The aim of the paper is to discuss the course of development of methodology of economic convergence analyses, which points up the necessity of taking into consideration spatial connections among regions in regional growth models. It presents empirical models of β-convergence concerning the economic growth of European regions using various methodological conceptions. In the paper the models offered by spatial econometrics are recommended. The empirical data refer to per capita GDP across the European Union regions at a NUTS-2 level over the period 1995–2009 (annual data).
{"title":"Analysis of β-Convergence. From Traditional Cross-Section Model to Dynamic Panel Model","authors":"Joanna Górna, K. Górna, E. Szulc","doi":"10.12775/DEM.2013.007","DOIUrl":"https://doi.org/10.12775/DEM.2013.007","url":null,"abstract":"The aim of the paper is to discuss the course of development of methodology of economic convergence analyses, which points up the necessity of taking into consideration spatial connections among regions in regional growth models. It presents empirical models of β-convergence concerning the economic growth of European regions using various methodological conceptions. In the paper the models offered by spatial econometrics are recommended. The empirical data refer to per capita GDP across the European Union regions at a NUTS-2 level over the period 1995–2009 (annual data).","PeriodicalId":31914,"journal":{"name":"Dynamic Econometric Models","volume":"13 1","pages":"127-144"},"PeriodicalIF":0.0,"publicationDate":"2013-12-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"66548037","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}
We analyze the dynamics and strength of linkages between the Czech, Hungarian and Polish stock markets after the EU accession of the corresponding countries. In addition, we examine linkages between each of the markets and developed markets (European and US). The analysis is based on the daily quotations of the main representative stock indices (PX, BUX, WIG20, DAX, S&P 500) and includes the period from May 5, 2004 to July 20, 2012. The dynamics of dependencies is modeled by means of Markov-switching copula models, and the applied measures of the strength of the linkages are dynamic Spearman’s rho and tail dependence coefficients. The results show that dependencies between the considered emerging markets are very sensitive on market situation, but the linkages of these markets with the developed ones are stable.
{"title":"The Dynamics and Strength of Linkages between the Stock Markets in the Czech Republic, Hungary and Poland after their EU Accession","authors":"Małgorzata Doman, R. Doman","doi":"10.12775/DEM.2013.001","DOIUrl":"https://doi.org/10.12775/DEM.2013.001","url":null,"abstract":"We analyze the dynamics and strength of linkages between the Czech, Hungarian and Polish stock markets after the EU accession of the corresponding countries. In addition, we examine linkages between each of the markets and developed markets (European and US). The analysis is based on the daily quotations of the main representative stock indices (PX, BUX, WIG20, DAX, S&P 500) and includes the period from May 5, 2004 to July 20, 2012. The dynamics of dependencies is modeled by means of Markov-switching copula models, and the applied measures of the strength of the linkages are dynamic Spearman’s rho and tail dependence coefficients. The results show that dependencies between the considered emerging markets are very sensitive on market situation, but the linkages of these markets with the developed ones are stable.","PeriodicalId":31914,"journal":{"name":"Dynamic Econometric Models","volume":"13 1","pages":"5-32"},"PeriodicalIF":0.0,"publicationDate":"2013-12-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"66548010","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 main purpose of the paper is to study the degree to which the Brent crude oil price cycle is correlated and synchronized with business cycle in a set of chosen Central Eastern European (CEE) economies. To indentify the oil price cycle and business cycles for chosen individual countries the Markov-switching autoregressive model (MS-AR) is used. The identification of the smoothed probabilities of being in regime 1 and regime 2 enables the calculation of correlation coefficients between those probabilities and the concordance index to evaluate the synchronization of oil price cycle and business cycles for the CEE economies.
{"title":"Synchronization of Crude Oil Prices Cycle and Business Cycle for the Central Eastern European Economies","authors":"Andrzej Geise, M. Piłatowska","doi":"10.12775/DEM.2013.010","DOIUrl":"https://doi.org/10.12775/DEM.2013.010","url":null,"abstract":"The main purpose of the paper is to study the degree to which the Brent crude oil price cycle is correlated and synchronized with business cycle in a set of chosen Central Eastern European (CEE) economies. To indentify the oil price cycle and business cycles for chosen individual countries the Markov-switching autoregressive model (MS-AR) is used. The identification of the smoothed probabilities of being in regime 1 and regime 2 enables the calculation of correlation coefficients between those probabilities and the concordance index to evaluate the synchronization of oil price cycle and business cycles for the CEE economies.","PeriodicalId":31914,"journal":{"name":"Dynamic Econometric Models","volume":"13 1","pages":"175-194"},"PeriodicalIF":0.0,"publicationDate":"2013-12-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"66548821","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 main goal of the work is to present the empirical verification of the investment attractiveness in a given world financial region. The attractiveness of a region is represented by the share of assets from this region in the optimal portfolio. The multivariate GARCH model has been used to describe international dependencies. Optimal portfolios based on Value at Risk and Expected Shortfall minimization have been compared to the Markowitz portfolio. Indications, which should be taken into account by investors willing to invest in different world regions, have been presented as the result
{"title":"Empirical Verification of World’s Regions Profitability in Dynamic International Investment Strategy","authors":"Anna Czapkiewicz, Artur Machno","doi":"10.12775/DEM.2013.008","DOIUrl":"https://doi.org/10.12775/DEM.2013.008","url":null,"abstract":"The main goal of the work is to present the empirical verification of the investment attractiveness in a given world financial region. The attractiveness of a region is represented by the share of assets from this region in the optimal portfolio. The multivariate GARCH model has been used to describe international dependencies. Optimal portfolios based on Value at Risk and Expected Shortfall minimization have been compared to the Markowitz portfolio. Indications, which should be taken into account by investors willing to invest in different world regions, have been presented as the result","PeriodicalId":31914,"journal":{"name":"Dynamic Econometric Models","volume":"94 9 1","pages":"145-162"},"PeriodicalIF":0.0,"publicationDate":"2013-12-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"66548079","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 identify Granger causality between energy consumption and economic growth in post-communist countries in the period 1993 to 2011. Bootstrap panel Granger causality test was used as a research tool in order to accommodate for countryspecific heterogeneity and to avoid the problem of cross-sectional dependence. The analysis allowed for the verification of the hypothesis regarding the links between economic growth and energy consumption in nine countries. The hypotheses were confirmed: the growth hypothesis in three countries and the feedback hypothesis in one country.
{"title":"Economic Growth and Energy Consumption in Post-Communist Countries: a Bootstrap Panel Granger Causality Analysis","authors":"M. Papież, Sławomir Śmiech","doi":"10.12775/DEM.2013.003","DOIUrl":"https://doi.org/10.12775/DEM.2013.003","url":null,"abstract":"The aim of this paper is to identify Granger causality between energy consumption and economic growth in post-communist countries in the period 1993 to 2011. Bootstrap panel Granger causality test was used as a research tool in order to accommodate for countryspecific heterogeneity and to avoid the problem of cross-sectional dependence. The analysis allowed for the verification of the hypothesis regarding the links between economic growth and energy consumption in nine countries. The hypotheses were confirmed: the growth hypothesis in three countries and the feedback hypothesis in one country.","PeriodicalId":31914,"journal":{"name":"Dynamic Econometric Models","volume":"13 1","pages":"51-68"},"PeriodicalIF":0.0,"publicationDate":"2013-12-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"66548058","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 the article we examine what determines the Polish sovereign Credit Default Swap dynamics. We consider not only measures of changes of the economic situation of the country, but also the impact of the international data. We find that the dynamics of the Polish sCDSs is very vulnerable to the dynamics of exchange rates, stock indices and bond spreads. These variables allow us to explain its behavior without including variables reflecting economic situation of the country. It is shown that the impact of information inflow is also important.
{"title":"Economic Situation of the Country or Risk in the World Financial Market? The Dynamics of Polish Sovereign Credit Default Swap Spreads","authors":"Agata Kliber, Barbara Będowska-Sójka","doi":"10.12775/DEM.2013.005","DOIUrl":"https://doi.org/10.12775/DEM.2013.005","url":null,"abstract":"In the article we examine what determines the Polish sovereign Credit Default Swap dynamics. We consider not only measures of changes of the economic situation of the country, but also the impact of the international data. We find that the dynamics of the Polish sCDSs is very vulnerable to the dynamics of exchange rates, stock indices and bond spreads. These variables allow us to explain its behavior without including variables reflecting economic situation of the country. It is shown that the impact of information inflow is also important.","PeriodicalId":31914,"journal":{"name":"Dynamic Econometric Models","volume":"13 1","pages":"87-106"},"PeriodicalIF":0.0,"publicationDate":"2013-12-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"66548377","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 paper presents a fractal analysis application to the verification of assumptions of Fractal Market Hypothesis and the presence of fractal properties in financial time series. In this research, the box-counting dimension and pointwise Holder exponents are used. Achieved results lead to interesting observations related to nonrandomness of price series and occurrence of relationships binding fractal properties and variability measures with the presence of trends and influence of the economic situation on financial instruments’ prices.
{"title":"Fractal Analysis of Financial Time Series Using Fractal Dimension and Pointwise Hölder Exponents","authors":"Agnieszka Kapecka","doi":"10.12775/DEM.2013.006","DOIUrl":"https://doi.org/10.12775/DEM.2013.006","url":null,"abstract":"This paper presents a fractal analysis application to the verification of assumptions of Fractal Market Hypothesis and the presence of fractal properties in financial time series. In this research, the box-counting dimension and pointwise Holder exponents are used. Achieved results lead to interesting observations related to nonrandomness of price series and occurrence of relationships binding fractal properties and variability measures with the presence of trends and influence of the economic situation on financial instruments’ prices.","PeriodicalId":31914,"journal":{"name":"Dynamic Econometric Models","volume":"13 1","pages":"107-126"},"PeriodicalIF":0.0,"publicationDate":"2013-12-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"66548438","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 the paper, we analyse the exit rates from unemployment, taking into account gender differences. The process of leaving the unemployment state was examined for each sex separately using the parametric hazard models. The objective was to present a decomposition of inequalities between men and women when leaving unemployment. The application of the modified Oaxaca-Blinder decomposition technique allowed us to isolate the factors explaining the observed inequalities. We found, that the gender gap is explained almost exclusively by differences in the effects of men’s and women’s characteristics.
{"title":"Decomposing the Gender Gap in Average Exit Rate from Unemployment","authors":"J. Landmesser","doi":"10.12775/DEM.2013.009","DOIUrl":"https://doi.org/10.12775/DEM.2013.009","url":null,"abstract":"In the paper, we analyse the exit rates from unemployment, taking into account gender differences. The process of leaving the unemployment state was examined for each sex separately using the parametric hazard models. The objective was to present a decomposition of inequalities between men and women when leaving unemployment. The application of the modified Oaxaca-Blinder decomposition technique allowed us to isolate the factors explaining the observed inequalities. We found, that the gender gap is explained almost exclusively by differences in the effects of men’s and women’s characteristics.","PeriodicalId":31914,"journal":{"name":"Dynamic Econometric Models","volume":"13 1","pages":"163-174"},"PeriodicalIF":0.0,"publicationDate":"2013-12-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"66548183","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}
W pracy omowiono problem migracji w perspektywie przestrzennej i czasowej . Celem jest ocena intensywności i kierunku wybranego ekonomicznego wplywu zmiennych na wielkośc migracji miedzyregionalnych w Polsce w latach 2004-2010 . Analize przeprowadzono przy uzyciu modelu panelu grawitacyjnego z efektami stalymi . Sytuacja spoleczno-gospodarcza , a zwlaszcza poziom wynagrodzen określa kierunki migracji w Polsce . Znaczne ruchy wciąz wystepują pomiedzy silniejszych gospodarczo regionami. Wskazują one tendencje do uzyskania dodatniego salda migracji .
{"title":"The Analysis of Interregional Migrations in Poland in the Period 2004–2010 Using Panel Gravity Model","authors":"M. Pietrzak, Natalia Drzewoszewska, Justyna Wilk","doi":"10.12775/DEM.2012.008","DOIUrl":"https://doi.org/10.12775/DEM.2012.008","url":null,"abstract":"W pracy omowiono problem migracji w perspektywie przestrzennej i czasowej . Celem jest ocena intensywności i kierunku wybranego ekonomicznego wplywu zmiennych na wielkośc migracji miedzyregionalnych w Polsce w latach 2004-2010 . Analize przeprowadzono przy uzyciu modelu panelu grawitacyjnego z efektami stalymi . Sytuacja spoleczno-gospodarcza , a zwlaszcza poziom wynagrodzen określa kierunki migracji w Polsce . Znaczne ruchy wciąz wystepują pomiedzy silniejszych gospodarczo regionami. Wskazują one tendencje do uzyskania dodatniego salda migracji .","PeriodicalId":31914,"journal":{"name":"Dynamic Econometric Models","volume":"12 1","pages":"111-122"},"PeriodicalIF":0.0,"publicationDate":"2012-12-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"66548003","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 incomplete markets replication strategies may not exist and pricing of derivatives is not an easy task. This paper presents an application of Bertsimas, Kogan and Lo’s algorithm of determining an optimal-replication strategy. In the Merton model the likelihood function is a product of a mixture of infinite number of components. In the paper this number is assumed to be equal to a fixed value M+1. To determine the optimal strategy, we should estimate unknown parameters. To this end we resort to Bayesian estimation techniques. The presented methodology is exemplified by an empirical research.
{"title":"Bayesian Pricing of the Optimal-Replication Strategy for European Option in the JD(M)J Model †","authors":"M. Kostrzewski","doi":"10.12775/DEM.2012.004","DOIUrl":"https://doi.org/10.12775/DEM.2012.004","url":null,"abstract":"In incomplete markets replication strategies may not exist and pricing of derivatives is not an easy task. This paper presents an application of Bertsimas, Kogan and Lo’s algorithm of determining an optimal-replication strategy. In the Merton model the likelihood function is a product of a mixture of infinite number of components. In the paper this number is assumed to be equal to a fixed value M+1. To determine the optimal strategy, we should estimate unknown parameters. To this end we resort to Bayesian estimation techniques. The presented methodology is exemplified by an empirical research.","PeriodicalId":31914,"journal":{"name":"Dynamic Econometric Models","volume":"12 1","pages":"53-71"},"PeriodicalIF":0.0,"publicationDate":"2012-12-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"66548410","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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