Scalar-Valued Score Functions and their use in Parametric Estimation
Fabián, Zdeněk
2022 - anglický
In the paper we describe and explain a new direction in probabilistic and statistical reasoning, the approach based on scalar-valued score functions of continuous random variables. We show basic properties of score functions of standard distributions, generalize the approach for parametric families and show how to use them for solutions of problems of parametric statistics.
Klíčová slova:
core random variable; score mean; score variance; score distance; score correlation
Plné texty jsou dostupné na vyžádání prostřednictvím repozitáře Akademie věd.
Scalar-Valued Score Functions and their use in Parametric Estimation
In the paper we describe and explain a new direction in probabilistic and statistical reasoning, the approach based on scalar-valued score functions of continuous random variables. We show basic ...
Measurement on Compressor Cascade KOBRA
Luxa, Martin; Šimurda, David
2022 - anglický
The report contains results and evaluation of conducted optical (shadowgraph and schlieren technique) and pneumatic measurements on the profile cascade intended for the tip section of the first rotor row compressor blade.
Klíčová slova:
compressor cascade; transonic flow; optical measurement; pneumatic measurement
Plné texty jsou dostupné na jednotlivých ústavech Akademie věd ČR.
Measurement on Compressor Cascade KOBRA
The report contains results and evaluation of conducted optical (shadowgraph and schlieren technique) and pneumatic measurements on the profile cascade intended for the tip section of the first rotor ...
Yield Curve Dynamics and Fiscal Policy Shocks
Kučera, A.; Kočenda, Evžen; Maršál, Aleš
2022 - anglický
We show that government spending does play a role in shaping the yield curve which has important consequences for the cost of private and government financing. We combine government spending shock identification strategies from the fiscal macro literature with recent advancements in no-arbitrage affine term structure modeling, where we account for time-varying macroeconomic trends in inflation and the equilibrium real interest rate. We stress in our empirical macro-finance framework the importance of timing in the response of yields to government spending. We find that the yield curve responds positively but mildly to a surprise in government spending shocks where the rise in risk-neutral yields is compensated by a drop in nominal term premia. The news shock in expectations about future expenditures decreases yields across all maturities. Complementarily, we also analyze the effect of fiscal policy uncertainty where higher fiscal uncertainty lowers yields.
Klíčová slova:
Government Expenditures; Fiscal policy; U.S. Treasury Yield Curve; Affine Term Structure Model
Dokument je dostupný na externích webových stránkách.
Yield Curve Dynamics and Fiscal Policy Shocks
We show that government spending does play a role in shaping the yield curve which has important consequences for the cost of private and government financing. We combine government spending shock ...
ECB monetary policy and commodity prices
Aliyev, S.; Kočenda, Evžen
2022 - anglický
We assess the impact of ECB monetary policy on global aggregate and sectoral commodity prices over 2001–2019. We employ a SVAR model and separately assess periods before and after the global financial crisis. Our key results indicate that contractionary monetary policy shocks have positive effects on commodity prices during both conventional and unconventional monetary policy periods, indicating the effectiveness of unconventional monetary policy tools. The largest impact is documented on fuel and food commodities. Our results also suggest that the effect of ECB monetary policy on commodity prices transmits through the exchange rate channel, which influences European market demand.
Klíčová slova:
European Central Bank; commodity prices; short-term interest rates; M2 stock; monetary aggregate; unconventional monetary policy; Structural Vector Autoregressive model; exchange rates
Dokument je dostupný na externích webových stránkách.
ECB monetary policy and commodity prices
We assess the impact of ECB monetary policy on global aggregate and sectoral commodity prices over 2001–2019. We employ a SVAR model and separately assess periods before and after the global financial ...
A New Look to Information and Uncertainty of Continuous Distributions
Fabián, Zdeněk
2022 - anglický
We define information and uncertainty function of a family of continuous distributions. Their values are relative information and uncertainty of an observation from the given parametric family, their mean values are the generalized Fisher information and a new measure of variability, the score variance. In a series of examples we show why to use new concepts instead of the differential entropy.
Klíčová slova:
Differential entropy; information function; uncertainty function; mean information of distribution
Plné texty jsou dostupné na jednotlivých ústavech Akademie věd ČR.
A New Look to Information and Uncertainty of Continuous Distributions
We define information and uncertainty function of a family of continuous distributions. Their values are relative information and uncertainty of an observation from the given parametric family, their ...
Financial Impact of Trust and Institutional Quality around the World
Kapounek, S.; Kočenda, Evžen; Kouba, L.
2022 - anglický
We investigate the financial impact of social trust, institutional quality, and regulations. As a testing ground we employ a unique, large, and hand-crafted dataset of more than 850 000 lending-based crowdfunding projects from 155 platforms across 55 countries during 2005–2018. We show that the impact of social trust is positive but economically less pronounced than that of institutional trust proxied by legal and property rights protection and regulation. Moreover, the financial impact of social trust is greater at the national level, while impact of institutional quality dominates at the international level. Nevertheless, the financial impact of trust and institutional quality around the world is positive, which is an encouraging implication under increasing anonymity and internationalization of financial environment.
Klíčová slova:
social capital; social trust; institutional trust; uncertainty; crowdfunding; financial markets
Dokument je dostupný na externích webových stránkách.
Financial Impact of Trust and Institutional Quality around the World
We investigate the financial impact of social trust, institutional quality, and regulations. As a testing ground we employ a unique, large, and hand-crafted dataset of more than 850 000 lending-based ...
Large Perimeter Objects Surrounded by a 1.5D Terrain
Keikha, Vahideh
2022 - anglický
Given is a 1.5D terrain T , i.e., an x-monotone polygonal chain in R2. Our objective is to approximate the largest area or perimeter convex polygon with at most k vertices inside T . For a constant k > 0, we design an FPTAS that efficiently approximates such polygons within a factor (1 − ǫ). For the special case of the´largest-perimeter contained triangle in T , we design an O(n log n) time exact algorithm that matches the same result for the area measure.
Plné texty jsou dostupné v digitálním repozitáři Akademie Věd.
Large Perimeter Objects Surrounded by a 1.5D Terrain
Given is a 1.5D terrain T , i.e., an x-monotone polygonal chain in R2. Our objective is to approximate the largest area or perimeter convex polygon with at most k vertices inside T . For a constant k ...
Current status of natural refrigerants for heat pumps in an electric bus
Aminian, Ali; Vinš, Václav
2022 - anglický
The technical report provides a survey on the current status of hydrocarbons, with special focus on propane (R290), used as natural refrigerants in air‐conditioning units and heat pumps. Due to the\nexpected phase‐down of halogenated refrigerants planned in the regulation of the European Parliament no. 2022/0099/COD, alternatives such as hydrocarbons, carbon dioxide or ammonia are\nmost probably to be used in EU in the near future. A review of recent developments of HVAC units for residential use and for electric vehicles operated with natural refrigerants is presented.
Klíčová slova:
heat pump; electric bus; refrigeration
Plné texty jsou dostupné na jednotlivých ústavech Akademie věd ČR.
Current status of natural refrigerants for heat pumps in an electric bus
The technical report provides a survey on the current status of hydrocarbons, with special focus on propane (R290), used as natural refrigerants in air‐conditioning units and heat pumps. Due to ...
Bank Survival Around the World: A Meta-Analytic Review
Kočenda, Evžen; Iwasaki, I.
2021 - anglický
Bank survival is essential to economic growth and development because banks mediate the financing of the economy. A bank’s overall condition is often assessed by a supervisory rating system called CAMELS, an acronym for the components Capital adequacy, Asset quality, Management quality, Earnings, Liquidity, and Sensitivity to market risk. Estimates of the impact of CAMELS components on bank survival vary widely. We perform a meta-synthesis and meta-regression analysis (MRA) using 2120 estimates collected from 50 studies. In the MRA, we account for uncertainty in moderator selection by employing Bayesian model averaging. The results of the synthesis indicate an economically negligible impact of CAMELS variables on bank survival; in addition, the effect of bank-specific, (macro)economic, and market factors is virtually absent. The results of the heterogeneity analysis and publication bias analysis are consistent in terms that they do not find an economically significant impact of the CAMELS variables. Moreover, best practice estimates show a small economic impact of CAMELS components and no impact of other factors. The study concludes that caution should be exercised when using CAMELS rating to predict bank survival or failure.
Klíčová slova:
bank survival; bank failure; CAMELS; meta-analysis; publication selection bias
Dokument je dostupný na externích webových stránkách.
Bank Survival Around the World: A Meta-Analytic Review
Bank survival is essential to economic growth and development because banks mediate the financing of the economy. A bank’s overall condition is often assessed by a supervisory rating system called ...
Does the Spillover Index Respond Significantly to Systemic Shocks? A Bootstrap-Based Probabilistic Analysis
Greenwood-Nimmo, M.; Kočenda, Evžen; Nguyen, V. H.
2021 - anglický
The spillover index developed by Diebold and Yilmaz (Economic Journal, 2009, vol. 119, pp. 158-171) is widely used to measure connectedness in economic and financial networks. Abrupt increases in the spillover index are typically thought to result from systemic events, but evidence of the statistical significance of this relationship is largely absent from the literature. We develop a new bootstrap-based technique to evaluate the probability that the value of the spillover index changes over an arbitrary time period following an exogenously defined event. We apply our framework to the original dataset studied by Diebold and Yilmaz and obtain qualified support for the notion that the spillover index increases in a timely and statistically significant manner in the wake of systemic shocks.
Klíčová slova:
Spillover index; systemic events; bootstrap-after-bootstrap procedure
Dokument je dostupný na externích webových stránkách.
Does the Spillover Index Respond Significantly to Systemic Shocks? A Bootstrap-Based Probabilistic Analysis
The spillover index developed by Diebold and Yilmaz (Economic Journal, 2009, vol. 119, pp. 158-171) is widely used to measure connectedness in economic and financial networks. Abrupt increases in the ...
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