were annuitised. This finding is still fully consistent with the PIH, however, if this group is at a stage in their life-cycle where, without the windfall, they would be borrowing to finance consumption associated with family formation etc. Indeed, the PIH predicts that individuals who would otherwise borrow to finance consumption would consume the windfall up to the level equal to the annuitised fraction of the increase in lifetime income plus the full amount of the previously planned borrowing for consumption. Greater consumption would then be financed, not from investing the windfall, but from avoidance of future repayment obligations for debts that would have been incurred without the windfall
Essays on the Effective Market Dynamics
No full textEssays on the Effective Market Dynamics Jan Novotný Abstract In the first chapter, I employ high frequency data to study extreme price changes (i.e., price jumps) in the Prague, Warsaw, Budapest, and Frankfurt stock market indexes from June 2003 to December 2010. I use the price jump index and normalized returns to analyze the distribution of extreme returns. The comparison of jump distributions across different frequencies, periods, up and down moves, and markets suggests a possible relationship with market micro-structure. I also show that the recent financial crisis resulted in an overall increase in volatility; however, this was not translated into an increase in the absolute number of jumps. In the second paper, I empirically analyze the price jump behavior of heavily traded US stocks during the recent financial crisis. Namely, I test the hypothesis that the collapse of Lehman Brothers caused no change in the price jump behavior. To accomplish this, I employ data on realized trades for 16 stocks and one ETF from the NYSE database. These data are at a 1-minute frequency and span the period from January 2008 to the end of July 2009. I employ five model-independent and three model-dependent price jump indicators to robustly assess the price jump behavior. The results confirm an increase in overall..
Lange and Hayek Revisited: Lessons from Czech Voucher Privatization
No full textA fundamental question in economics since the 1930s has been whether an administrative price system could simulate the results of perfect competition even without a true market for the means of production. The theoretical possibility of such a system has been known since the introduction of market socialism by Oskar Lange. We have used the artificial bidding market involved in the Czech voucher privatization process to test whether a sequential process of trial-and-error can set administrative prices close to equilibrium. It would appear from this natural experiment that Robbins and Hayek were correct in doubting the real-world feasibility of market socialism.bidding scheme; Oskar Lange’s model; privatization; price setting; voucher scheme
Lange and Hayek Revisited: Lessons from Czech Voucher Privatization
No full textA fundamental question in economics since the 1930s has been whether an administrative price system could simulate the results of perfect competition even without a true market for the means of production. The theoretical possibility of such a system has been known since the introduction of market socialism by Oskar Lange. We have used the artificial bidding market involved in the Czech voucher privatization process to test whether a sequential process of trial-and-error can set administrative prices close to equilibrium. It would appear from this natural experiment that Robbins and Hayek were correct in doubting the real-world feasibility of market socialism.Bidding scheme, Oskar Lange’s model, Privatization, Price setting, Voucher scheme
Substitution Biases in Price Indexes during Transition
No full textThe rapidly changing environment of the transition may create special problems for calculation of index numbers that require a fixed basket of goods and retail outlets. Using referent-level data we find that fixed- weight Laspeyres index on average overstated cost of living increases by approximately 5 per cent a year when compared with a superlative index in the Czech Republic. This difference is smaller than might be expected given the large changes in relative prices that occurred during transition and suggests that consumer substitution impacts may have been largely offset by other factors, especially rising prices combined with increased consumption of some goods as artificial shortages under communism were removed. Indeed, in the period of greatest supply response to price liberalization, the Laspeyres index appears to understate increases in the cost of living.Inflation Bias, Transition Economies, Output Fall CPI Bias, Formula bias, Price Liberalization, Substitution bias
Spinoffs, Privatization and Corporate Performance in Emerging Markets
No full textWe use new firm-level data to examine the effects of spinoffs and privatization on corporate performance in a rapidly emerging market economy. Unlike the existing literature, which analyzes spinoffs almost exclusively in advanced economies, we control for accompanying ownership changes and the fact that spinoffs and ownership are endogenous variables. We find that spinoffs increase the firm’s profitability but do not alter its scale of operations, while the effect of privatization depends on the resulting ownership structure – sometime improving performance and sometime bringing about decline that is consistent with tunneling (looting) by managers or (partial) owners. The effects of privatization are hence much less clear-cut than suggested in earlier studies. Methodologically, our study provides evidence that it is important to control for changes in ownership when analyzing spinoffs and generally to control for endogeneity, selection and data attrition when analyzing the effects of spinoffs and privatization.Spinoffs, breakups, privatization, corporate performance, endogeneity
Survey-based Estimates of Biases in Consumer Price Indices During Transition: Evidence from Romania
No full textMismeasurement of inflation is likely to be more severe in a transition economy than in a more stable environment. Comparisons of self-reported changes in economic welfare with changes in incomes suggest that official Romanian inflation measures may be overstated by between 100 and 300 percent at a reported annual inflation rate of 40 per cent.
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