Przeglądaj Applied Econometrics Papers według tytułu
Wyświetlanie pozycji 1-20 z 45
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Application of fundamental multiples in capital asset pricing. An empirical verification on the Polish market (1998-2004)
(2006-05-22)The aim of the paper is the empirical verification of fundamental multiples as capital asset pricing tools for the companies listed on Warsaw Stock Exchange. Three multiples are examined: earnings to price, operating cash ... -
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 ... -
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 ... -
Bayesian analysis of growth using stochastic frontier model
(2008-01-01)We employ Bayesian approach to the analysis of economic growth in Poland. The results of estimation of a stochastic frontier model applied to production function of Polish voivodships in 2000 - 2004 are presented. Stochastic ... -
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. ... -
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 ... -
Corporate governance and financial performance of companies in Poland
(2005-05-22)The research presented in the paper is aimed at examining the relationship between the level of corporate governance and the financial performance of listed companies in Poland. The corporate governance degree is expressed ... -
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 ... -
Decomposition of the realized rate of return on investment in fixed-income securities
(2007-05-22)Paper presents decomposition of the realized rate of return on investment in fixed-income securities in order to identify the income/risk sources. The decomposition is accomplished applying the concept of factorization and ... -
Determinants of Involuntary Job Termination in the Polish Labor Market
(2011-04-11)To date there does not exist one a generally acceptable measure or index of Specialization in International Trade. The intention of this article is to evaluate the exogenous dismissal probability for a certain worker ... -
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 ... -
End of sample vs. real time data: perspectives for analysis of expectations
(2013-01-13)Data revision is defined as an adjustment published after the initial announcement had been made; it may reflect rectification of errors, availability of new information, etc. When economists use a database, they may not ... -
Estimating liquidity using information on the multivariate trading process
(2006-05-22)In this paper we model the dynamic multivariate density of discrete bid and ask quote changes and their associated depths. We account for the contempo- raneous relationship between these trading marks by exploiting the ... -
Estimating pure inflation in the Polish economy
(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 the central ... -
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 ... -
Factors influencing tenure choice in European countries
(2009-05-01)Homeownership rates are very different across European countries. They range from below 50% in Germany to over 80% in Greece, Spain or Ireland. However the differences lie not only in the overall homeownership rates but ... -
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 ... -
Financial distress of companies in Poland
(2004)The study examines main determinants of financial distress of companies in Poland during the recent transformation period. The data compose a sample of 1995-97 annual financial statements of 200 unlisted companies in Poland. ... -
Forecasting inflation with dynamic factor model – the case of Poland
(2008-02-24)The purpose of the article is to evaluate the forecasting performance of dynamic factor models in forecasting inflation in the Polish economy. The factor models are based on the assumption that the behavior of most ... -
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 ...
