Browsing KAE Working Papers by Issue Date
Now showing items 21-40 of 104
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Smets and Wouters model estimated with skewed shocks - empirical study of forecasting properties
(2016-12)In this paper we estimate a Smets and Wouters (2007) model with shocks following a closed skew normal distribution (csn) introduced in Gonzalez-Farias et al. (2004), which nests a normal distribution as a special case. In ... -
Equilibrium foreign currency mortgages
(2016-12)This paper proposes a novel explanation for why foreign currency denominated loans to households have become so popular in some emerging economies. Our argument is based on what we call the debt limit channel, which arises ... -
Does foreign sector help forecast domestic variables in DSGE models?
(2016-12)This paper evaluates the forecasting performance of several small open economy DSGE models relative to a closed economy benchmark using a long span of data for Australia, Canada and the United Kingdom. We find that opening ... -
Social Network Structure and The Trade-Off Between Social Utility and Economic Performance
(2017-03)Based on a novel computational multi-agent model, we identify the keymechanisms allowing the social network structure, summarized by four key socialcapital dimensions (network degree, centrality, bridging and bonding social ... -
The role of fractional-reserve banking in amplifying credit booms: evidence from panel data
(2017-03)I use panel data on 20 countries to analyze the links between savings (defined as time deposits and savings accounts) and credit extended by banks. Credit growth is not related to prior changes in savings, at least not in ... -
Mapping the Dimensions of Social Capital
(2017-03)We provide a novel survey dataset of a representative sample of the Polish population (n = 1000), allowing for a detailed quantification of Bourdieu's (1986) definition of social capital as the aggregate of resources ... -
Weighting Sub-Populations in Longevity Inequality Research: A Practical Approach
(2017-08)The weights allowing calculation of life expectancy for a whole population as a weighted average of group-specific life expectancies are proposed. They are characterized by a minimum distance from the actual population ... -
Transmission of monetary policy and exchange rate shocks under foreign currency lending
(2017-08)This paper analyses the differences in reaction of domestic and foreign currency lending to monetary and exchange rate shocks, using a panel VAR model estimated for three biggest Central and Eastern European countries ... -
Reforming housing rental market in a life-cycle model
(2017-09)Housing rental market share in most countries around the world is low. We explore the reasons behind this underdevelopment with a survey conducted among a representative group of 1005 Poles. It turns out that strong tenure ... -
Currency demandand MIMIC models : towards a structured hybrid model-based estimation of the shadow economy size
(2017-09)Model-based econometric techniques of the shadow economy estimation have been increasingly popular, but a systematic approach to getting the best of their complementarities has so far been missing. We review the dominant ... -
On the Optimal Labor Income Share
(2018-02)Labor's share of income has attracted interest in recent years reflecting its apparent decline. These falls, witnessed across many countries, are usually deemed undesirable. Any such assertion, however, begs the question ... -
Unraveling the economic performance of the CEEC countries. The role of exports and global value chains
(2018-02-08)In this study we assess the importance of exports and global value chains (GVC) participation for economic growth. Using novel methods and an extensive dataset, we decompose GDP growth in the Central and Eastern European ... -
Does a bank levy increase frictions on the interbank market?
(2018-03)The crisis has shown that a drop in liquidity, as well as the shortened maturity of interbank transactions, has caused many problems for banks. We analyze how the introduction of a bank levy on bank assets ... -
The Digital Era, Viewed From a Perspective of Millennia of Economic Growth
(2018-04)I propose a synthetic theory of economic growth and technological progress over the entire human history. Based on this theory as well as on the analogies with three previous eras (the hunter-gatherer era, the agricultural ... -
Generation of regional input-output tables: a spatial econometric approach with illustrative simulations for France, Germany and Poland
(2018-05)This paper investigates the construction of multisector-multiregion input-output tables by using spatial econometric methods. I demonstrate that, under reasonable assumptions, the problem of finding Leontief's technical ... -
The non-linear nature of country risk and its implications for DSGE models
(2018-05)Country risk premia can substantially affect macroeconomic dynamics. We concentrate on one of their most important determinants - a country’s net foreign asset position and - in contrast to the existing research - investigate ... -
Social Network Dynamics : Individual-Level Mechanisms and Aggregate Outcomes
(2018-05-10)Based on a calibrated computational multi-agent model with an overlapping generations structure, we investigate society-level consequences of creation and destruction of social ties at the individual level. The steady state ... -
Markovian and multi-curve friendly parametrisation of HJM model used in valuation adjustment of interest rate derivatives
(2018-06)We consider feasible Heath-Jarrow-Morton framework specifications that are easily implementable in XVA engines when pricing linear and non-linear interest rate derivatives in multicurve environment. Our particular focus ... -
On the trade-offs in money market benchmarks' stabilisation
(2018-09)We propose a theoretical stochastic set-up for a panel of contributors to a volume weighted raw money market index, which is the main contribution of this research. 'The hypothetical problems with: changes in the panel's ... -
What happens after an investment spike - investment events and firm performance
(2018-10)Our study aims at investigating the relationship between investment spikes andsubsequent productivity development at the firm level. We propose a novel identification scheme for the effects of an investment spike, using ...
