The paper refers to the process of convergence of interest rates of ten-year government bonds emitted by EU countries. It is an attempt to assess the participation of particular European economies in this process. The primary tools of analysis were panel models with fixed effects, including models that consider the links among economies, which are quantified by using a distance matrix between indicators of fiscal stability comprehended as the share of public debt in GDP. The idea of the so-called vertical convergence was used. The analysis was conducted on the basis of pooled time series and cross-sectional data for the 27 members of the EU in the period between January 2006 and November 2016.
{"title":"The Share of European Economies in the Process of Convergence of Long-term Interest Rates in the EU in the Period of 2006–2016","authors":"E. Szulc, K. Górna, Dagna Wleklińska","doi":"10.12775/11858","DOIUrl":"https://doi.org/10.12775/11858","url":null,"abstract":"The paper refers to the process of convergence of interest rates of ten-year government bonds emitted by EU countries. It is an attempt to assess the participation of particular European economies in this process. The primary tools of analysis were panel models with fixed effects, including models that consider the links among economies, which are quantified by using a distance matrix between indicators of fiscal stability comprehended as the share of public debt in GDP. The idea of the so-called vertical convergence was used. The analysis was conducted on the basis of pooled time series and cross-sectional data for the 27 members of the EU in the period between January 2006 and November 2016.","PeriodicalId":31914,"journal":{"name":"Dynamic Econometric Models","volume":"16 1","pages":"165-187"},"PeriodicalIF":0.0,"publicationDate":"2016-12-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"66535009","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
The purpose of the research is to compare the performance of different volatility measures while used in testing for causality in risk between several emerging and mature capital markets. The following volatility estimators are considered: Parkinson, Garman-Klass, Rogers-Satchell, Garman-Klass-Yang-Zhang and Yang-Zhang and the AR-GARCH(1,1)-t model. Additionally, the extreme value theory is also applied. Several emerging capital markets are checked for being the source of the risk for both emerging and developed markets. The group of emerging markets includes the most intensively growing economies in the world. The final results are such as the number of relationships between the markets is considerably lower when the methods taken from the extreme value theory are used.
{"title":"Volatility Estimators in Econometric Analysis of Risk Transfer on Capital Markets","authors":"M. Fałdziński, M. Osińska","doi":"10.12775/DEM.2016.002","DOIUrl":"https://doi.org/10.12775/DEM.2016.002","url":null,"abstract":"The purpose of the research is to compare the performance of different volatility measures while used in testing for causality in risk between several emerging and mature capital markets. The following volatility estimators are considered: Parkinson, Garman-Klass, Rogers-Satchell, Garman-Klass-Yang-Zhang and Yang-Zhang and the AR-GARCH(1,1)-t model. Additionally, the extreme value theory is also applied. Several emerging capital markets are checked for being the source of the risk for both emerging and developed markets. The group of emerging markets includes the most intensively growing economies in the world. The final results are such as the number of relationships between the markets is considerably lower when the methods taken from the extreme value theory are used.","PeriodicalId":31914,"journal":{"name":"Dynamic Econometric Models","volume":"16 1","pages":"21-35"},"PeriodicalIF":0.0,"publicationDate":"2016-12-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"66549816","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Development cooperation is an important element of international relations because it influences the power balance between major players on the world markets and in the political debate. The aim of the article was to analyze the French development assistance model based upon the amount of help sent to Africa over the period 2001-2012. The motivation of donor country is a crucial factor of development assistance, which influence not only the relations between donors and recipients, but also the effectiveness of aid. We estimated a series of dynamic panel models to assess whether the poverty-related factors play a dominant role in the distribution of help. On the contrary, we found that the most important variables appeared to be the political and economic dependencies, among others: colonial history and oil/gas reserves.
{"title":"The Model of French Development Assistance - Who Gets the Help? **","authors":"K. Andrzejczak, Agata Kliber","doi":"10.12775/DEM.2015.005","DOIUrl":"https://doi.org/10.12775/DEM.2015.005","url":null,"abstract":"Development cooperation is an important element of international relations because it influences the power balance between major players on the world markets and in the political debate. The aim of the article was to analyze the French development assistance model based upon the amount of help sent to Africa over the period 2001-2012. The motivation of donor country is a crucial factor of development assistance, which influence not only the relations between donors and recipients, but also the effectiveness of aid. We estimated a series of dynamic panel models to assess whether the poverty-related factors play a dominant role in the distribution of help. On the contrary, we found that the most important variables appeared to be the political and economic dependencies, among others: colonial history and oil/gas reserves.","PeriodicalId":31914,"journal":{"name":"Dynamic Econometric Models","volume":"15 1","pages":"89-109"},"PeriodicalIF":0.0,"publicationDate":"2016-02-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"66549455","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
The aim of the research is to compare VaR methods/models for commodities. For risk measurement Conditional Autoregressive Value at Risk models (CAViaR), implied quantile model and encompassing method are used. The aim is to check whether simultaneous use of information both from historical time series and regarding markets' expectation can improve accuracy of forecasts. For this purpose four methods of combining forecasts are used: a simple average combining, an unrestricted linear combination, a weighted averaged combining and a weighted averaged combining using exponential weighting. In the case of the commodities neither the encompassing method nor the combining forecast method improve VaR forecasts. The method of choosing the most adequate model leads to simple CAViaR-SAV model as the source of most optimal measure of risk forecasts. The Kupiec test, the Christoffersen and the Dynamic Quantile test indicate the model as an adequate to forecast VaR for gold and oil for short positions at the 0.01 and the 0.05 significance level, and for a long position at the 0.05 significance level.
{"title":"Risk Modeling of Commodities using CAViaR Models, the Encompassing Method and the Combined Forecasts","authors":"Ewa Ratuszny","doi":"10.12775/DEM.2015.006","DOIUrl":"https://doi.org/10.12775/DEM.2015.006","url":null,"abstract":"The aim of the research is to compare VaR methods/models for commodities. For risk measurement Conditional Autoregressive Value at Risk models (CAViaR), implied quantile model and encompassing method are used. The aim is to check whether simultaneous use of information both from historical time series and regarding markets' expectation can improve accuracy of forecasts. For this purpose four methods of combining forecasts are used: a simple average combining, an unrestricted linear combination, a weighted averaged combining and a weighted averaged combining using exponential weighting. In the case of the commodities neither the encompassing method nor the combining forecast method improve VaR forecasts. The method of choosing the most adequate model leads to simple CAViaR-SAV model as the source of most optimal measure of risk forecasts. The Kupiec test, the Christoffersen and the Dynamic Quantile test indicate the model as an adequate to forecast VaR for gold and oil for short positions at the 0.01 and the 0.05 significance level, and for a long position at the 0.05 significance level.","PeriodicalId":31914,"journal":{"name":"Dynamic Econometric Models","volume":"15 1","pages":"129-156"},"PeriodicalIF":0.0,"publicationDate":"2016-02-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"66549529","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
In this study, we investigated whether the observed series of fuel prices can be compatible with a specific theoretical model of strategic player interaction. Our primary interest is in determining whether a parallel pricing policy, implied by a theoretical model of strategic interactions, can be an industry-observed pricing mechanism. Therefore, we first calculated various descriptive statistics of the price series to discover any common patterns of individual series. Next, we determined whether parallel co-movement of the price levels exist using an ARDL – bound testing approach. This study finds that if we restricted our research to the described pricing mechanism (IPP pricing based on previous day fundamentals), the players will have chosen the levels of price in a parallel mode; this excludes 2007, when LOTOS appeared to be the price leader.
{"title":"Testing Parallel Pricing Behavior in the Polish Wholesale Fuel Market: an ARDL – Bound Testing Approach","authors":"Sylwester Bejger","doi":"10.12775/DEM.2015.007","DOIUrl":"https://doi.org/10.12775/DEM.2015.007","url":null,"abstract":"In this study, we investigated whether the observed series of fuel prices can be compatible with a specific theoretical model of strategic player interaction. Our primary interest is in determining whether a parallel pricing policy, implied by a theoretical model of strategic interactions, can be an industry-observed pricing mechanism. Therefore, we first calculated various descriptive statistics of the price series to discover any common patterns of individual series. Next, we determined whether parallel co-movement of the price levels exist using an ARDL – bound testing approach. This study finds that if we restricted our research to the described pricing mechanism (IPP pricing based on previous day fundamentals), the players will have chosen the levels of price in a parallel mode; this excludes 2007, when LOTOS appeared to be the price leader.","PeriodicalId":31914,"journal":{"name":"Dynamic Econometric Models","volume":"15 1","pages":"111-128"},"PeriodicalIF":0.0,"publicationDate":"2016-02-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"66549596","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
The paper concerns the convergence of selected stock exchanges from the point of view of their development. It presents the methodological approach which points up taking into account spatial and economic connections among stock markets in convergence analyses. In this analysis the need for division of the stock exchanges according to a spatial regimes is pointed up as well. The research includes 42 largest trading floors analyzed in the period of 2004-2012. The empirical data refer to six diagnostic variables acknowledged as the important determinants of the development of stock markets.
{"title":"Spatio-temporal Analysis of Convergence of Development Level of Selected Stock Exchanges in the Period of 2004–2012","authors":"E. Szulc, Dagna Wleklińska","doi":"10.12775/DEM.2015.001","DOIUrl":"https://doi.org/10.12775/DEM.2015.001","url":null,"abstract":"The paper concerns the convergence of selected stock exchanges from the point of view of their development. It presents the methodological approach which points up taking into account spatial and economic connections among stock markets in convergence analyses. In this analysis the need for division of the stock exchanges according to a spatial regimes is pointed up as well. The research includes 42 largest trading floors analyzed in the period of 2004-2012. The empirical data refer to six diagnostic variables acknowledged as the important determinants of the development of stock markets.","PeriodicalId":31914,"journal":{"name":"Dynamic Econometric Models","volume":"15 1","pages":"5-26"},"PeriodicalIF":0.0,"publicationDate":"2015-12-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"66549403","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
The paper investigates gains in performance of density forecasts from models using disaggregate data when forecasting aggregate series. The problem is considered within a restricted VAR framework with alternative sets of exclusion restrictions. Empirical analysis of Polish CPI m-o-m inflation rate (using its 14 sub-categories for disaggregate modelling) is presented. Exclusion restrictions are shown to improve density forecasting performance (as evaluated using log-score and CRPS criteria) relatively to aggregate and also disaggregate unrestricted models.
{"title":"Density forecasts based on disaggregate data: nowcasting Polish inflation","authors":"Błażej Mazur","doi":"10.12775/DEM.2015.004","DOIUrl":"https://doi.org/10.12775/DEM.2015.004","url":null,"abstract":"The paper investigates gains in performance of density forecasts from models using disaggregate data when forecasting aggregate series. The problem is considered within a restricted VAR framework with alternative sets of exclusion restrictions. Empirical analysis of Polish CPI m-o-m inflation rate (using its 14 sub-categories for disaggregate modelling) is presented. Exclusion restrictions are shown to improve density forecasting performance (as evaluated using log-score and CRPS criteria) relatively to aggregate and also disaggregate unrestricted models.","PeriodicalId":31914,"journal":{"name":"Dynamic Econometric Models","volume":"15 1","pages":"71-87"},"PeriodicalIF":0.0,"publicationDate":"2015-12-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"66549889","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
This article presents research results and describes and clarifies differences in a level of the entrepreneurship index observed between Polish voivodeships in the period from 2004 to 2013. The expected results were confirmed with the fixed effect (FE)/random effect (RE) panel data model. The analysis showed that the level of entrepreneurship varies depending on a voivodeship, and that this differentiation is structural and permanent. The applied model also confirmed the expected determinants of entrepreneurship.
{"title":"An Econometrical Analysis of Entrepreneurship Determinants in Polish Voivodeships in the Years 2004–2013","authors":"Tomasz Groszkowski, Tomasz Stryjewski","doi":"10.12775/DEM.2015.008","DOIUrl":"https://doi.org/10.12775/DEM.2015.008","url":null,"abstract":"This article presents research results and describes and clarifies differences in a level of the entrepreneurship index observed between Polish voivodeships in the period from 2004 to 2013. The expected results were confirmed with the fixed effect (FE)/random effect (RE) panel data model. The analysis showed that the level of entrepreneurship varies depending on a voivodeship, and that this differentiation is structural and permanent. The applied model also confirmed the expected determinants of entrepreneurship.","PeriodicalId":31914,"journal":{"name":"Dynamic Econometric Models","volume":"15 1","pages":"157-165"},"PeriodicalIF":0.0,"publicationDate":"2015-12-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"66549668","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
The aim of this paper is to show the usefulness the discrete spectral analysis in identification cyclical fluctuations. The subsampling procedure was applied to construct the asymptotically consistent test for Fourier coefficient and frequency significance. The case of monthly production in industry in European countries (thirty countries) was considered. Using proposed approach the frequencies concerning business fluctuations, seasonal fluctuations and trading-day effects fluctuations were recognized in considered data sets. The comparison with existing procedures was shown.
{"title":"Discrete Spectral Analysis. The Case of Industrial Production in Selected European Countries","authors":"Łukasz Lenart","doi":"10.12775/dem.2015.002","DOIUrl":"https://doi.org/10.12775/dem.2015.002","url":null,"abstract":"The aim of this paper is to show the usefulness the discrete spectral analysis in identification cyclical fluctuations. The subsampling procedure was applied to construct the asymptotically consistent test for Fourier coefficient and frequency significance. The case of monthly production in industry in European countries (thirty countries) was considered. Using proposed approach the frequencies concerning business fluctuations, seasonal fluctuations and trading-day effects fluctuations were recognized in considered data sets. The comparison with existing procedures was shown.","PeriodicalId":31914,"journal":{"name":"Dynamic Econometric Models","volume":"15 1","pages":"27-47"},"PeriodicalIF":0.0,"publicationDate":"2015-12-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"66548956","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
The purpose of this study is to explore the day-of-the-week patterns in liquidity on the Warsaw Stock Exchange (WSE) using daily turnover as a liquidity measure. The existence of an inverted U-shape in the stock turnover across the trading days is examined. The research sample covers 2502 daily observations in the period January 2005 – December 2014. 53 WSE-listed companies divided into three size groups are investigated. In the study the OLS method with the HAC covariance matrix estimation and the GARCH-type models are employed. The results indicate that liquidity on the WSE tends to be significantly lower on Mondays and higher on Wednesdays in comparison with the other days of the week. However, the inverted U-shape in daily turnover occurs only among the companies with the largest market capitalization.
{"title":"Day-of-the-Week Effects in Liquidity on the Warsaw Stock Exchange","authors":"S. Nowak, J. Olbryś","doi":"10.12775/DEM.2015.003","DOIUrl":"https://doi.org/10.12775/DEM.2015.003","url":null,"abstract":"The purpose of this study is to explore the day-of-the-week patterns in liquidity on the Warsaw Stock Exchange (WSE) using daily turnover as a liquidity measure. The existence of an inverted U-shape in the stock turnover across the trading days is examined. The research sample covers 2502 daily observations in the period January 2005 – December 2014. 53 WSE-listed companies divided into three size groups are investigated. In the study the OLS method with the HAC covariance matrix estimation and the GARCH-type models are employed. The results indicate that liquidity on the WSE tends to be significantly lower on Mondays and higher on Wednesdays in comparison with the other days of the week. However, the inverted U-shape in daily turnover occurs only among the companies with the largest market capitalization.","PeriodicalId":31914,"journal":{"name":"Dynamic Econometric Models","volume":"15 1","pages":"49-69"},"PeriodicalIF":0.0,"publicationDate":"2015-12-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"66549189","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
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