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    Wyświetlanie 1-4 z 4
    Tytuł:
    The Purchasing Power Parity Puzzle and Imperfect Knowledge: The Case of the Polish Zloty
    Autorzy:
    Kelm, Robert
    Powiązania:
    https://bibliotekanauki.pl/articles/2076449.pdf
    Data publikacji:
    2017
    Wydawca:
    Polska Akademia Nauk. Czytelnia Czasopism PAN
    Tematy:
    purchasing power parity
    expectations
    econometric modelling
    cointegration
    transition economies
    Nauki Humanistyczne i Społeczne
    Opis:
    A review of the contemporary mainstream literature on exchange rate modelling clearly indicates that the rational expectations hypothesis (RE) is almost invariably taken as a point of reference in empirical investigations. This paper tests the RE hypothesis for the Polish foreign exchange market within the Roman Frydman and Michael Goldberg model that builds on the hypothesis of imperfect knowledge economics (IKE). The employed modelling strategy consists in the formulation of assumptions about the persistence of nominal rate, prices and interest rates and of the verification of competing scenarios congruent with RE and IKE. As a result of the analysis, the RE hypothesis is rejected in favour of the IKE alternative
    Źródło:
    Central European Journal of Economic Modelling and Econometrics; 2017, 1; 1-27
    2080-0886
    2080-119X
    Pojawia się w:
    Central European Journal of Economic Modelling and Econometrics
    Dostawca treści:
    Biblioteka Nauki
    Artykuł
    Tytuł:
    Optimal Fiscal Policy in an Emerging Economy with Credit Constraints: Theory and Application for Poland
    Autorzy:
    Konopczyński, Michał
    Powiązania:
    https://bibliotekanauki.pl/articles/2076250.pdf
    Data publikacji:
    2018
    Wydawca:
    Polska Akademia Nauk. Czytelnia Czasopism PAN
    Tematy:
    optimal fiscal policy
    imperfect capital mobility
    credit constraints
    production externalities
    Nauki Humanistyczne i Społeczne
    Opis:
    In this paper we develop an open-economy endogenous growth model to examine the influence of fiscal policy on the economy in the long run. We allow for public deficit and 5 types of taxes. One of the novel features is separate treatment of interest rates on public and private debt, both of which are linear functions of appropriate debt-to-GDP ratios. Two extreme situations are analyzed: a model of “decentralized economy”, where economic agents do not take into account any externalities, and a model of “benevolent social planner”. We derive the rules of optimal fiscal policy that induce economic agents to internalize all externalities. Theoretical results are illustrated with an empirical analysis for Poland. The optimal values of several fiscal policy instruments for Poland are calculated.
    Źródło:
    Central European Journal of Economic Modelling and Econometrics; 2018, 3; 169-231
    2080-0886
    2080-119X
    Pojawia się w:
    Central European Journal of Economic Modelling and Econometrics
    Dostawca treści:
    Biblioteka Nauki
    Artykuł
    Tytuł:
    The Bayesian Methods of Jump Detection: The Example of Gas and EUA Contract Prices
    Autorzy:
    Kostrzewski, Maciej
    Powiązania:
    https://bibliotekanauki.pl/articles/2076144.pdf
    Data publikacji:
    2019
    Wydawca:
    Polska Akademia Nauk. Czytelnia Czasopism PAN
    Tematy:
    jump
    jump-diffusion model
    stochastic volatility
    double exponential distribution
    commodity markets
    Nauki Humanistyczne i Społeczne
    Opis:
    In the paper we present and apply a Bayesian jump-diffusion model and stochastic volatility models with jumps. The problem of how to classify an observation as a result of a jump is addressed, under the Bayesian approach, by introducing latent variables. The empirical study is focused on the time series of gas forward contract prices and EUA futures prices. We analyse the frequency of jumps and relate the moments in which jumps occur to calendar effects or political and economic events and decisions. The calendar effects explain many jumps in gas contract prices. The single jump is identified in the EUA futures prices under the SV-type models. The jump is detected on the day the European Parliament voted against the European Commission’s proposal of backloading. The Bayesian results are compared with the outcomes of selected non-Bayesian techniques used for detecting jumps.
    Źródło:
    Central European Journal of Economic Modelling and Econometrics; 2019, 2; 107-131
    2080-0886
    2080-119X
    Pojawia się w:
    Central European Journal of Economic Modelling and Econometrics
    Dostawca treści:
    Biblioteka Nauki
    Artykuł
    Tytuł:
    Foreign Direct and Portfolio Investment in the Contemporary Globalized World: Should They Be Still Treated Separately?
    Autorzy:
    Humanicki, Marcin
    Kelm, Robert
    Olszewski, Krzysztof
    Powiązania:
    https://bibliotekanauki.pl/articles/2076429.pdf
    Data publikacji:
    2017
    Wydawca:
    Polska Akademia Nauk. Czytelnia Czasopism PAN
    Tematy:
    foreign direct investment
    foreign portfolio investment
    emerging market economies
    econometric modeling
    cointegration
    Nauki Humanistyczne i Społeczne
    Opis:
    Foreign direct investment (FDI) and foreign portfolio investment (FPI) have been long considered as independent forms of international capital flows. This paper analyzes the mutual relationship between FDI and FPI and attempts to answer the question whether they complement or substitute for each other from a foreign investor’s point of view. The paper describes the main characteristics of FDI and FPI in terms of their volatility and profitability. We analyze the long-run and short-run relationships between FDI and FPI using vector error correction (VEC) regressions on data for Poland as it is the largest country in Central and Eastern Europe and receives the lion’s share of these two forms of capital in the region. Our investigation suggests that FDI and FPI may be regarded as substitutes. In economically stable periods FDI tends to dominate over FPI but during insecurity and economic distress FPI starts to gain importance
    Źródło:
    Central European Journal of Economic Modelling and Econometrics; 2017, 2; 115-135
    2080-0886
    2080-119X
    Pojawia się w:
    Central European Journal of Economic Modelling and Econometrics
    Dostawca treści:
    Biblioteka Nauki
    Artykuł
      Wyświetlanie 1-4 z 4

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