PETR ZEMCÍK - RESEARCH

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• Research Fields
• Papers in Refereed Journals
• Working Papers
• Work in Progress
• Unpublished Papers
• Monographs, Selected Chapters in Books, and Other Publications
• Articles in Popular Press
• Grants

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Research Fields
• Real Estate Finance, Financial Economics and Econometrics.

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Papers in Refereed Journals
• "Do House Prices Reflect Fundamentals? Aggregate and Panel Data Evidence," (with Vyacheslav Mikhed) Journal of Housing Economics 18, 2009, 140-149.
• "Testing for Bubbles in  Housing Markets: A Panel Data Approach," (with Vyacheslav Mikhed) Journal of Real Estate Finance and Economics 38, 2009, 366-386.
• "Bond Market Emergence: The Case of Serbia," (with Jan Hanousek and Evžen Kocenda) Journal of Emerging Market Finance 7(2), 2008, 141-168.
• "Modeling Foreign Exchange Risk Premium in Armenia," (with Tigran Poghosyan and Evžen Kocenda) Emerging Markets Finance and Trade 44(1), 2008,  41-61.
• "Prague Summer Olympic Games 2016: Economic Impact Study," (with Štepán Jurajda, Lubomír Lízal, and Daniel Münich) Politická ekonomie 4, 2006,  490-507, in Czech, English abstract.
• "Who's Afraid of Reduced Rank Parameterizations of Multivariate Models? Theory and Example," (with Scott Gilbert) Journal of Multivariate Analysis 97(4), 2006,  925-945.
• "Testing for Latent Factors in Models with Autocorrelation and Heteroskedasticity of Unknown Form," (with Scott Gilbert) Southern Economic Journal 72(1), 2005, 236-252.
• "An Empirical Investigation of the Consumption Based Capital Asset Pricing Model Using a Modified Variance-Ratio Test," Journal of Economics and Finance 25(1), Spring 2001, 1-21.
• "Mean Reversion in Asset Returns and Time Non-Separable Preferences," International Review of Economics and Finance 10, 2001, 223-245.

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Working Papers
• "Size and Value Effects  in the Visegrad Countries," (with Magdalena Morgese Borys), revise and resubmit at  Emerging Markets Finance and Trade.
• "Housing Markets in Central and Eastern Europe: Is There a Bubble in the Czech Republic?" under review at Czech Journal of Economics and Finance.

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Work in Progress
• "Modeling a Pricing Kernel with Equity and Property Returns."
• "The Impact of Mortgages, House Prices and Rents on Household Consumption in the Czech Republic," (with Rastislav Sec) CERGE-EI Discussion Paper 2007-185.
• "ARM or FRM: Which Mortgage Contract Is Better for Czech Households?" (with Ivan Rybár) CERGE-EI Discussion Paper 2007-183.
• "Housing, Consumption, and Stock Returns: A Joint Econometric Model," CERGE-EI Discussion Paper 2006-163.

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Unpublished Papers

• "Sizing up the Errors in Models of Systematic Risk," (with Scott Gilbert).
• "What Makes Firms in Emerging Markets Attractive to Foreign Investors? Micro-evidence from the Czech Republic," (with Peter Toth) CERGE-EI Working Paper 2006-294
• "Inter-Asset Comparisons of Betas and Returns to Small and Large Firms' Stocks" (with Scott Gilbert)
• "Seasonal Unit Root Tests in a Time Series with A-priori Unknown Deterministic Components," (with Subhash C. Sharma).

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 Monographs, Selected Chapters in Books, and Other Publications
• "Asset Pricing and the US Financial & Real Estate Markets," prepared for a habilitation process, 2009.
• "Czech Republic 2008: Strong Currency, No Rush Toward the Euro," an economic survey produced by CERGE-EI, Ch. VII.1 "Residential  Real Estate Market in the Czech Republic Still Going Strong."
• "Regulation, Ownership, and Liquidity on the Serbian Stock Market" (with Lidija Seskar), available at http://www.jeffersoninst.org/Publications.asp, 2008.
• "Bond Markets in Serbia: Regulatory Challenges for an Efficient Market," (with Jan Hanousek and Evžen Kocenda), available at http://www.jeffersoninst.org/Publications.asp , 2005.
• "An Empirical Investigation of the Consumption Based Capital Asset Pricing Model with Time Non-Separable Preferences," dissertation, University of Pittsburgh, 1997.
• "Technical Assistance to Study Methods of Forecasting Employment and Unemployment in the Czech Republic," (with Martin Cihák, Štepán Jurajda, Daniel Münich, Jana Stefanová-Finta, and Jan Švejnar)  manual for the Czech Ministry of Labor and Social Affairs, 1997.

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Articles in Popular Press
• "Chile, nikoli Švédsko: Vládní návrh penzijní reformy potrebuje vetší razanci," (with Libor Dušek) Respekt 51, 2003.

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Grants
• April 2009 - March 2011, "Finance, Innovation and Growth: Changing Patterns and Policy Implications," the European Community's Seventh Framework Programme (FP7/2007-2013) under Socio-economic Sciences and Humanities, grant agreement # 217466, partner & principal researcher for the work package 6 "Asset Prices, Consumption, and Income Distribution," 1,493,870 Euro.
• January 2009 - December 2011 (expected), "Real Estate Prices and their Impact on Czech Households,"   the Grant Agency of the Czech Republic project 402/09/1755, the only researcher, 561,000 Kc.
• May 2005 - April 2007, "Consumption, Household's Welfare, and Dynamics of Property Prices," the  the European Community's Sixth Framework Programme, Marie Curie International Reintegration Grant #014864, the only researcher, 80,000 Euro.

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