Evžen Kočenda - Research

Research areas
Selected Work in Progress
  • Poghosyan, K., Kočenda, E., 2016. Determinants of export sophistication: Evidence from Monte-Carlo simulations. IOS WP 360. (download pdf)
  • Brůha, J., Kočenda, E., 2017. Financial stability in Europe: Banking and sovereign risk. CESifo WP 6453. (download pdf)
  • Kočenda, E., Moravcová, M., 2016. Intraday Effect of Macroeconomic Announcements on Emerging European Forex Markets: An Event Analysis. Charles University, IES WP 20/2016 (download pdf)
  • Hanousek, J., Kočenda, E., Vozárová, P., 2017. Effects of export spillovers, FDI, and ownership structures on firms’ performance. CEPR DP 12124. (download pdf)
  • Hanousek, J., Kočenda, E., 2016. FDI and Ownership in Czech Firms: Pre- and Post-crisis Efficiency. KIER DP 942. (download pdf)
  • Baumöhl, E., Kočenda, E., Lyócsa, Š., Výrost, T., 2017. Networks of volatility spillovers among capital markets. CESifo WP 6476. (download pdf)
Journal articles (published and forthcoming)                                Articles in Czech / články v češtině
  • Kočenda, E., Varga, B., 2017. The impact of monetary strategies on inflation persistence. Forthcoming in International Journal of Central Banking. (download pdf)
  • Baruník, J., Kočenda, E., Vácha, L., 2017. Asymmetric Volatility Connectedness on Forex Markets. Forthcoming in Journal of International Money and Finance. (download pdf)
  • Iwasaki, I., Kočenda, E., 2017. Are some owners better than others in Czech privatized firms? Even meta-analysis can't make us perfectly sure. Forthcoming in Economic Systems (download pdf)
  • Kočenda, E., 2017. Survey of volatility and spillovers on financial markets. Forthcoming in Prague Economic Papers. (download pdf)
  • Frensch, R., Hanousek, J., Kočenda, E., 2016. Trade in parts and components across Europe. Czech Journal of Economics and Finance, 66(3), 236 - 262. (download pdf) The paper has been featured on the CEPR's Policy Portal VOX
  • Baruník, J., Kočenda, E., Vácha, L., 2016. Gold, Oil, and Stocks: Dynamic Correlations. International Review of Economics and Finance 42, 186-201. (download pdf)
  • Baruník, J., Kočenda, E., Vácha, L., 2016. Asymmetric connectedness of stocks: How does bad and good volatility spill over the U.S. stock market? Journal of Financial Markets, 27(1), 55-78. (download pdf)
  • Hanousek, J., Kočenda, E., Shamshur, A. 2015. Corporate efficiency in Europe. Journal of Corporate Finance, 32, 24-40. (download pdf)
    The paper has been featured on the CEPR's Policy Portal VOX
  • Baruník, J., Kočenda, E., Vácha, L., 2015. Volatility spillovers across petroleum markets. The Energy Journal, 36(3), 309-329. (download pdf)
  • Hanousek, J., Kočenda, E., 2014. Factors of trade in Europe. Economic Systems, 38(4), 518-535. (download pdf)
  • Hanousek, J., Kočenda, E., Novotný, J., 2014. Price Jumps on European Stock Markets. Borsa Istanbul Review, 14(1), 10-22. (download pdf)
  • Egert, B., Kočenda, E., 2014. The impact of macro news and central bank communication on emerging European forex markets. Economic Systems, 38(1), 73-88. (download pdf)
  • Kočenda, E., Maurel, M., Schnabl, G., 2013. Short- and Long-Term Growth Effects of Exchange Rate Adjustment. Review of International Economics, 21(1), 137–150. (download pdf)
  • Uzagalieva, A., Kočenda, E., Menezes, A., 2012. Technological Innovation in New European Union Markets. Emerging Markets Finance and Trade, 48(5), 48–65. (download pdf)
  • Hanousek, J., Kočenda, E., Mašika, M., 2012. Firm Efficiency: Domestic Owners, Coalitions, and FDI. Economic Systems, 36(4), 471-486. Lead article (download pdf)
  • Kočenda, E., Hanousek, J., 2012. State Ownership and Control in the Czech Republic. Economic Change and Restructuring, 45(3), 157-191. (download pdf)
  • Kočenda, E., Hanousek, J., 2012. Firm Break-up and Performance. Economics of Governance, 13(2), 121-143. (download pdf)
  • Hanousek, J., Kočenda, E., Novotný, J., 2012. Identification of Price Jumps. Monte Carlo Methods and Applications, 18(1), 53–77. (download pdf)
  • Kočenda, E., Vojtek, M., 2011. Default Predictors in Retail Credit Scoring: Evidence from Czech Banking Data. Emerging Markets Finance and Trade, 47(6), 80–98. (download pdf)
  • Bubák, V., Kočenda, E., Žikeš, F., 2011. Volatility Transmission in Emerging European Foreign Exchange Markets. Journal of Banking and Finance, 35(11) 2829–2841. (download pdf)
  • Hanousek, J., Kočenda, E., Maurel, M., 2011. Direct and indirect effects of FDI in emerging European markets: Survey and Meta-analysis. Economic Systems, 35(3), 301-322. Lead article (download pdf)
  • Egert, B., Kočenda, E., 2011. Time-Varying Synchronization of the European Stock Markets. Empirical Economics, 40(2), 393-407. (download pdf)
  • Hanousek, J., Kočenda, E., 2011. Public Investments and Fiscal Performance in New EU Member States. Fiscal Studies, 32(1), 43-72. (download pdf)
  • Hanousek, J., Kočenda, E., 2011. Foreign News and Spillovers in Emerging European Stock Markets. Review of International Economics, 19(1), 170–188. (download pdf)
  • Hanousek, J., Kočenda, E., 2011. Learning by Investing: Evidence from a Naturally-Occurring Auction. Economics of Transition, 19(1), 125–149. (download pdf)
  • Hanousek, J., Kočenda, E., Svítková, K., 2010. Corporate Philanthropy in the Czech and Slovak Republics. Czech Journal of Economics and Finance, 60(2), 102-121. Lead article (download pdf)
  • Kočenda, E., Poghosyan, T., 2010. Exchange Rate Risk in Central European Countries. Czech Journal of Economics and Finance, 60(1), 22-39. (link to pdf)
  • Estrin, S., Hanousek, J., Kočenda, E., Svejnar, J., 2009. Effects of Privatization and Ownership in Transition Economies. Journal of Economic Literature, 47(3), 699-728. (download pdf)
    Earlier version with extensive details: IPC Working Paper No. 30. International Policy Center, Gerald R. Ford School of Public Policy, University of Michigan. (link to WP)
  • Kočenda, E., Poghosyan, T., 2009. Macroeconomic Sources of Foreign Exchange Risk in New EU Members. Journal of Banking and Finance, 33(11), 2164-2173. (download pdf)
  • Hanousek, J., Kočenda, E, Kutan, A.M., 2009. The Reaction of Asset Prices to Macroeconomic Announcements in New EU Markets: Evidence from Intraday Data. Journal of Financial Stability, 5(2), 199-219. (download pdf)
  • Hanousek, J., Kočenda, E., Svejnar, J., 2009. Divestitures, Privatization and Corporate Performance in Emerging Markets. Economics of Transition, 17(1), 43-73. (download pdf)
  • Kočenda, E, Kutan, A.M., Yigit, T.M., 2008. Fiscal Convergence in the European Union. North-American Journal of Economics and Finance, 19(3), 319-330. (download pdf)
  • Kočenda, E., Hanousek, J., Engelmann, D., 2008. Currencies, Competition, and Clans. Journal of Policy Modeling, 30(6), 1115-1132. (download pdf)
  • Hanousek, J., Kočenda, E., Zemčík, P., 2008. Bond Market Emergence: Case of Serbia. Journal of Emerging Market Finance, 7(2), 141–68. (download pdf)
  • Kočenda, E., 2008. Company Ownership and Performance During the Czech Transformation. Seoul Journal of Economics, 21(2), 285-310.
  • Hanousek, J., Kočenda, E., 2008. Potential of the State to Control Privatized Firms. Economic Change and Restructuring, 41(2), 167-186. (download pdf)
  • Poghosyan, T., Kočenda, E., Zemčík, P., 2008. Modeling Foreign Exchange Risk Premium in Armenia. Emerging Markets Finance and Trade, 44(1), 41-61. (link to the paper)
  • Hanousek, J., Kočenda, E., Ondko, P., 2007. The Banking Sector in New EU Member Countries: A Sectoral Financial Flows Analysis. Czech Journal of Economics and Finance, 57(5-6), 200-224. (download pdf)
  • Egert, B., Kočenda, E., 2007. Interdependence between Eastern and Western European Stock Markets: Evidence from Intraday Data. Economic Systems, 31(2), 184-203. (revised version) (earlier version)
  • Hanousek, J., Kočenda, E., Svejnar, J., 2007. Origin and Concentration: Corporate Ownership, Control and Performance in Firms after Privatization. Economics of Transition, 15(1), 1-31. Lead article (revised version)
  • Egert, B., Jiménez-Rodríguez, R., Kočenda, E., Morales-Zumaquero, A., 2006. Structural Changes in Central and Eastern European Economies: Breaking News or Breaking the Ice? Economic Change and Restructuring, 39(1-2), 85-103. (link to WP version) (link to pdf)
  • Kočenda, E., Valachy, J., 2006. Exchange rate volatility and regime change: Visegrad comparison. Journal of Comparative Economics, 34(4), 727-753. (link to pdf)
  • Kočenda, E, Kutan, A.M., Yigit, T.M., 2006. Pilgrims to the Eurozone: How Far, How Fast? Economic Systems, 30(4), 311-327. (link to paper)
  • Vojtek, M., Kočenda, E., 2006. Credit Scoring Methods. Czech Journal of Economics and Finance, 56(3-4), 152-167. (download pdf)
  • Kočenda, E., Briatka, L., 2005. Optimal Range for the iid Test Based on Integration across the Correlation Integral. Econometric Reviews, 24(3), 265-296. (link to abstract), (download pdf)
  • Kočenda, E., 2005. Beware of Breaks in Exchange Rates: Evidence from European Transition Countries. Economic Systems, 29(3), 307-324. (download pdf)
  • Hanousek, J., Kočenda, E., 2003. The Impact of Czech Mass Privatization on Corporate Governance. Journal of Economic Studies, 30(3/4), 278-293. (link to abstract)
  • Kočenda, E., 2003. Performance of Czech Voucher-privatized Firms. Prague Economic Papers, 12(2), 122-131.
  • Kočenda, E., Valachy, J., 2002. Firm Ownership Structures: Dynamic Development. Prague Economic Papers, 11(3), 255-268. (link to abstract)
  • Kočenda, E., 2001. An Alternative to the BDS Test: Integration Across the Correlation Integral. Econometric Reviews, 20(3), 337-351. (download pdf), (download software)
  • Lízal, L., Kočenda, E., 2001. State of Corruption in Transition: The Case of the Czech Republic. Emerging Markets Review, 2(2), 138-160. (link to pdf), (download pdf)
  • Kočenda, E., 2001. Macroeconomic Convergence in Transition Countries. Journal of Comparative Economics, 29(1), 1-23. Lead article (link to pdf)
  • Kočenda, E., 1999. Residual State Property in the Czech republic. Eastern European Economics, 37(5), 6-35.
  • Kočenda, E., Hanousek J., 1999. Central and Eastern Europe and its Uncertain Road to EMU. Brown Journal of World Affairs, 6(2), 173-185. (download pdf)
  • Kočenda, E., Čábelka, Š., 1999. Liberalization in the Energy Sector: Transition and Growth. Osteuropa Wirtschaft, 44(1), 104-116. (download pdf)
  • Kočenda, E., Hanousek J., 1998. Integration of Emerging Equity Markets: Major Asian Players. Korean Economic Review, 14(1), 99-114.
  • Kočenda, E., 1998. Before and After the Czech Financial Crisis of 1997: Exchange Rates and Interest Rates. Europa - Economic Policy Initiative, 6, 5-6.
  • Kočenda, E., 1998. Altered Band and Exchange Volatility. Economics of Transition, 6(1), 173-181. (download pdf)
  • Kočenda, E., 1997. Conditional Variance and Fluctuation Band. Prague Economic Papers, 6(4), 347-354.
  • Kočenda, E., Papell, D. H., 1997. Inflation Convergence Within the European Union: A Panel Data Analysis. International Journal of Finance and Economics, 2(3), 189-198. (download pdf)
  • Kočenda, E., 1996. Volatility of a Seemingly Fixed Exchange Rate. Eastern European Economics, 34(6), 37-67. (download pdf)
Books and monographs
  • Kočenda, E. and Černý, A., 2015 Third Edition, 2014 Second Edition, 2007 First Edition. Elements of Time Series Econometrics: An Applied Approach. Karolinum - Charles University Press, Prague. ISBN: 9788024631998, ISBN: 9788024613703, 9788024623153. (link to book)
  • Hanousek, J., Kočenda, E. and Lízal, L., 2004. Tale of the Czech Transition: Understanding the Challenges Ahead. MatfyzPress, Praha. ISBN 80-7343-023-1, ISBN 80-7344-012-1.(link to pdf)
  • Kočenda, E. a Lízal, L., 2003. Český podnik v české transformaci: 1990-2000 (The Czech Firm in Czech Transition: 1990-2000). Academia, Praha. ISBN 80-200-1039-4.
  • Kočenda, E., 1998. Exchange Rate in Transition. Praha: CERGE UK. ISBN 80-86286-08-8 (link to pdf)
Chapters in books
  • Baruník, J., Kočenda, E., Vácha, L., 2014. Wavelet-Based Correlation Analysis of the Key Traded Assets. In Gallegati, Marco and Semmler, Willi (Eds.), Wavelet Applications in Economics and Finance, p. 157-186, Series: Dynamic Modeling and Econometrics in Economics and Finance, Vol. 20, Springer, 2014. ISBN 978-3-319-07061-2.
  • Hanousek, J., Kočenda, E., and Novotný, J., 2013. Intraday Price Behavior during Information Arrival in Emerging Markets. In H. Kent Baker and Halil Kiymaz (Eds.), Market Microstructure in Emerging and Developed Markets, p. 445-462, Robert W.Kolb Series in Finance, Wiley, Hoboken, New Jersey, 2013. ISBN: 978-1-118-27844-4.
  • Kočenda, E., Hanousek, J., 2012. Pyramid state ownership and control in the Czech Republic. In Paul Hare and Gerard Turley (eds.), Handbook of the Economics and Political Economy of Transition. Chapter 23, pp. 284-295. Routledge, London and New York. ISBN 978-0-415-59112-6.
  • Hanousek, J., Kočenda, E., 2011. Public investment and growth in New EU member states: An overview. In Massimo Florio (ed.), Public Investment, Growth and Fiscal Constraints. Challenges for the EU New Member States. Chapter 6, pp. 155- 228. Cheltenham, UK and Northampton, MA, USA: Edward Elgar Publishing.
  • Hanousek, J., Kočenda, E., Svejnar, J., 2008. Privatization in Central and Eastern Europe and the CIS. In G. Roland (Ed.), Privatization: Success and Failures. Chapter 3, pp. 76-108. New York, Columbia University Press.
  • Hanousek, J., Kočenda, E. and Lízal, L., 2006. The Czech Republic: Understanding the Transition Reform. In Fanelli, J.M. and McMahon, G. (eds.), Understanding Market Reforms, Volume 2: Motivation, Implementation and Sustainability, Chapter 7, pp. 256-293. Palgrave Macmillan, London. ISBN 1403949417. (link to book)
  • Blaszczyk, B., Hoshi, I., Kočenda, E. and Woodward, R., 2006. Ownership and Performance in Transition Economies: An Overview. In Blaszczyk, B., Hoshi, I., and Woodward, R. (eds.), 2003. Secondary Privatization in Transition Economies The Evolution of Enterprise Ownership in the Czech Republic, Poland and Slovenia. Chapter 1, pp. 1-22. Palgrave Macmillan, London. ISBN 1403915377.
  • Kočenda, E., co-author, 2004. Czech Republic 2003/2004: Entering the EU, (Dušek, L. and Jurajda, Š., eds.). Praha: CERGE UK, 2004. ISBN 80-86286-97-0, 80-7343-008-8 7-43.
  • Kočenda, E. and Valachy, J., 2003. The Czech Republic: Ownership and Performance of Voucher-Privatized Firms. In Blaszczyk, B., Hoshi, I., and Woodward, R. (eds.): Secondary Privatization in Transition Economies The Evolution of Enterprise Ownership in the Czech Republic, Poland and Slovenia. Chapter 5, pp. 171-214. Palgrave Macmillan, London. ISBN 1403915377.
  • Kočenda, E., co-author, 2002. Czech Republic 2002: Invited to EU, (Jurajda, Š. and Lízal, L, eds.). Praha: CERGE UK. ISBN 80-86286-88-6, 80-86286-82-X. (link to pdf)
  • Kočenda, E., 2002. Exchange Rate Movements in European Transition Economies, 27-48. In: Columbus, F. (ed.), European Economic and Political Issues V. Nova Science Publishers, New York. ISBN 1-59033-322-5.
  • Kočenda, E., co-author, 2001. Czech Republic 2001: Mixed Blessings, (Hanousek, J and Lízal, L, eds.). Praha: CERGE UK. ISBN 80-86286-69-X, 80-86286-64-1.
  • Kočenda, E., co-author, 2000. Macroeconomy, III: 28-43. In: Hanousek, J. and Munich, D. (eds.), Czech Republic 2000: Quo Vadis?. Praha: CERGE UK. ISBN 80-86286-48-7, 80-86288-43-9.
  • Kočenda, E., Čábelka, Š., 1999. Macroeconomy, III: 29-45, Microeconomy, IV: 46-59. In: Hanousek, J. and Munich, D. (eds.), Czech Republic 1999: Back to the Drawing Board. Praha: CERGE UK. ISBN 80-86286-29-0
  • Kotrba J., Kočenda, E., and Hanousek, J., 1999. The Governance of Privatization Funds in the Czech Republic, 7-43. In: Simoneti, M., Estrin, S., and Boehm, A. (eds.), The Governance of Privatization Funds: Experiences of the Czech Republic, Poland and Slovenia. Edward Elgar, London. ISBN 184-064-013-8
  • Kočenda, E., Čábelka, Š., 1998. Macroeconomy, III: 27-38. In: Turnovec, F. (ed.), Czech Republic 1998: Facing Reality. Praha: CERGE UK. ISBN 80-86286-13-4
  • Hanousek, J., Kočenda, E., 1998. Effects of the Czech Voucher Scheme on the Corporate Governance, 117-134. In: Tchipev P. D., Backhaus J. G., and Stephen F. H. (eds.), Mass Privatisation Schemes in Central and East European Countries. Implications on Corporate Governance. Gorex Press, Sofia. ISBN 954-616-034-2
  • Kočenda, E., 1998. Macroeconomy, III: 20-27, Microeconomy, IV: 30-39. In: Turnovec, F. (ed.), Czech Republic 1997: The Year of Crisises. Praha: CERGE UK. ISBN 80-902325-1-5
  • Kočenda, E., 1997. Macroeconomy, III: 20-27. In: Turnovec, F. (ed.), Czech Republic 1996: Basic socio-economic indicators. Praha: CERGE UK. ISBN 80-902325-0-7
Grants
  • Financial sectors, systemic risk and economic fluctuations. Grant Agency of the Czech Republic, Grant no. 16-09190S (2016-2019), principal investigator
  • Firm production, efficiency, and corporate finance: An international perspective. Grant Agency of the Czech Republic, Grant no. 15-15927S (2015-2017), partner
  • Dynamic correlations and financial market risk. Grant Agency of the Czech Republic, Grant no. 14-24129S (2014-2016), principal investigator
  • Financial impacts of the East-West trade and FDI: A gravity based approach. Grant Agency of the Czech Republic, Grant no. 403/12/0080 (2012-2014), principal investigator
  • Dynamic Models in Economics – DYME. Grant Agency of the Czech Republic, Grant no. P402/12/G097 (2012-2018), member of a working group
  • Dynamics of information flows and volatility transmission in financial markets. Grant Agency of the Czech Republic, Grant no. 403/11/0020 (2011-2013), partner
  • Corporate performance, behaviour and ownership structures in the Czech firms: Theoretical modelling and empirical assessment. Grant Agency of the Czech Republic, Grant no. 402/09/1595 (2009-2011), principal investigator
  • Information, Spillovers, and Impact on Capital Markets: Theory and Empirics of the Intra-Day Data Approach. Grant Agency of the Czech Republic, Grant no. 402/08/1376 (2008-2010), partner
  • Understanding Privatisation Policy: Political Economy and Welfare Effects. Specific Targeted Research Project, EC 6th Framework Grant (2006-2008), partner
  • Theoretical foundations and empirical evaluation of the Performance and Efficiency of the Czech corporations: From transition to the EU integration. Grant Agency of the Czech Republic, Grant no. 402/06/1293 (2006-2008), principal investigator. Project was awarded the Czech Science Foundation's Presidential Award (April 2009)
  • Credit Scoring Methodologies. Grant Agency of the Czech Republic, Grant no. 402/05/0931 (2005-2006), partner
  • Modeling Stock Market Returns and Volatility: The Case of Selected Industrialized and New EU Member States. GDN Grant no. RRC V-8 (2005), principal investigator
  • Czech Republic Entering the EU: Achievements and Remaining Challenges for the Economy. Country Study. Global Development Network (2003-2004), partner
  • Owner vs. seller effects on performance after mass privatization: Comparative empirical study of Slovenia, Czech Republic and Poland. GDN Grant No. GRCII+15 (2002-2003), partner
  • Secondary privatization: The Evolution of Ownership Structures of Privatized Companies. Phare ACE Grant no. P97-8201-R (1999-2001), partner
  • The Determinants of Growth in Central and East Europe. Phare ACE Grant no. P96-6095-R (1997-1999), partner
  • Privatization and Management of Residual State Property: The Implementation for Corporate Governance of Enterprises, Study of the Czech Republic, Hungary, Poland and Slovenia. Phare ACE Grant no. P96-6040-R (1997-1999), partner
  • Convergence During Transition.Soros Foundation Individual Projects, grant no. 319/97 (1997-1998), principal investigator
  • Modelling Distress in the Commercial Banking Sector. Grant Agency of Charles University, grant no. 236/97/A-EK (1997-1998), principal investigator
  • Estimation of Models of Labor Demand and Measurement Error. Soros Foundation Individual Projects, grant no. 901/96 (1996-1998), co-investigator