Applied Econometrics Papers
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Trade sophistication in a transition economy: Poland 1980-2009
(2012)Poland has historically demonstrated exceptional resiliency in the face of change. This paper examines how Poland coped with huge structural realignments from the rise of Solidarity until the present, seeking to provide ... -
A microeconometric analysis of album sales success in the Polish music market
(2011)The aim of this paper is twofold. Firstly, we attempt to investigate the challenges for the constantly changing music industry on the ex- ample of Poland, positing a conclusion that both artists and lables could pro t ... -
Application of measures of entropy, information content and dissimilarity of structures to business tendency survey data
(2010)This paper evaluates similarities between a priori information supplied by the business tendency surveys (that is, expectations), and a posteriori information (that is, realizations). A priori structure is defined by ... -
Lottery valuation using the aspiration / relative utility function
(2009)The paper presents a method for lottery valuation using the relative utility function. This function was presented by Kontek (2009) as “the aspiration function” and resembles the utility curve proposed by Markowitz (1952A). ... -
Banking crises and nonlinear linkages between credit and output
(2008-03)The paper employs a recently developed procedure, based on a bivariate Markov switching model, to analyze the asymmetric causality linkages between credit growth and output growth during banking crises. Using a sample ... -
Can a simple DSGE model outperform Professional Forecasters?
(2007-09)DSGE models have recently become one of the most frequently used tools in policy analysis. Nevertheless, their forecasting proprieties are still unexplored. In this article we address this problem by examining the quality ... -
The experiment in macroeconometrics
(2006-04)This paper examines the experiment in macroeconometrics, the different forms it has taken and the rules that have been proposed for its proper conduct. Here an "experiment" means putting a question to a model and getting ... -
Would it have paid to be in the eurozone?
(2012)Giving up an independent monetary policy and a exible exchange rate are the key sources of costs and bene ts entailed to joining a monetary union. In this paper we analyze their ex post impact on the stability of the ... -
Inflation forecasting using dynamic factor analysis. SAS 4GL programming approach
(2012-08)The purpose of this article is to introduce an original macro code written in SAS 4GL. This macro is used to automate the process of forecasting with dynamic factor analysis. Automation of the process helps to save ... -
Informed and Uninformed Trading in the EUR/PLN Spot Market
(2011-05-30)This paper examines an intraday activity of bank trading of the EUR/PLN currency pair via the Reuters Dealing 3000 Spot Matching System in 2007. On the grounds of the sequential trade model of Easley, Engle, O’Hara & Wu ... -
Financial crisis influence on the BUX index of Hungarian stock exchange. Long memory measures: 1991-2008
(2010-09-23)We analyze daily quotes of the BUX index, main index of the Budapest stock exchange, for period 2nd Jan. 1991–30th Sept. 2008, checking nonstationarity of series, stationarity of returns, applying the ARCH tests to the ... -
Verification of selected market microstructure hypotheses for a Warsaw Stock Exchange traded stock
(2009-06-28)This paper uses a restricted factor model to estimate the HICP index excluding relative prices changes. The index thus obtained, hereinafter referred to as pure inflation, demonstrates stronger relationship to This paper ... -
Nonlinear dynamics of a duopoly game with adjusting, heterogeneous players, facing increasing marginal costs
(2008-03-25)A repeated, discrete time, nonlinear Cournot duopoly game with adjusting heterogeneous players, i.e. bounded rational and adaptive, is subject of investigation. The game is modeled by a system of two nonlinear difference ... -
Corporate governance ratings and the performance of listed companies in Poland
(2007-05-22)Recent ratings of corporate governance for the companies listed on Warsaw Stock Exchange are presented: the Polish Corporate Governance Forum (PFCG) ratings and Polish Institute of Directors (PID) ratings. The association ... -
Fundamentals and stock returns on the Warsaw Stock Exchange. The application of panel data models
(2006-05-22)This study examines the relationship between the future stock returns and the fundamental indices for companies listed on the Warsaw Stock Exchange in Poland. The fundamental exogenous variables were constructed following ... -
New bankruptcy prediction models for Polish companies
(2005-05-22)New logit models for predicting bankruptcy of Polish companies are presented. Major features of these approaches are: (1) selection of appropriate companies to the sample as the key step of the research, (2) well defined ... -
Range-Dependent Utility
(2013-01-13)This paper introduces the concept of range-dependent utility. Instead of reference dependence which evaluates outcomes relative to some reference point, we postulate dependence on a given lottery (set of lotteries) outcomes ... -
Information content of survey data: applications of entropy and dissimilarity measures
(2012-05-15)This paper evaluates information content of survey data by the means of entropy and dissimilarity measures. Similarities between a priori information (expectations) and a posteriori information (realizations) are assessed ... -
Booms and Busts in United States Financial Markets
(2011-05-15)Financial crises, booms and busts are an inherent part of the capitalist system. The current financial crisis that began in 2007 has reignited the debate about the causes and consequences of previous economic downturns. ... -
Empirical power of the Kwiatkowski-Phillips-Schmidt-Shin test
(2010-09-23)The aim of this paper is to study properties of the Kwiatkowski-Phillips-Schmidt-Shin test (KPSS test), introduced in Kwiatkowski et al. (1992) paper. The null of the test corresponds to stationarity of a series, the ...