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Journal Cover Dynamic Econometric Models
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  This is an Open Access Journal Open Access journal
   ISSN (Print) 1234-3862 - ISSN (Online) 2450-7067
   Published by UMK Homepage  [30 journals]
  • Quantile Forecasting in Operational Planning and Inventory Management –
           an Initial Empirical Verification

    • Authors: Joanna Bruzda
      Pages: 5 - 20
      Abstract: In the paper we present our initial results of an empirical verification of different methodologies of quantile forecasting used in operational management to calculate the re-order point or order-up-to level as well as the optimal order quantity according to the newsvendor model. The comparison encompasses 26 procedures including quantile regression, the basic bootstrap method and popular textbook formulas. Our results, obtained on the base of 30 time series concerning such diversified phenomena as supermarket sales, passenger transport and water and gas demand, point to the usefulness of regression medians, regression quantiles, bootstrap methods and the procedures available in the SAP ERP system.
      PubDate: 2016-12-28
      DOI: 10.12775/DEM.2016.001
      Issue No: Vol. 16, No. 1 (2016)
  • Volatility Estimators in Econometric Analysis of Risk Transfer on Capital

    • Authors: Marcin Fałdziński, Magdalena Osińska
      Pages: 21 - 35
      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.
      PubDate: 2016-12-28
      DOI: 10.12775/DEM.2016.002
      Issue No: Vol. 16, No. 1 (2016)
  • Using the First Passage Times in Markov Chain Model to Support Financial
           Decisions on the Stock Exchange

    • Authors: Józef Stawicki
      Pages: 37 - 47
      Abstract: The purpose of this article is to present the possibilities of using such a tool as Markov Chain to analyse the dynamics of returns observed at the Warsaw Stock Exchange. Process analysis is the basis for decision-making with regard to the accepted horizon. Expected times for achieving specified states, understood as intervals of rates of return, in particular those describing negative rates of return, are extremely important. In this context, there is a possibility of determining easily the value at risk with the accepted probability.
      PubDate: 2016-12-28
      DOI: 10.12775/DEM.2016.003
      Issue No: Vol. 16, No. 1 (2016)
  • Determinants of Foreign Direct Investment in Developed and Emerging

    • Authors: Jerzy Różański, Paweł Sekuła
      Pages: 49 - 64
      Abstract: We analyzed FDI determinants for 26 developed economies and 25 emerging markets. The analysis was conducted using a panel regression model for the period 1996–2014 as well as macroeconomic and institutional variables. Growth dynamics, increasing welfare, and the size of the market positively influence FDI. Among institutional variables, government stability index and the rule of law index exert positive impact upon FDI. Misgivings with respect to the quality of democracy and corruption do not undermine FDI inflow.
      PubDate: 2016-12-28
      DOI: 10.12775/DEM.2016.005
      Issue No: Vol. 16, No. 1 (2016)
  • Asymmetries in the Relationship between Economic Activity and Oil Prices
           in the Selected EU Countries

    • Authors: Andrzej Geise, Mariola Piłatowska
      Pages: 65 - 86
      Abstract: In this paper the threshold (T-ECM) and linear (ECM) error correction models are estimated to examine the short-run and long-run Granger causality in terms of asymmetric and symmetric relationship for seven European Union economies (Germany, France, Denmark, the Netherlands, Poland, Czech Republic and the whole EU). The relationship between production, inflation and oil prices are analyzed in the presence of structural break when both, the change in intercept and the change in the slope of the trend function exist. Threshold ECMs show the asymmetric response of production and inflation to the changes in oil prices in the case of Germany, France, Poland and the EU. For other economies (Netherlands, Denmark and Czech Republic) the reaction was rather symmetric.
      PubDate: 2016-12-29
      DOI: 10.12775/DEM.2016.004
      Issue No: Vol. 16, No. 1 (2016)
  • Analysis of the Relationship between Market Volatility and Firms
           Volatility on the Polish Capital Market

    • Authors: Aneta Włodarczyk, Iwona Otola
      Pages: 87 - 116
      Abstract: In this paper we investigate if the strength of firm-market volatility relationship has changed after subprime crisis on the Polish Capital Market. The empirical study concern the selected companies listed on the Warsaw Stock Exchange (WSE) from the construction and IT sectors in the 2004–2011 period. The volatility measures were computed on the basis of daily low and high prices for companies shares and WIG index. For each company   ARFIMAX-FIGARCH model with additional exogenous variables, which represented market volatility, was estimated in the stable and the turbulent period. Conducted empirical studies have not shown that the negative shocks flowing from the American stock market through investors' behavior channel contributed to the increase in the fraction of firms of the construction and IT sectors listed on the WSE whose volatility is shaped by market volatility.
      PubDate: 2016-12-29
      DOI: 10.12775/DEM.2016.006
      Issue No: Vol. 16, No. 1 (2016)
  • Performance of Pension Funds and Stable Growth Open Investment Funds
           During the Changes in the Polish Retirement System

    • Authors: Krzysztof Kompa, Dorota Witkowska
      Pages: 117 - 131
      Abstract: The conditions of the pension funds (OFE) functioning were essentially changed in the years 2011–2014. The aim of the paper is to find out if these modifications influence the efficiency of the pension funds and to compare the performance of these funds to stable growth open investment funds (FIO). The analysis is provided for selected funds in the years 2009–2015. We conclude that in the examined period, OFE performed better than FIO, and the modifications of the rules for the pension funds caused the increase of risk and decrease of investment efficiency of these funds’ portfolios.
      PubDate: 2016-12-29
      DOI: 10.12775/DEM.2016.007
      Issue No: Vol. 16, No. 1 (2016)
  • Dependency Analysis between Bitcoin and Selected Global Currencies

    • Authors: Beata Szetela, Grzegorz Mentel, Stanisław Gędek
      Pages: 133 - 144
      Abstract: In this research we  have tried to identify the relationship between the exchange rate for bitcoin to the leading currencies such as Dollar, Euro, British Pound and Chinese Yuan and Polish zloty as well. We have applied ARMA and GARCH models to model and to analyze the conditional mean and variance. The appliance of GARCH models have identified some dependency in explanation conditional variance between bitcoin and US Dollar, Euro and Yuan, while ARMA analysis have shown no relations between bitcoin and other dependent variables.
      PubDate: 2016-12-29
      DOI: 10.12775/DEM.2016.009
      Issue No: Vol. 16, No. 1 (2016)
  • Modelling and Forecasting Business Cycle in CEE Countries using a
           Threshold Approach

    • Authors: Magdalena Osińska, Tadeusz Kufel, Marcin Błażejowski, Paweł Kufel
      Pages: 145 - 164
      Abstract: We propose to apply a time-series-based nonlinear mechanism in the threshold autoregression (TAR) form in order to examine business cycles in Central and Eastern European economies and compare them to the entire EU business cycle. The threshold variables, such as consumer price index, short and long interest rates, unemployment rate and an exchange rate vs. the U.S. Dollar, have been considered. The purpose of the paper is to model and to predict business cycles in Central and East European (CEE) economies (the EU Member States) and compare them to business cycles of the entire EU28 area and Eurozone EU19. We found that the exogenous mechanism played an important role in diagnosing the phases of business cycles in CEE economies, which is in line with the entire EU economic area. The results of business cycle forecasting using bootstrap technique are quite promising, while bootstrap confidence intervals are used for diagnosis.
      PubDate: 2016-12-29
      DOI: 10.12775/DEM.2016.008
      Issue No: Vol. 16, No. 1 (2016)
  • 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: Elzbieta Szulc, Karolina Górna, Dagna Wleklińska
      Pages: 165 - 187
      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.
      PubDate: 2016-12-28
      DOI: 10.12775/DEM.2016.010
      Issue No: Vol. 16, No. 1 (2016)
School of Mathematical and Computer Sciences
Heriot-Watt University
Edinburgh, EH14 4AS, UK
Tel: +00 44 (0)131 4513762
Fax: +00 44 (0)131 4513327
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