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THURSDAY - 02.09.2021







Rudolf Zimka, Miroslav Hužvár,
Mária Grausová

Murakami and Asada (1) set up a four-dimensional dynamical nonlinear Kaleckian model with incorporated inflation-deflation expectations. They analyzed their influence on the stability of model´s equilibrium and indicated a possible existence of limit cycles in its small vicinity. In the presented contribution the existence of limit cycles will be performed rigorously. There will be derived the bifurcation equation of the model giving an exact answer to a question on the existence of limit cycles and their properties. Numerical simulations will illustrate the achieved results.

(1) Murakami, H. and Asada, T, 2018, Inflation-deflation expectations and economic stability in a Kaleckian system, Journal of Economic Dynamics and Control, Elsevier, vol. 92(C), pp. 183-201.

Keywords: dynamical model, equilibrium, stability, limit cycles.


Emília Zimková, Martin Boďa

In cognizance of the role that the traditional loan-to-deposit (LTD) ratio fulfils for financial stability policy, the paper proposes extending this metric of liquidity and funding towards measuring attainment in financial intermediation. The proposed metric, financial intermediation measure (FIM), is a normative indicator and amends the descriptive nature of the LTD ratio, and is thus more suited to the needs of macroprudential regulation of financial systems. The metric is grounded in ideas of data envelopment analysis and is developed in conjunction with a data set on structural indicators provided by the World Bank. The FIM focuses upon the banking part of financial intermediation and measures whether a financial system is successful in transforming (bank) deposits into loans subject to feasibility restrictions applied to both the banking and securities markets. Utilization of the FIM is demonstrated for 48 financial systems of the world using data from 1993 to 2016 under different classifications applied to financial systems. The demonstration shows that the FIM is useful also for performance assessments of market-based financial systems without distinction.

Keywords: financial intermediation, financial system, financial intermediation measure, loan-to-deposit ratio.


Joanna Dębicka, Edyta Mazurek,
Katarzyna Ostasiewicz

The fundamental problem with the measurement of preferences is that, on the one hand, it is an attempt to make measurable what is by its nature “unmeasurable”. On the other hand, it is an attempt to measure something that is hidden from direct observation. In addition, the current emotional, material and social situation of a person influences the measurement of preferences resulting from that person’s value system. The current paper is a study in the methodology of attitude measurement, a comparison and evaluation of two methods of attitude scale construction. Among various techniques for the measurement, we investigate the two methods; Thurstone’s procedure for finding scale separations developed by Thurstone and the simplest rank method of scaling. This study investigates the relative merits of the Thurstone and rank techniques of scale construction.

Keywords: measurement of preferences, rank scaling, Thurstone’s scale, rank method of scaling.


Coffee Break





Somdeb Lahiri

Consider a decision maker (DM) who has to choose an act from a non-empty finite set of acts. There is a non-empty finite set of future states of nature exactly one of which is going to be realized and the decision maker is unaware of the state of nature that is going to be realized at the time he has to choose an act. The pay-off function of the decision maker depend not only on the act chosen by the DM, but also on the state of nature that is going to be realized at a future date. Decision under risk studies the DM faces when it is aware of the probability distribution that chance selects. Decision making under ambiguity arises when there is a positive probability of ignorance (not knowing) the exact probabilities with which some future states of nature may occur. In this paper we discuss a solution for decision making under ambiguity called the Ellsberg solution.

Keywords: Decision making under ambiguity, Ellsberg solution, equilibrium points of bimatrix games.


Jana Fischerová, Jakub Vincenc,
Veronika Ptáčková

Linking various data sources in official statistics is the right step that moves economists, analysts, and experts in the financial sector to understand and predict national and international economic development. The estimation of margins on buying and selling transactions (hereinafter financial margins) is a current topic, which is also in the focus of different European institutions (e.g. Eurostat, European Central Bank (ECB) and many others). These institutions have recently stressed their attention to the importance of the estimation of financial margins. The estimate methodology is still developing, and many countries even do not capture this part of financial services in their national accounts yet. In November 2020, the Working Group on External Statistics (WG ES) under the ECB recommended member states to organise the questionnaire in selected services. The aim of the questionnaire should be in general to explore the market where the margins are generated, which could partly fall under The Joint Harmonised EU Programme of Business and Consumer Survey (BCS) and under the other annual surveys provided by the Czech Statistical Office (CSU) or the Czech National Bank (CNB). The aim of this paper is to find suitable data sources in the area of official statistics that should help to solve the question of appropriate capturing of financial margins in the Czech national accounts according to requirements of European institutions (especially in the relation to non-residents). Firstly, we will go through the available data sources about the financial institutions and analyse the current situation in Czechia. Collected information will be helpful for the literature review about the mentioned issue. Secondly, we will evaluate the opportunity to use the Czech BCS as the background data source for the additional voluntary questionnaire focused on institutions which filled in BSC corresponding data. Investment questionnaire under BCS in the selected services with the edited form will be released for the first time during autumn 2021. We consider data where respondents evaluate and estimate their investments based on a qualitative scale as a suitable additional source that will quickly show economic development in the field of financial margins. This research topic follows the papers presented at AMSE conferences in the previous years about the Business and Consumer survey prediction ability, financial margins and the important role of financial institutions in the economy.

Keywords: financial margins, business survey, financial institutions, investments.


Pavol Kráľ

Modeling of financial distress of enterprises using financial ratios is still quite a popular research topic in the economic literature. The papers usually focus on fitting the models using various quantitative methods and properties of such models, especially their classification ability, but rarely discuss in detail the deployment of such models and their adoption in decision-making processes of enterprises. In our presentation, we discuss some alternatives how to combine models fitted on different input data with expert knowledge of a decision-maker to make predictions about the future financial states of an enterprise being under scrutiny.

Keywords: financial distress, combination of models, conditional probabilities, probabilistic graphical models.


David Zapletal

The presentation will show the possibilities of survival analysis in default modelling using data from Lending Club. The Lending Club is the biggest US peer-to-peer (P2P) lending company. P2P lending consists in individuals lending money to other individuals without the intermediation of a financial institution. The traditional credit-scoring models, based on logistic regression or machine learning, usually make it possible to estimate the probability that an applicant will default. On the other hand, survival analysis models make it possible to assess not only if but when a customer will default. First of all, the Cox proportional hazard model will introduce finding the most significant factors explaining loan default and summarising the survival experience of individuals in the study. Then, an extended Cox model will be introduced, which allows the inclusion of time-dependent covariates. The possibility of using the so-called mixture cure model in modelling default (credit scoring) will also be discussed.

Keywords: Credit scoring, default, peer-to-peer lending, survival analysis, Cox model, mixture cure model.


Coffee Break





Stanisław Heilpern, Joanna Dębicka,
Agnieszka Marciniuk

The paper presents the methodology of calculating the benefit of a marriage reverse annuity using the multiple state model for marriage life insurance. We model the probabilistic structure and cash flows arising from marriage reverse annuity contracts in the case of the joint-life status and the last surviving status. The matrix notation of actuarial values of this type of annuities is presented. We consider that the interest rate is a stochastic process or the constant interest rate is modelled by a fuzzy number. We distinguish two ways of interest rate modelling, i.e. actuarial (the technical interest rate) and financial way (the short-term rate). The following models of the stochastic interest rate are considered: the first order autoregression, the Wiener process, the Vasicek and Cox-Ingersoll-Ross model. Moreover, the fuzzy interest rate is applied. We show the effect of the interest rate has on the amount of benefit and the frequency of payments. The numerical results are taken based on simulated data and the Polish Life Table, assuming that the spouses’ future lifetimes are independent random variables.

Keywords: stochastic interest rate, fuzzy interest rate, reverse annuity contract, the joint-life status, the last surviving status.


Jana Špirková, Martin Dobrovič, 
Miroslava Vinczeová

In terms of pension savings, particularly the amount of future pensions is currently the subject of much debate to ensure that pensioners receive such pension that will allow them dignified life at their retirement age. In almost all countries around the world, pension systems are based on several pillars. This is also the case of Slovakia with its three-pillar pension system. People are legally insured in the mandatory first pillar and they also can contribute to the second and third pillars on a voluntary basis. However, the returns of pension funds where people invest their money have recently recorded adverse development. Similarly, the development of risk-free bonds traded in the Eurozone has not been favourable for future pensions. The paper presents a case study underlying the risks that can seriously affect the amount of future pensions. These include the relatively high age of people who start to make contributions for retirement, development of the fund´s returns, life expectancy but especially the charging policy of pension management companies which is currently set rather unfavourably for the clients. The case study clearly indicates that current pensions paid under all three pillars do not correspond with the expectations from the implementation of the three-pillar pension system.

Keywords: pension annuity, modelling, life expectancy, yield, pillars of pension savings.


Alena Kaščáková, Andrea Seberini,
Anna Vallušová

Europe, but also many other countries and regions of the world, must adapt to the demographic trend of aging, which is reflected in the growth of the large size and share of the post-productive population. They are responding to this trend by changing policies in the social and economic spheres. In the context of the provision of social services, the Ministry of Labour, Social Affairs and Family of the Slovak Republic determined the “National Priorities for the Development of Social Services for 2021 – 2030”, among which in the first place is the need for the transition from institutional to community social care. Respecting the priority above, Banska Bystrica region implements the project of creating Centers of Integrated Social and Health Care (CISHC) with the aim to provide social services for a group of municipalities. The creation of a suitable group of municipalities, which together will develop a community plan for social services, provides a precondition for improving social services and fulfilling aforementioned priority. The aim of the paper is to present and discuss the several approaches to the ranking of 516 municipalities in Banska Bystrica region by their social, economic and demographic situation. Recommended variable settings and the selection of indicators are used for the construction of the composite index . The final result is compared by the Principal Component Method, Cluster Analysis Methods and the ranking using multicriteria methods for the construction of a composite index.

Keywords: Seniors, social service centres, composite index, multivariate methods, multicriteria methods.


Agnieszka Marciniuk, Beata Zmyślona

In many countries around the world, demographic and civilization changes have brought about the phenomenon of ageing societies. It affects the economy, especially the pension and health care systems, causing difficulties in their financing. This, in turn, requires of implementation of a policy allowing for effective management of the longevity risk. The incentive to use housing resources to improve retirees’ living conditions and private health insurance could be a part of this policy. The contracts discussed in the paper are examples of its instruments. We propose two variants of contracts, marriage and individual, which could help to manage the pensioners’ budgets. The analysis of cash flow for the two variants is presented in the paper. The results of the analysis suggest that the choice of the contract version affects the amount of financial flows related to the reverse annuity and the health insurance benefit, depending on the material needs, health condition and age of the spouses. Financial benefits of the two variants of the contract are different. Various strategies for selecting the type of the contract, taking into account the above-mentioned factors are analyzed in the paper.

Keywords: equity release, reverse annuity contract, critical health insurance, cash flow, financial protection of elderly.







Jaroslav Sixta, Jiří Novák

There is a great demand from the scientific community to publish more detailed outputs of official statistics for research and analysis purposes. The most detailed data of individual respondents are called microdata. In the case of population census, it is an area that needs to be handled with special care and needs special protection. In this paper, the author aims to analyse an auspicious simulation-based method for securing the confidentiality of the microdata, which is creating new “synthetic” microdata from the original dataset. Personal data protection laws hinder the publication of raw microdata from the census. However, the proposed approach creates another dataset that does not contain the initial values but preserves the relationships between the variables and the hierarchical structure contained in the data. The paper analyses this approach on the microdata from the population census from 2011.

Keywords: population census, microdata, statistical disclosure control, sdc, confidentiality.


Magdalena Kapelko, Anastasiia Horeva

The study examines the relationship between corporate social responsibility (CSR) and efficiency of companies. The study focuses on data for 2013-2015 period for selected US transport companies, in particular representing the air and road transport sectors. 12 companies from the road transport sector and 14 companies from air transport were analyzed. The thesis is based on Data Envelopment Analysis method which is used to measure efficiency, while the Pearson correlation coefficient was used to detect the relationship between CSR and efficiency. In this study an analysis of enterprises’ efficiency is conducted using the following models: input-oriented with constant returns to scale (CRS), output-oriented with CRS, input-oriented with variable returns to scale (VRS) and output-oriented in VRS. In addition, the paper presents selected definitions of the CSR concept, its meaning and applications in various industries. The results confirm the positive relationship between CSR and efficiency. The study contains evidence in the form of calculations of the relationship between individual CSR areas and elements of efficiency, bringing interesting insights in a given thematic area. This study can help not only as an recommendation for transport firms, but also as an introduction to further more detailed research of corporate social responsibility.

Keywords: Corporate Social Responsibility, Data Envelopment Analysis, Pearson correlation, efficiency measurement, logistics, air transport, road transport.


Žaneta Lacová, Peter Laco, Anna Vallušová

The digital transformation of European economies motivates different stakeholders to put attention to its driving forces. In our paper, we focus on individual digital skills as the drivers of E-business medium-term changes in the European Union. Using data from EUROSTAT ICT usage in enterprises statistics (E-commerce, Web sites and Use of Social Media, E-business), we identify the EU Member States with the highest firm-level information and communication technology (ICT) usage development. As a next step of our analysis, we use individual data covering digital skills (including computer skills and internet skills) in different EU members to identify the most relevant factors fostering ICT usage in enterprises in the EU. As the situation during COVID pandemic in 2020 created a strong impulse for internet usage, our findings enable to distinguish the „soft“ barriers (possible to remove if the motivation is strong) from „hard“ digital exclusion in the context of business digital transformation.

Keywords: Digital skills, Digital transformation, ICT, E-business, E-commerce, European Union.


Jakub Kalenský

The contribution presents analysis of real estate prices in the context of the regional analysis of housing prices in the Czech Republic towards to the forecast of possible future development of housing prices. The contribution uses the method of regres-sion analysis (multiple linear regression model) and modeling of economic time se-ries (ARIMA models) for the analyzed regions. The contribution presents the results of the analysis of the development of housing prices for selected regions of the Czech Republic, the design and application of a predictive regional regression model and time series models period of 2000 to 2018. The predictive model includes pre-dictions period of 2018 together with a comparison of the predicted value and the real value from the economy. The results show and reflect the development of housing prices in the context of the real development of real estate prices with re-gional scope and an estimate of the future development of these prices. The results presented in the contribution will be used for the development of management re-search in the field of banking institutions and for top managers in firms.

Keywords: time series, ARIMA, housing prices, regions of Czech Republic.


Coffee Break





Cyprian Kozyra

Factor loading rotation is almost obligatory technique in performing exploratory factor analysis (EFA). Optimization of factor loadings structure according to criterion, given by Kaiser more than sixty years ago, can be hard for contemporary statistical software as Tibco Statistica or R language. Different results could be received, so different that making different groups of variables assigned to the factor, when normalized varimax rotation is made either from principal component loadings or raw varimax loadings. Performing confirmatory factor analysis (CFA) on randomly generated data gives such values for much of goodness of fit statistics that could lead to the conclusion about very good model, so complex analysis of CFA results should be made. New solutions, joining advantages of EFA and CFA approaches to the factor analysis, have been developed, e.g. to perform exploratory structural equation modeling with factor model, but all these methods have pros and cons.

Keywords: exploratory factor analysis, varimax rotation, confirmatory factor analysis, random data, exploratory structural equation model.


Keisuke Teeple

To model trading anomalies around major stock market milestones, I introduce a behavioral limitation in how traders form expectations. Resulting asset demands are shown to be periodic, where intervals represent market regimes in the eyes of the trader. Prices determined by heterogeneous traders subject to these behavioral constraints are shown to follow an endogenous Brownian motion. An equilibrium is established in the following sense: because traders are different, their aggregated trades induce a Brownian motion price process, yet the price process impedes traders from learning their differences. I then extend the result to heavy tailed return distributions, and highlight policies to curb non-fundamental volatility.

Keywords: Market microstructure, Behavioral Finance, Anchoring, Price barriers.


Prokop Závodský, Ondřej Šimpach

Reginald Kneifl (1761-1826) studied theology at the university in Prague, taught at Piarist schools in Moravia and Silesia and from 1805 until his death at the Theresianische Ritterakademie in Vienna. In the late of XVIII. and early in XIX. century, extensive works dearling with statistical and topographic description of individual countries creating present-day Czech Republic were published. In the years 1804-1806, Kneifl published a four-volume work (a total of 1137 pages) Topographie des k. K. Antheils von Schlesien, in which he described the part of Silesia left after Austrian-Prussian wars.

Keywords: Reginald Kneifl, Austrian Silesia, statistics.