Wyniki wyszukiwania - Biblioteka Nauki

1

Money-in-the-Utility-Function: Model Simulations and Money Demand Estimation in the Case of the Republic of Macedonia

100%

Ivanov M. , Petkovski M. , Naumovska E.

South East European Journal of Economics and Business

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2015

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tom 9

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nr 2

7-20

EN

This paper aims to reassess and analyze the dynamic interactions between money, prices and economic activity in the case of the Republic of Macedonia. The first part of the paper simulates the property of the superneutrality of money, based on Sidrauski’s (1967) framework. The second part presents the money demand estimations on the monetary aggregate M2 for the period from 2002 to 2012, using the cointegration approach. Following Cziráky and Gillman (2006), we examine the validity of the Fisher equation in the case of Macedonia. The Fisher equation does not hold in the case of Macedonia, so the inflation rate must be included in the money demand specification. The estimated cointegration equation is in line with economic theory. The cointegration equation shows income elasticity less than unity (0,81), small and negative interest rate semi-elasticity (-0.17) and negative elasticity with respect to inflation. The short-run dynamics reveal that only 2,70% of the disequilibrium is corrected in a single quarter. The properties of stability imply that the M2 aggregate may serve as a proper policy indicator.

2

On upper gain bound for trading strategy based on cointegration

100%

Łochowski R.

Metody Ilościowe w Badaniach Ekonomicznych

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2010

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tom 11

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nr 1

110-117

EN

A long-run trading strategy based on cointegration relationship between prices of two commodities is considered. A linear combination of the prices is assumed to be a stationary AR(1) process. In some range of parameters, AR(1) process is obtained by discrete sampling of Ornstein-Uhlenbeck process. This allows to calculate approximate number of transactions in long run trade horizon and obtain approximate upper bound for possible gain.

3

Causality analysis between stock market indices

100%

Sekuła P.

Nauki o Finansach

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2019

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nr vol. 24 no. 1

74-93

EN

The paper examines relationships between selected stock market indices in Western Europe, Central Europe, and the United States. The study focuses on two periods, from January 1998 to August 2006 and from September 2006 to December 2016. The first one includes stock quotes from before the financial crisis while the second one covers the crisis and changes in the economic situation in post-crisis years. Relationships between stock market indices in developed economies were more frequent and durable than in Central Europe, although they were subject to changes. In our investigation into Granger causality relationships we observed changes in these relationships and in their direction for stock markets in Central Europe, while bidirectional relationships between indices in developed economies remained stable over time. Changes in relationships between indices, in particular long- -term interdependences, may result from the impact of the 2008 financial crisis. The increased number of causality relationships for the markets in Central Europe may testify to the advancing integration of the EU common market.

4

Estimation of import and export demand functions using bilateral trade data: The case of Pakistan

100%

Haider J. , Afzal M. , Riaz F.

Business and Economic Horizons

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2011

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tom 6

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nr 3

40-53

EN

We estimated the import and export elasticities of Pakistan trade with traditional trade partners and some Asian countries to see the dynamics of Pakistan trade from 1973 to 2008. OLS results suggest that income is the principal determinant of exports and imports. Pakistan exports are cointegrated with Japan and USA while the imports are cointegrated with UAE and USA. Pakistan imports and exports are cointegrated with Bangladesh and Sri Lanka but not with India and China. Income and exchange rate are both important determinants of foreign trade. Continuing its trade with traditional partners and making efforts for greater market access to USA and EU, Pakistan should make efforts to increase its trade with Asian countries notably China and India because both are fast growing economies and have huge market

5

Some Aspects of Application of VECM Analysis for Modeling Causal Relationships Between Spot and Futures Prices

100%

Marcinkiewicz E.

Optimum. Studia Ekonomiczne

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2014

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tom 5(71)

EN

The article is devoted to the issue of the application of econometric concept of cointegration and error correction models (VECM) to study the relationship between futures prices and spot prices. The author attempted to identify the determinants of the use of this methodology with respect to the relationship of spot and futures prices. In case of the prices of futures contracts and their underlying instruments causal modeling is associated with the need to deal with the multiple problems resulting from the specific nature of this dependency. These problems affect both the proper preparation of the data, as well as adaptation of the methods to the nature of the investigated phenomena. The article also points out the possible interpretation of the results of the VECM analysis in the context of the theory related to spot and futures prices linkages.

6

Uwagi o działaniu prawa jednej ceny na Londyńskiej Giełdzie Metali

100%

Chylińska M.

Econometrics. Ekonometria. Advances in Applied Data Analytics

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2013

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nr 4(42)

130-139

EN

This paper reports the results of testing for validity of the law of one price with respect to copper at the London Metal Exchange. In doing so a cost-of-carry model is estimated and validated on monthly sampled data exhibiting its spot and 3, 15 and 27-month futures prices from the period January 1998−December 2011. The main findings include that the spot and futures prices exhibit common stochastic trends and their log spreads have cointegraiting properties. Since the structure of the latter is autoregressive they reflect time-varying liquidity (risk) premium.

7

Cointegration Analysis in the Case of I(2) - General Overview

100%

Majsterek M.

Central European Journal of Economic Modelling and Econometrics

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2012

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nr 4

8

Bayesian Analysis of Weak Form Reduced Rank Structure in VEC Models

100%

Wróblewska J.

Central European Journal of Economic Modelling and Econometrics

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2011

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nr 3

9

LONG-TERM RELATIONSHIP BETWEEN ECONOMIC CYCLE AND CRIME IN POLAND

100%

Zubrzycki B.

Kultura Bezpieczeństwa. Nauka – Praktyka – Refleksje

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2014

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tom 16(16)

511-520

EN

Over the years 1996-2012 clear co-variation between criminality and economic indicators in Poland, e.g. unemployment rate, was visible. The paper describes criminals’ incentives for criminal activities during economic recessions and recoveries. Using the concept of cointegration, econometric analysis of relation between the general crime rate, unemployment rate and Gross Domestic Product growth rate was conducted. The long run relationship combining these three variables was found. During the periods of sluggish economy, when unemployment rate increased and GDP growth decreased, Polish crime rate was higher.

10

O współzależności giełd na przykładzie giełdy polskiej i niemieckiej

100%

Czupryna M.

Annales Universitatis Mariae Curie-Skłodowska, sectio H – Oeconomia

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2013

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tom 47

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nr 3

EN

The paper verifies the hypothesis of the existence of relationships between Polish and German stock markets and the impact of the convergence process. The relationship between the stock exchanges was represented by co-integration indices DAX and WIG20 or WIG. No co-integration between DAX and WIG or WIG20 is observed unless additionally the correction of the trend of the WIG20 index is taken into account. However the co-integration between indices WIG20TR and the DAX is observed. Both indices constructed in a similar way and representing largest companies of both stock markets. These results suggest the hypothesis of the existence of correlation between the two exchanges. A significant change in the structure of co-integration in the period July 2009 – December 2012, compared with the previous period and 2006 to June 2009 is observed.

PL

Artykuł nie zawiera abstraktu w języku polskim

11

Monetary policy and nominal convergence in CEE countries with inflation targeting

88%

Goczek Ł. , Mycielska D.

Ekonomia. Rynek, Gospodarka, Społeczeństwo

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2014

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nr 38

31-44

EN

The article discusses the monetary policy in small open economies with inflation targeting and their nominal convergence to the larger monetary area. Using panel data set, the paper considers the relationship between interest rates of interbank markets in the euro area and selected Central European countries – non-euro members of the European Union that follow inflation targeting strategy. We test for panel cointegration and use two estimators: Augmented Mean Group and Random Coefficients. The empirical results show that in the long run the interest rates of non-euro EU countries follow the Eurozone interest rates. What is more important, the AMG model’s common dynamic insignificance suggests that other factors are not relevant to the nature of interest rates transmission.

12

Structural Change in the Deterministic and Stochastic Part of VECM. I(1) and I(2) Case

88%

Majsterek M. , Gosińska E.

Central European Journal of Economic Modelling and Econometrics

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2020

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nr 4

13

Modelling Fuel Prices. An I(1) Analysis

88%

Leszkiewicz-Kędzior K.

Central European Journal of Economic Modelling and Econometrics

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2011

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nr 2

14

Bayesian Analysis of Weak Form Polynomial Reduced Rank Structures in VEC Models

88%

Wróblewska J.

Central European Journal of Economic Modelling and Econometrics

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2012

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nr 4

15

The Exchange Rate and Two Price Inflations in Poland in the Period 1999-2009. Do Globalization and Balassa-Samuelson Effect Matter?

88%

Kelm R.

Central European Journal of Economic Modelling and Econometrics

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2010

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nr 4

16

One-Period Joint Forecasts of Polish Inflation, Unemployment and Interest Rate Using Bayesian VEC-MSF Models

88%

Pajor A.

Central European Journal of Economic Modelling and Econometrics

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2019

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nr 1

17

Long memory features and relationship stability of Asia-Pacific currencies against USD

88%

Sankarkumar A. V. , Selvam M. , Maniam B. , Sigo M. O.

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2017

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tom Volume 13

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nr Issue 1

97-109

XX

This research study examines the behavior of currency rate, long memory features, and long-term stability in the returns of thirteen Asia-Pacific currencies (AUD, CNY, HKD, INR, IDR, JPY, KRW, MYR, NZD, PHP, SGD, TWD, and THB) against USD over a period of fourteen years (from 2nd January 2001 to 10th December 2014). The study uses descriptive statistics, ADF and PP test, Hurst exponent co-integration model, and figures to investigate the normality, stationarity, long memory features, and long-term relationship stability of sample currencies against USD. This study determined the values of the Hurst Exponent for the first window with 1,000 observations and the second window with 2,500 observations. This study provides significant evidence for the presence of long memory features and relationship stability. The findings of this study would help investors, exchange rate trade policy makers, exporters, and importers to make decisions on the investment, export, and import of goods and services.

18

Fiscal Sustainability in CEE Countries – the Case of the Czech Republic, Hungary and Poland

88%

Mackiewicz-Łyziak J.

Equilibrium. Quarterly Journal of Economics and Economic Policy

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2015

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tom 10

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nr 2

53-71

EN

The aim of the study is to assess fiscal sustainability in the Czech Republic, Hungary and Poland and to test for existence of fiscal dominance in these countries in the context of the fiscal theory of the price level. The empirical study is conducted using unit root tests and cointegration analysis with possible structural breaks. The approach is consistent with so called backward-looking approach for fiscal dominance testing proposed by Bohn (1998). The results suggest that in the Czech Republic and Poland fiscal dominance prevailed in the analyzed period, while in Hungary – monetary dominance. The result for Hungary may be caused, however, by a one-time reduction in debt resulting from changes in pension system.

19

STRUCTURAL BREAKS IN FARM AND RETAIL PRICES OF BEEF MEAT IN POLAND

88%

Hamulczuk M.

Metody Ilościowe w Badaniach Ekonomicznych

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2013

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tom 14

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nr 1

160-169

EN

The aim of this study was to analyze the dynamics of monthly prices in the beef marketing chain in Poland in the years 1997-2012. The study showed that in the time series of farm and retail prices of beef meat in Poland structural break points occurred. They are mainly associated with appearance of BSE disease and the Polish accession to the European Union. The farm and retail price series are non-stationary and farm prices Granger-cause retail prices. The estimates of the long-run parameters depend on the assumptions about deterministic variables existence in the Engel-Granger cointegration equation, including structural breaks among them.

20

Wpływ szoków naftowych na asymetrię cyklu koniunkturalnego - analiza przełącznikowych modeli Markowa dla państw Unii Europejskiej

88%

Geise A.

Zeszyty Naukowe PWSZ w Płocku. Nauki Ekonomiczne

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2015

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tom 2(22)

411-420

EN

In the study the Markov-switching models with oil prices to analysis of business cycle asymmetries were considered. We find evidence that business cycles in 1995-2014 were asymmetric in France, Denmark, Poland, Czech Republic and European Union.