Wyniki wyszukiwania - Biblioteka Nauki

1

Reaction of the interest rates in Poland to the interest rates changes in the USA and euro zone

100%

Przekota G. , Waściński T. , Sobczak L.

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nr 1

125-134

EN

Behavior of interest rates is of key importance for understanding the functioning of an open economy. The simplest models usually assume equal interest rates in individual countries, while the international arbitrage serves as a mechanism of their equalization. In our study an attempt has been made to determine whether and to what extend the interest rates in the Polish market are linked to the USA and the euro zone exchange rates. The analyses have been carried out for rates of different maturity terms, using the integration and co-integration concept.The analyses indicate that differences between the Polish interest rates, and those in the USA and the euro zone have strongly diminished. Cointegration analyses show the existence of a long-term linkages between the domestic and foreign interest rates, in particular with those in the euro zone. The nature of co-integrating relationships was different in the period 2001-2004 as compared with that after 2004, when we see a stronger impact of the euro zone rates than those of the USA. It may be assumed that the Polish accession to the EU had certain influence in the change of the above mentioned relationships.

2

Interdependence of sentiment indicators − a case of the Polish OTC market

100%

Jaworski P. , Mielus P.

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nr 2(31)

31-43

EN

Prices observed on emerging markets are affected by market sentiment changes. The article presents an interdependence analysis of a chosen set of sentiment indicators observed on the Polish OTC market. The set contains both interest rate market (basis swap, asset swap, convergence swap, overnight index swap), foreign exchange market (ATM volatility, risk reversal) and equity market (WIG20). The analysis is focused on cointegration and Granger causality approach in order to present forecasting power of elaborated models. Evidence from the market reveals economic link between the time series that comes from the strong influence of the cross-border trading between non-residents and local market makers. High responsiveness of daily prices of OTC instruments to the changes of the market sentiment and a level of the risk aversion can be proven. Moreover, error correction model using foreign exchange options has practical forecasting power generating adequate trading decisions taken by market makers

3

Model monetarny kursu równowagi złoty/euro: analiza kointegracyjna

100%

Wdowiński P.

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nr 3

67-86

EN

The author carries out a cointegration analysis for the nominal exchange rate of the zloty against the euro according to a monetary theory developed by U.S. economist Jeffrey A. Frankel (1979). Wdowiński estimates a cointegration vector for the period 1999M7-2008M9. Long-term estimates show that the euro exchange rate depends on changes in industrial production and on short- and long-term interest rates, the author says. The influence of M1 money supply proves to be statistically insignificant. The departure of the euro rate from a state of monetary equilibrium was corrected slowly, the author says, because the half-life of the divergence was almost two years. The solution of the model showed that the euro exchange rate diverged significantly from a state of equilibrium determined by fundamental factors in the 1999M7-2004M1 period, while showing smaller deviations in the 2004M2-2008M9 period. Overall, the author observed periods when the zloty was both overvalued and undervalued against the euro due to a long-term equilibrium rate. The deviations stabilized noticeably from May 2003. In the 2003M5-2006M3 period, the zloty was overvalued by 9.6% on average, while in the 2006M4-2008M9 period it was undervalued by 9.3%. In the short term, the zloty tended to appreciate as a result of increases in short-term interest rates. According to the author, fundamental economic factors in Poland and the euro area point to the existence of a trend whereby the zloty is gaining ground against the euro, while short-term changes in this rate may be significant due to a growing macroeconomic risk.

4

Behavioural and Permanent Zloty/Euro Equilibrium Rate

88%

Bęza-Bojanowska J.

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nr 1

5

Feedback to the ECB’s Monetary Analysis: The Bank of Russia’s Experience with Some Key Tools

88%

Ponomarenko A. , Vasilieva E. , Schobert F.

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nr 2(2)

116-150

EN

The paper investigates to what extent some basic tools of the ECBs monetary analysis can be useful for other central banks given their specific institutional, economic and financial environment. We take the case of the Bank of Russia in order to show how to adjust methods and techniques of monetary analysis for an economy that differs from the euro area as regards, for instance, the role of the exchange rate, the impact of dollarization and the functioning of sovereign wealth funds. A special focus of the analysis is the estimation of money demand functions for different monetary aggregates. The results suggest that there are stable relationships with respect to income and wealth and to a lesser extent to uncertainty variables and opportunity costs. Furthermore, the analysis also delivers preliminary results of the information content of money for inflation and for real economic development.

6

Components of the polish LPI in relation to macroeconomic variables. Cointegration analysis

75%

Karp P.

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tom z. 191

265--276

EN

Purpose: The aim of the article is to analyze Poland’s logistics potential measured by the means of the LPI (Logistics Performance Index). The impact of trade volume, infrastructure development and service quality on individual LPI components was assessed. Estimating the relationship between the components of the Polish LPI index and macroeconomic variables enables the assessment of the strength of the relationship and sensitivity to the economic situation. It allows to draw conclusions about possible areas that are more sensitive or require repair. It also enables to indicate how the economy influences the TSL sector (Transport–Shipping–Logistics). Design/methodology/approach: The analysis was carried out using the rules and methods of time series cointegration, which enable the analysis of long- and short-term relationships. This enabled the identification of areas most sensitive to the influence of particular factors. To obtain consistent time series, interpolation methods were also used. Findings: The development of infrastructure and an increase in the level of services has a positive impact on all aspects measured by LPI components. In turn, the increase in trade exchange, as an increase in demand for the TSL sector, affects four of the six components. In two cases, border services and on-time delivery, the relationship is negative. This highlights the main points limiting the growth of LPI ratings and indirectly limiting trade and economic development of Poland. Research limitations/implications: Limited data availability influenced the choice of method used in the study. Moreover, short time series and data interpolation used in the study may result in the inaccuracy of estimations. Practical implications: Econometric analysis indicates weaknesses in the Polish logistics sector. Improvements in customs regulations and expansion of infrastructure may improve the functioning of the TSL sector. It should be of particular interest to policy makers, for which economic growth and the LPI rating should be very important. Originality/value: This is the first paper that uses econometric tools to compare the components of LPI with macro variables.

7

Agri-food exports and agricultural output in selected EU member states

63%

Strojny J.

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nr 1

173-186

EN

This sectoral study of the largest food exporters in the EU focuses on the impact of foreign trade in products made from agricultural commodities on the prospects of agricultural output development. In particular, the study analyses the interdependencies between the output and exports of selected goods. The methodology of vector autoregression was applied to describe the analysed relationships. The results of analyses support the hypothesis about the stimulating role of exports for output and, in the case of certain countries, identify the opposite direction of the causal relationship. The impact of exports on agricultural output is of a short-term nature. Exports appear to be more exogenous than output. The degree of exogeneity of agri-food exports is lowest in the Netherlands.

PL

Badanie prowadzone w ujęciu sektorowym dla największych eksporterów żywności w UE koncentruje się na wpływie handlu zagranicznego produktami wytwarzanymi na bazie surowców rolnych na możliwości rozwoju produkcji rolniczej. Szczególnym przedmiotem zainteresowania są współzależności między produkcją a eksportem wskazanych towarów. Do opisu badanych związków zastosowano metodykę wektorowej autoregresji. Wyniki analiz wspierają hipotezę o stymulacyjnej roli eksportu w stosunku do produkcji, a w przypadku niektórych krajów identyfikują odwrotny kierunek relacji przyczynowej. Wpływ eksportu na produkcję rolniczą ma charakter krótkookresowy. Eksport jest czynnikiem bardziej egzogenicznym niż produkcja. Stopień egzogeniczności eksportu rolno-żywnościowego jest najniższy w Holandii.

8

RELACJA MIĘDZY EKSPORTEM ROLNYM I EKSPORTEM OGÓŁEM KRAJÓW UE

63%

Strojny J.

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nr 4

159-168

PL

Opracowanie ma na celu badanie relacji między eksportem produktów rolno-żywnościowych oraz eksportem ogółem krajów UE. Podjęto próbę zweryfikowania hipotezy o współzależności między tymi procesami. Do oceny stopnia współzależności między zmiennymi wykorzystano metody analizy szeregów czasowych.

EN

The paper attempts to investigate the relationship between the agro-food exports and total exports of EU countries. An effort was done to test the hypothesis of interdependence between these processes. In the sake of accessing the degree of the mutual interdependency between this variables the methods of time series analysis were employed.

9

Analiza kointegracyjna polskiego rynku pracy

63%

Miczka M.

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tom T. 65, nr 2

33--38

PL

Celem artykułu jest pokazanie metody służącej do formalnego opisu polskiego rynku pracy oraz analizy wpływu wstrząsów makroekonomicznych na zachowanie zmiennych opisujących taki system. Analiza taka może być podstawą do przeprowadzenia podobnych badań w skali regionalnej. Przewidywanie rozwoju rynku pracy jest istotne dla przedsiębiorstw przemysłowych, ponieważ zmiany tam zachodzące mają istotny wpływ na koszty prowadzonej działalności (głównie poprzez poziom płac). Analiza dynamiki polskiego rynku pracy, opisanego przez system równań pokazuje, że przyczyną zmian na nim zachodzących są przede wszystkim, zmiany tempa wzrostu gospodarczego, czyli wstrząsy technologiczne oraz zmiany w poziomie bezrobocia, które wpływają na występowanie wstrząsów płacowych. Obserwowany jest systematyczny wzrost wydajności pracy i poziomu wynagrodzeń, przy czym najwyższymi wynagrodzeniami i najwyższą wydajnością pracy charakteryzują się: – informacja i telekomunikacja, – działalność fi nansowa i ubezpieczeniowa, – działalność profesjonalna, naukowa i techniczna. Są to zatem, obszary gospodarki w kierunku których będzie przemieszczać się kapitał w najbliższych latach.

EN

The purpose of this article was to present the method used for formal description of Polish labour market and analysis of the effect of macroeconomic shocks on behaviour of variables describing this system. Such an analysis may be the basis for similar research at a regional level. The prediction about development of the labour market is essential for industrial enterprises, as changes that occur in them have significant impact on the costs of their activity (mainly through the wage level). The dynamics analysis of Polish labour market, described by system of equations, shows that the reason for changes that occur in it is first of all the changes in economic growth dynamics, i.e. technological shocks and changes in unemployment level, which affect the existence of wage shocks. The systematic growth in productivity and remuneration level is observed, and the following are characterised by the highest remunerations and highest productivity: – information and telecommunication, – financial and insurance activities, – professional, scientifi c and technical activity. Thus, these are the fields of economy towards which the capital will be moving in the years to come.

10

Wpływ eksportu rolno-żywnościowego na produkcję rolną krajów UE

63%

Jacek S.

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nr 2(40)

433-442

EN

The aim of the study is to investigate the dynamic relationship between agro-food exports and production of agricultural sectors of EU countries in the period of 1994-2011. In the sake of accessing the degree of the interdependency between researched factors the time series techniques were employed. The first stage of the analysis was the assessment of the modeling process formal condition – the examination of variables stationarity. Because the stationarity hypothesis was rejected, the variables were differentiated to achieve stationarity. Subsequently, considered relationship was quantified by the mean of dynamic panel model. The model parameters suggest considerable impact of agro-food exports as immediate factor stimulating agricultural production among EU countries.

PL

Celem opracowania jest analiza dynamicznej współzależności między eksportem produktów rolno-żywnościowych a produkcją sektorów rolnych krajów UE w latach 1994-2011. Do oszacowania charakteru współzależności między rozważanymi czynnikami wykorzystano techniki analizy szeregów czasowych. Pierwszym etapem badania była ocena formalnego warunku procesu modelowania – badanie stacjonarności zmiennych. Ponieważ hipoteza o stacjonarności została odrzucona, zmienne poddano różnicowaniu celem doprowadzenia do stacjonarności. Następnie z wykorzystaniem dynamicznego modelu panelowego dokonano kwantyfikacji zależności będącej przedmiotem zainteresowania. Parametry otrzymanego modelu sugerują występowanie wśród krajów UE znaczącego natychmiastowego efektu stymulacji produkcji rolnej przez eksport towarów rolno-żywnościowych.