Statistika: Statistics and Economy Journal - No. 3/2024

Statistika, 104(3): 249–277
https://doi.org/10.54694/stat.2024.12

Abstract
For decades, economists have been trying to estimate the magnitude of the shadow economy (SE), which is not directly observable. This paper explores how the MIMIC (Multiple Indicator Multiple Cause) model can yield estimates of the SE/GDP (the proportion of the SE to the gross domestic product) below 0%, above 100%, and other implausible results. The focus is on the new calibration methods by Dell’Anno (2022) and data on the Czech Republic (1993–2021). The paper concludes that one of the leading causes of implausible results is the misalignment between the SE definition implied by the MIMIC model and that used for the exogenous estimates applied for calibration. Therefore, the authors propose testing the alignment between the SE definitions, such as assessing trends in the latent variable (first-stage scores) resulting from the MIMIC model and the exogenous estimates or applying regression or correlation analysis.

Keywords
MIMIC model, implausible results, shadow economy, calibration

Statistika, 104(3): 278–291
https://doi.org/10.54694/stat.2023.50

Abstract
The aim of this paper is to develop a model of the real equilibrium CZK/EUR exchange rate with all relevant explanatory variables. Emphasis will be placed on examining the longest possible time horizon, with a period of real convergence, but also economic stagnation. The model is based on the theoretical BEER approach using a cointegration or error correction model that distinguishes between short-term and long-term relationships. The results show that the Czech koruna strengthens when the productivity differential, terms of trade differential or gross fixed capital formation increase, while the koruna weakens when the VIX index representing global risk aversion increases. For the real interest rate differential, the hypothesis that the koruna strengthens in the short run during the improvement but weakens in the long run probably due to the country's risk premium, was confirmed. Moreover, it turned out that the start of the European Central Bank's quantitative easing led to strengthening of the Czech koruna, while the start of the CNB's foreign exchange interventions in 2013 led to weakening of the Czech koruna.

Keyword
Equilibrium exchange rate, Czech Koruna, exchange rate misalignments, cointegration, error correction model

Statistika, 104(3): 292–305
https://doi.org/10.54694/stat.2023.24

Abstract
In this study using yearly data, it is examined if the effect of money supply (broad money) on inflation is asymmetric or not. 38 countries which have 5% and above inflation rate in average during the period of 1989–2018 are investigated through the panel data analyses. The study differs from other researches, which use monetary shocks in explaining the asymmetric relation, in which that it uses broad money change intervals along with control variables to see the asymmetric impact. Using broad money change intervals, it is concluded that the relation between broad money and inflation is explained better in the asymmetric pooled and fixed effect panel data models, compared to the symmetric models. According to the results, the effects of negative and positive changes in money supply on inflation are not symmetric. Moreover, as broad money increases, inflation goes up further. In the light of this information, it is possible to mention an asymmetric relation between broad money and inflation.

Keywords
Money supply, broad money, inflation, asymmetry

Statistika, 104(3): 306–319
https://doi.org/10.54694/stat.2024.8

Abstract
This study explores the impact of unconventional monetary policy on Morocco’s  economy during the Covid-19 pandemic. We used a hybrid model combining a financial dynamic stochastic general equilibrium (DSGE) model with a standard epidemiology model, enabling us to consider both economic and epidemiological factors. Our results indicate that unconventional monetary policy cannot fully mitigate the adverse effects of a pandemic, except for an exogenous increase in Central Bank claims. We also found that Morocco’s high inflation is partly due to Bank Al-Maghrib’s unconventional monetary measures in response to the pandemic. Our research underscores the importance of monetary authorities balancing the benefits and risks of unconventional monetary policy. While it can stimulate the economy during crises, it should be used judiciously to avoid long-term negative effects. Incorporating epidemiological factors into macroeconomic models is crucial for understanding the intricate interplay between the economy and public health crises.

Keywords
Monetary policy, financial DSGE, epidemiology model

Statistika, 104(3): 320–335
https://doi.org/10.54694/stat.2024.15

Abstract
Our aim in this paper is to show the use of survival Clayton copula as a suitable tool for modelling risk dependencies in insurance. A purpose-built simulation of an adequate upper tail dependence can be an important part of the aggregation of risks in an insurer’s internal models. The occurrence of extreme values of the aggregate random variable might have a very negative impact on the insurer when securing coverage of unexpected losses. The upper conditional quantile exceedance probability of the copula is a suitable indicator. In addition an analysis of its effect on the level of modelling of the risk scenario is available. This effect is measured using the Tail Value at Risk of the aggregate random variable. To simplify our description of the given principle for aggregating risks we will in this paper only consider the two-dimensional case. The programming language R was used to simulate the values of the joint distribution of the marginal random variables.

Keywords
Dependence modelling, survival Clayton copula, conditional quantile exceedance probability, joint distribution, Tail Value at Risk, risk aggregation

Statistika, 104(3): 336–350
https://doi.org/10.54694/stat.2023.59

Abstract
The collective GDP of the G20 nations constitutes over 80% of the global GDP, making them pivotal recipients of significant economic investments in various forms including foreign direct investments. This study delves into the dynamic interplay of ICT development and foreign direct investment (FDI) and GDP nexus among the G20 economies. A comprehensive index is constructed using PCA to gauge ICT development across economies. The study further examines the relationships among FDI, ICT development, and GDP using panel data spanning from 2000 to 2019. The study finds that in the absence of interaction, FDI alone does not exhibit a statistically significant impact on GDP. However, considering the interaction between FDI and ICT, a nuanced pattern emerges. The study discerns that the influence of FDI on GDP is contingent upon the maturity of a country's ICT sector. This suggests the need for policymakers to adopt a more focused approach, tailoring strategies to leverage the interdependence of FDI and ICT for optimal economic growth.

Keywords
FDI, ICT, G20, Growth

Statistika, 104(3): 351–363
https://doi.org/10.54694/stat.2024.13

Abstract
Yogyakarta, an Indonesian province prone to earthquakes, frequently suffers extensive damage to buildings, necessitating insurance coverage to mitigate potential losses. This study aims to forecast earthquake insurance premiums by predicting building damage levels resulting from earthquakes. Utilizing data from buildings affected by the June 30, 2023, earthquake in Yogyakarta, we employ K-Medoids Clustering and Support Vector Machine (SVM) to predict two categories of building damage: minor (labelled as 1) and heavy (labelled as 2). The total premiums for minor damage range from approximately USD 86.55 to USD 288.50, while for heavy damage, they range from USD 120.05 to USD 400.18 using the K-Medoids algorithm. Meanwhile, premiums for minor damage range from USD 83.14 to USD 277.13, and for heavy damage, they range from USD 223.67 to USD 745.55 using the SVM algorithm.

Keywords
Clustering, disaster, earthquake, Yogyakarta, insurance, premium

Statistika, 104(3): 364–370
https://doi.org/10.54694/stat.2024.6

Abstract
The article aims at mapping the history of the Czech version of the Household Budget Survey (HBS), i.e. Statistika rodinných účtů (SRÚ), and on the historical changes in its methodology. Statistika rodinných účtů is a survey focused mainly on private household expenditure in all the regions of the Czech Republic. The first official SRÚ survey was conducted in 1920 by the Statistical office of the former Czechoslovak Republic. This article offers a brief overview of the more than 100 years of the survey, which have been shaped significantly throughout the different eras it had underwent, both by the socio-political contexts and by the gradual technological progress. Last but not least, methodological changes which occurred in 2017 are discussed, as well as some important aspects of the present-day form of the survey.

Keywords
Household Budget Survey (HBS), Statistika rodinných účtů (SRÚ), Czech Statistical Office (CZSO), household survey methodology, household consumption expenditure