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Wyświetlanie 1-15 z 97
Tytuł:
Cointegration since Granger: evolution and development
Autorzy:
Syczewska, Ewa Marta
Powiązania:
https://bibliotekanauki.pl/articles/453293.pdf
Data publikacji:
2011
Wydawca:
Szkoła Główna Gospodarstwa Wiejskiego w Warszawie. Katedra Ekonometrii i Statystyki
Tematy:
cointegration, fractional cointegration, nonstationarity, Engle-Granger metod; Johansen method; seasonal cointegration; nonlinear cointegration
Opis:
This paper is an attempt to give a subjective overview of evolution and development of cointegration concept since the first paper by C.W.J. Granger in 1991, Johansen’s reduced rank method of 1987 and Engle and Granger 1987 paper. Various generalizations are rather diversified and find many applications in macroeconomics and financial econometrics. After 30 years the concept is still quite important in theory and in applied work.
Źródło:
Metody Ilościowe w Badaniach Ekonomicznych; 2011, 12, 1
2082-792X
Pojawia się w:
Metody Ilościowe w Badaniach Ekonomicznych
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
LONG-TERM RELATIONSHIP BETWEEN ECONOMIC CYCLE AND CRIME IN POLAND
Autorzy:
Bartłomiej, Zubrzycki,
Powiązania:
https://bibliotekanauki.pl/articles/890951.pdf
Data publikacji:
2018-08-21
Wydawca:
Wyższa Szkoła Bezpieczeństwa Publicznego i Indywidualnego Apeiron w Krakowie
Tematy:
unemployment
criminality
economic cycle
cointegration
Opis:
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.
Źródło:
Kultura Bezpieczeństwa. Nauka – Praktyka – Refleksje; 2014, 16; 511-520
2299-4033
Pojawia się w:
Kultura Bezpieczeństwa. Nauka – Praktyka – Refleksje
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Cointegration Analysis in the Case of I(2) – General Overview
Autorzy:
Majsterek, Michał
Powiązania:
https://bibliotekanauki.pl/articles/483337.pdf
Data publikacji:
2012
Wydawca:
Polska Akademia Nauk. Czytelnia Czasopism PAN
Tematy:
cointegration
I(2) model
VAR
Opis:
The presented paper aims to analyse both statistical and economic aspects of the model with I(2) variables. The statistical foundations of such models are introduced. The enlargement of possible statistical interpretation is discussed. The economic interpretation of both VECM parameters and common stochastic trends representation is considered in the I(2) domain. The returns of I(2) approach in terms of stock-flows, nominal-real analysis and diasggregation into both long-, short and even medium-run analysis are proved. Potential complications under reflecting I(3) variables are presented.
Źródło:
Central European Journal of Economic Modelling and Econometrics; 2012, 4, 4; 215-252
2080-0886
2080-119X
Pojawia się w:
Central European Journal of Economic Modelling and Econometrics
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Interdependence of sentiment indicators − a case of the Polish OTC market
Autorzy:
Jaworski, Piotr
Mielus, Piotr
Powiązania:
https://bibliotekanauki.pl/articles/949757.pdf
Data publikacji:
2017
Wydawca:
Wydawnictwo Uniwersytetu Ekonomicznego we Wrocławiu
Tematy:
emerging markets
market sentiment
cointegration analysis
Opis:
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
Źródło:
Financial Sciences. Nauki o Finansach; 2017, 2(31); 31-43
2080-5993
2449-9811
Pojawia się w:
Financial Sciences. Nauki o Finansach
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Some Aspects of Application of VECM Analysis for Modeling Causal Relationships Between Spot and Futures Prices
Autorzy:
Marcinkiewicz, Edyta
Powiązania:
https://bibliotekanauki.pl/articles/429871.pdf
Data publikacji:
2014
Wydawca:
Uniwersytet w Białymstoku. Wydawnictwo Uniwersytetu w Białymstoku
Tematy:
VECM
cointegration
spot prices
futures prices
Opis:
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.
Źródło:
Optimum. Economic Studies; 2014, 5(71)
1506-7637
Pojawia się w:
Optimum. Economic Studies
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Bayesian Analysis of Weak Form Reduced Rank Structure in VEC Models
Autorzy:
Wróblewska, Justyna
Powiązania:
https://bibliotekanauki.pl/articles/483347.pdf
Data publikacji:
2011
Wydawca:
Polska Akademia Nauk. Czytelnia Czasopism PAN
Tematy:
cointegration
Bayesian analysis
common cyclical features
Opis:
The concept of cointegration that enables the proper statistical analysis of long-run comovements between unit root processes has been of great interest to numerous economic investigators since it was introduced. However, investigation of short-run comovement between economic time series seems equally important, especially for economic decision-makers. The concept of common features and based on it the idea of two additional reduced rank structure forms in a VEC model (the strong and the weak one) may be of some help. The strong form reduced rank structure (SF) takes place when at least one linear combination of the first differences of the variables exists, which is white noise. However, when this assumption seems too strong, the weaker case can be considered. The weak form appears when the linear combination of first differences adjusted for long-run efects exists, which is white noise. The main focus of this paper is a Bayesian analysis of the VEC models involving the weak form of reduced rank restrictions. After the introduction and discussion of the said Bayesian model, the presented methods will be illustrated by an empirical investigation of the price - wage spiral in the Polish economy.
Źródło:
Central European Journal of Economic Modelling and Econometrics; 2011, 3, 3; 169-186
2080-0886
2080-119X
Pojawia się w:
Central European Journal of Economic Modelling and Econometrics
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Maize yield sensitivity to climate variability in South Africa: application of the ardl-ecm approach
Autorzy:
Shoko, Rangarirai Roy
Belete, Abenet
Chaminuka, Petronella
Powiązania:
https://bibliotekanauki.pl/articles/1911913.pdf
Data publikacji:
2019-12-28
Wydawca:
Uniwersytet Przyrodniczy w Poznaniu. Wydawnictwo Uczelniane
Tematy:
maize
climate variability
ARDL model
cointegration
Opis:
Climate affects crop production decisions and outcomes in agriculture. From very short-term decisions about which crops to grow, when to plant or harvest a field, to longer-term decisions about farm investments, climate can positively or negatively affect agricultural systems. Although the general effects of climate change on agriculture are broadly understood, there are limited studies that model the relationship between specific crops and climate variables. The study uses the Autoregressive Distributed Lag (ARDL) model to analyze the sensitivity of maize yield to climate variables, fertilizer use and other non-climate variables. This paper uses annual time-series data of 47 observations spanning from 1970 to 2016. The results reveal that rainfall and temperature are important maize yield drivers in South Africa. However, if excessive, they will produce negative effects. The findings of this analysis are relevant for designing long-term interventions to mitigate the effects of climate change on maize production.
Źródło:
Journal of Agribusiness and Rural Development; 2019, 54, 4; 363-371
1899-5241
Pojawia się w:
Journal of Agribusiness and Rural Development
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Structural Change in the Deterministic and Stochastic Part of VECM. I(1) and I(2) Case
Autorzy:
Majsterek, Michał
Gosińska, Emilia
Powiązania:
https://bibliotekanauki.pl/articles/2075267.pdf
Data publikacji:
2020
Wydawca:
Polska Akademia Nauk. Czytelnia Czasopism PAN
Tematy:
structural change
DGP
cointegration
VAR model
Opis:
The paper analyses the consequences of structural change in the presence of non-stationary stochastic processes I(1) or I(2). The structural change may concern the deterministic structure (in particular, the trend and the constant term) as well as the process generating the stochastic part. The focus of the paper is on the case of a discrete change in a regime for which the moment of switch is known. A change in the deterministic part does not alter the character of the cointegration relationships but its consequences for cotrending and cobreaking are interesting. The consequences of a change in the stochastic part are more complex, because then the stochastic process as well as the deterministic structure of the VECM are modified. The restrictions are analysed for both cases.
Źródło:
Central European Journal of Economic Modelling and Econometrics; 2020, 4; 317-345
2080-0886
2080-119X
Pojawia się w:
Central European Journal of Economic Modelling and Econometrics
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Fiscal Sustainability Hypothesis Test in Central and Eastern Europe: A Panel Data Perspective
Autorzy:
Owusu, Benjamin
Powiązania:
https://bibliotekanauki.pl/articles/1964897.pdf
Data publikacji:
2021-10-27
Wydawca:
Uniwersytet Warszawski. Wydział Nauk Ekonomicznych
Tematy:
Fiscal Sustainability
Cointegration
Government Revenue
Government Expenditure
Opis:
This paper assesses the fiscal sustainability hypothesis for 10 Central and Eastern European countries (CEEC) between 1997 and 2019. The study adopts very recent panel econometric techniques which accounts for issues of structural breaks and cross-sectional dependence in the data generating process to examine the cointegration between government revenue and expenditures. Preliminary results show that revenues and expenditures do not have a long-run relationship and hence a rejection of the sustainability hypothesis. As a next step, we discriminate between structural and cyclical components of revenues and expenditures in order to place emphasis on the structural component. We argue that the structural component of fiscal variables represents the actual long term behaviour of the policymaker. Further results indicate that structural revenues and expenditures have a long-run relationship however with a slope coefficient less than unity which implies sustainability in the weaker sense. At that point, expenditures exceed revenues and if this continues for a long time the government may find it difficult to market its debts in the long run. This result suggests that the fiscal authorities in CEEC must therefore do more by taking long term actions to counteract the rising fiscal deficit problems.
Źródło:
Central European Economic Journal; 2021, 8, 55; 285-312
2543-6821
Pojawia się w:
Central European Economic Journal
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
O współzależności giełd na przykładzie giełdy polskiej i niemieckiej
Autorzy:
Czupryna, Marcin
Powiązania:
https://bibliotekanauki.pl/articles/609860.pdf
Data publikacji:
2013
Wydawca:
Uniwersytet Marii Curie-Skłodowskiej. Wydawnictwo Uniwersytetu Marii Curie-Skłodowskiej
Tematy:
stock markets
cointegration
giełdy papierów wartościowych
kointegracja
Opis:
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.
Artykuł nie zawiera abstraktu w języku polskim
Źródło:
Annales Universitatis Mariae Curie-Skłodowska, sectio H – Oeconomia; 2013, 47, 3
0459-9586
Pojawia się w:
Annales Universitatis Mariae Curie-Skłodowska, sectio H – Oeconomia
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Poland–USA sectoral trade balances: regime shifts and the nonlinear impact of currency fluctuations
Autorzy:
Pruchnicka-Grabias, Izabela
Piekunko-Mantiuk, Iwona
Hegerty, Scott W.
Powiązania:
https://bibliotekanauki.pl/articles/40433428.pdf
Data publikacji:
2024-03-15
Wydawca:
Akademia Leona Koźmińskiego w Warszawie
Tematy:
Trade balances
USA
Polska
Cointegration
Structural breaks
Opis:
Purpose – The Polish economy has undergone major challenges and changes over the past few decades. The country’s trade flows, in particular, have become more firmly tied to the country’s Western neighbors as they have grown in volume. This study examines Poland’s trade balances in ten Standard International Trade Classification (SITC) sectors versus the United States of America, first testing for and isolating structural breaks in each time series. These breaks are then included in a set of the cointegration models to examine their macroeconomic determinants. Design/methodology/approach – Linear and nonlinear and nonlinear autoregressive distributed lag models, both with and without dummies corresponding to structural breaks, are estimated. Findings – One key finding is that incorporating these breaks reduces the significance of the real exchange rate in the model, supporting the hypothesis that this variable already incorporates important information. It also results in weaker evidence for cointegration of all variables in certain sectors. Research limitations/implications – This study looks only at one pair of countries, without any third-country effects. Originality/value – An important country pair’s trade relations is examined; in addition, the real exchange rate is shown to incorporate economic information that results in structural changes in the economy. The paper extends the existing literature by conducting an analysis of Poland’s trade balances with the USA, which have not been studied in such a context so far. A strong point is a broad methodology that lets compare the results the authors obtained with different kinds of models, both linear and nonlinear ones, with and without structural breaks.
Źródło:
Central European Management Journal; 2024, 32, 1; 116-133
2658-0845
2658-2430
Pojawia się w:
Central European Management Journal
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
IMPACT OF OIL PRICES ON THE DOMESTIC CURRENCY IN A SMALL INDUSTRIAL ECONOMY WITHOUT OIL RESOURCES
Autorzy:
Feridun, Mete
Michailidis, Grigoris
Powiązania:
https://bibliotekanauki.pl/articles/450544.pdf
Data publikacji:
2008
Wydawca:
Uniwersytet Gdański. Wydawnictwo Uniwersytetu Gdańskiego
Tematy:
Oil Prices
Exchange Rates
Commodity Prices
Cointegration
Opis:
This study aims at investigating the link between international oil prices and the exchange rate in case of a small open industrial economy without oil resources such as Poland. The results of Granger-causality test show that the null hypotheses of Zloty-US dollar exchange rate does not granger cause rejection of Oil Price is not rejected while there exists reverse causality in 3 and 4 year lags at 5% and 10% levels. Therefore, we conclude that increases in oil prices have had a positive impact on the exchange rates over the period between 1982:12 and 2006:05.
Źródło:
International Journal of Emerging and Transition Economies (IJETE); 2008, 1, 2; 181-189
1308-2701
Pojawia się w:
International Journal of Emerging and Transition Economies (IJETE)
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Causality analysis between stock market indices
Autorzy:
Sekuła, Paweł
Powiązania:
https://bibliotekanauki.pl/articles/947589.pdf
Data publikacji:
2020
Wydawca:
Wydawnictwo Uniwersytetu Ekonomicznego we Wrocławiu
Tematy:
stock market
cointegration
Granger causality
financial crisis
Opis:
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.
Źródło:
Financial Sciences. Nauki o Finansach; 2019, 24, 1; 74-93
2080-5993
2449-9811
Pojawia się w:
Financial Sciences. Nauki o Finansach
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Behavior of the Central Europe exchange rates to the Euro and US dollar
Autorzy:
Waściński, Tadeusz
Przekota, Grzegorz
Sobczak, Lidia
Powiązania:
https://bibliotekanauki.pl/articles/453065.pdf
Data publikacji:
2011
Wydawca:
Szkoła Główna Gospodarstwa Wiejskiego w Warszawie. Katedra Ekonometrii i Statystyki
Tematy:
exchange rate
Central European
cointegration analysis
euro zone
Opis:
Our objective has been to measure an impact of the two main global currencies - Euro and USD on shaping of exchange rates in countries of Central Europe. We have also endeavored to measure whether and to what extent a different approach to the Euro introduction as well as differentiated macroeconomic situation of these countries influenced the behavior of their exchange rates. The hitherto analyses indicate that the PLN rate of exchange was until 2004 strongly tied to the USD, but since 2004 links with the EUR exchange rate have become stronger. However the exchange rates of other countries in the region had been tied to the EUR earlier than the PLN exchange rate as they already had strong such links in the whole period of our analysis. Currency integration of the Central European countries is very strong although they are formally outside the euro zone and formation of their exchange rates should be perceived through trends of the EUR exchange rate versus other currencies, the USD.
Źródło:
Metody Ilościowe w Badaniach Ekonomicznych; 2011, 12, 1; 165-176
2082-792X
Pojawia się w:
Metody Ilościowe w Badaniach Ekonomicznych
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Wpływ szoków naftowych na asymetrię cyklu koniunkturalnego - analiza przełącznikowych modeli Markowa dla państw Unii Europejskiej
Influence of oil price shocks on asymmetry of business cycle: the analysis of Markov switching models for European Union countries
Autorzy:
Geise, Andrzej
Powiązania:
https://bibliotekanauki.pl/articles/446717.pdf
Data publikacji:
2015
Wydawca:
Mazowiecka Uczelnia Publiczna w Płocku
Tematy:
business cycle
asymmetry
Markov switching model
cointegration
skewness
Opis:
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.
Źródło:
Zeszyty Naukowe PWSZ w Płocku. Nauki Ekonomiczne; 2015, 2(22); 411-420
1644-888X
Pojawia się w:
Zeszyty Naukowe PWSZ w Płocku. Nauki Ekonomiczne
Dostawca treści:
Biblioteka Nauki
Artykuł
Wyświetlanie 1-15 z 97

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