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Oil Prices, Production and Inflation in the Selected EU Countries: Threshold Cointegration Approach 欧盟国家的石油价格、生产和通货膨胀:阈值协整方法
Dynamic Econometric Models Pub Date : 2015-04-15 DOI: 10.12775/DEM.2014.004
Andrzej Geise, M. Piłatowska
{"title":"Oil Prices, Production and Inflation in the Selected EU Countries: Threshold Cointegration Approach","authors":"Andrzej Geise, M. Piłatowska","doi":"10.12775/DEM.2014.004","DOIUrl":"https://doi.org/10.12775/DEM.2014.004","url":null,"abstract":"This paper applies the threshold cointegration technique developed by Enders and Siklos (2001) to investigate the impact of an oil price changes on changes in production and inflation in the presence of structural break in seven European Union countries. This technique will allow for a different speed of adjustment to the long-run equilibrium depending on whether production in selected economies is above or below the long-run relationship. Given the presence of asymmetric cointegration between oil prices, production and inflation, we estimate threshold error correction models to examine long- and short-run Granger causality. We found evidence for cointegration with asymmetric adjustment in the case of France, Denmark and the total EU.","PeriodicalId":31914,"journal":{"name":"Dynamic Econometric Models","volume":"14 1","pages":"71-91"},"PeriodicalIF":0.0,"publicationDate":"2015-04-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"66548997","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}
引用次数: 4
The significance of distance between stock exchanges undergoing the process of convergence: An analysis of selected world stock exchanges during the period of 2004-2012 趋同过程中证券交易所间距离的意义——以2004-2012年世界证券交易所为例
Dynamic Econometric Models Pub Date : 2015-04-15 DOI: 10.12775/DEM.2014.007
E. Szulc, Dagna Wleklińska, K. Górna, Joanna Górna
{"title":"The significance of distance between stock exchanges undergoing the process of convergence: An analysis of selected world stock exchanges during the period of 2004-2012","authors":"E. Szulc, Dagna Wleklińska, K. Górna, Joanna Górna","doi":"10.12775/DEM.2014.007","DOIUrl":"https://doi.org/10.12775/DEM.2014.007","url":null,"abstract":"The paper concerns the convergence of selected world stock exchanges from the point of view of their development in the context of geographical and economic distance between them. It presents the methodological approach which points up the necessity of taking into account spatial and economic connections among stock markets in convergence analyses. The research includes 46 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":"14 1","pages":"125-144"},"PeriodicalIF":0.0,"publicationDate":"2015-04-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"66549348","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}
引用次数: 5
Pension Funds in Poland: Efficiency Analysis for Years 1999–2013 波兰养老基金:1999-2013年的效率分析
Dynamic Econometric Models Pub Date : 2015-04-15 DOI: 10.12775/DEM.2014.006
K. Kompa, D. Witkowska
{"title":"Pension Funds in Poland: Efficiency Analysis for Years 1999–2013","authors":"K. Kompa, D. Witkowska","doi":"10.12775/DEM.2014.006","DOIUrl":"https://doi.org/10.12775/DEM.2014.006","url":null,"abstract":"The reform of the pension system in Poland took place in 1999, when the one-pillar Pay-As-You-Go system (PAYG) was replaced by the three-pillars system consisting of two mandatory (PAYG and fully funded) pillars and voluntary (funded) one. However problems concerning budget deficit in Poland caused that the Polish government introduced significant changes in distribution of the pension contribution between both mandatory pillars and in the pension funds’ portfolio composition in 2011 and 2013. The aim of this study is to analyze the performance of the pension funds operating in Poland in the years 1999-2013. Applying Sharpe and Treynor ratios the study provides evidence that well diversified portfolio protects pensioners’ interest better than portfolios constructed due to the new rules.","PeriodicalId":31914,"journal":{"name":"Dynamic Econometric Models","volume":"14 1","pages":"105-124"},"PeriodicalIF":0.0,"publicationDate":"2015-04-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"66549301","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}
引用次数: 5
The Environmental Kuznets Curve in Poland – Evidence from Threshold Cointegration Analysis 波兰的环境库兹涅茨曲线——来自阈值协整分析的证据
Dynamic Econometric Models Pub Date : 2015-04-15 DOI: 10.12775/DEM.2014.003
M. Piłatowska, A. Włodarczyk, M. Zawada
{"title":"The Environmental Kuznets Curve in Poland – Evidence from Threshold Cointegration Analysis","authors":"M. Piłatowska, A. Włodarczyk, M. Zawada","doi":"10.12775/DEM.2014.003","DOIUrl":"https://doi.org/10.12775/DEM.2014.003","url":null,"abstract":"The article aims to look at the long-run equilibrium relationship between per capita greenhouse gas emissions and per capita real GDP (EKC hypothesis) in an asymmetric framework using the non-linear threshold cointegration and error correction methodology for Polish economy during the period 2000 to 2012 (quarterly data). To test the robustness of the results the additional explanatory variable (per capita energy consumption) is added to the EKC model. The EKC hypothesis is tested using threshold autoregressive (TAR) and momentum threshold autoregressive (MTAR) cointegration method. Moreover, the threshold error correction model (TECM) is implemented in order to examine both the short-run and the long-run Granger-causal relationship between per capita greenhouse gas emissions and per capita income. We found strong evidence in favour of the EKC hypothesis for the Polish case and additionally we confirmed that adjustment of deviations toward the long-run equilibrium is asymmetric.","PeriodicalId":31914,"journal":{"name":"Dynamic Econometric Models","volume":"14 1","pages":"51-70"},"PeriodicalIF":0.0,"publicationDate":"2015-04-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"66548945","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}
引用次数: 9
The EURPLN, DAX and WIG20: The Granger Causality Tests Before and During the Crisis EURPLN、DAX和WIG20:危机前和危机期间的格兰杰因果检验
Dynamic Econometric Models Pub Date : 2015-04-15 DOI: 10.12775/DEM.2014.005
E. M. Syczewska
{"title":"The EURPLN, DAX and WIG20: The Granger Causality Tests Before and During the Crisis","authors":"E. M. Syczewska","doi":"10.12775/DEM.2014.005","DOIUrl":"https://doi.org/10.12775/DEM.2014.005","url":null,"abstract":"In this paper the possible interdependence between bilateral exchange rate behavior and the corresponding stock indices is checked, with application to the EURPLN rate and the DAX and WIG20 stock indices. Methods and results are similar to previous study of USDPLN exchange rate, and SP500 and WIG20 indices. The linear (including instantaneous) causality test and the Diks-Panchenko test are applied to logarithmic returns and to the  daily measure of volatility r(t) = ln(P(max,t)/P(min, t)) . Differences between before- and during-crisis period results are less vivid than in case of the U.S. and the Polish instruments. But there is a substantial difference between linear (and Diks-Panchenko) test results and the instantaneous Granger-causality test results, on the other hand – between returns and daily volatility.","PeriodicalId":31914,"journal":{"name":"Dynamic Econometric Models","volume":"14 1","pages":"93-104"},"PeriodicalIF":0.0,"publicationDate":"2015-04-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"66549084","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}
引用次数: 3
Option Pricing under Sign RCA-GARCH Models Sign RCA-GARCH模型下的期权定价
Dynamic Econometric Models Pub Date : 2015-04-15 DOI: 10.12775/DEM.2014.008
Joanna Górka
{"title":"Option Pricing under Sign RCA-GARCH Models","authors":"Joanna Górka","doi":"10.12775/DEM.2014.008","DOIUrl":"https://doi.org/10.12775/DEM.2014.008","url":null,"abstract":"After Black and Scholes’s groundbreaking work, the literature concerning pricing options has become a very important area of research. Numerous option valuation methods have been developed. This paper shows how one can compute option prices using Sign RCA-GARCH models for the dynamics of the volatility. Option pricing obtained from Sign RCA-GARCH models, the Black and Scholes’s valuation and other selected GARCH option pricing models are compared with the market prices. This approach was illustrated by the valuation of the European call options on the WIG20 index. The empirical results indicated that RCA-GARCH and Sign RCA-GARCH models can be successfully used for pricing options. However none of the models can be indicated as the best one for the option valuations for every period and every time to maturity of the options.","PeriodicalId":31914,"journal":{"name":"Dynamic Econometric Models","volume":"14 1","pages":"145-160"},"PeriodicalIF":0.0,"publicationDate":"2015-04-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"66549365","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}
引用次数: 1
Does historical VIX term structure contain valuable information for predicting VIX futures 历史波动率指数期限结构是否包含有价值的信息来预测波动率指数期货
Dynamic Econometric Models Pub Date : 2015-04-15 DOI: 10.12775/DEM.2014.001
J. Jabłecki, Ryszard Kokoszczyński, Paweł Sakowski, R. Ślepaczuk, Piotr Wójcik
{"title":"Does historical VIX term structure contain valuable information for predicting VIX futures","authors":"J. Jabłecki, Ryszard Kokoszczyński, Paweł Sakowski, R. Ślepaczuk, Piotr Wójcik","doi":"10.12775/DEM.2014.001","DOIUrl":"https://doi.org/10.12775/DEM.2014.001","url":null,"abstract":"We suggest that the term structure of VIX futures shows a clear pattern of dependence on the current level of VIX index. At the low levels of VIX (below 20), the term structure is highly upward sloping, while at the high VIX levels (over 30) it is strongly downward sloping. We use these features to predict future VIX futures prices more precisely. We begin by introducing some quantitative measures of volatility term structure ( VTS ) and volatility risk premium ( VRP ). We use them further to estimate the distance between the actual value and the fair (model) value of the VTS . We find that this distance has significant predictive power for volatility futures and index futures and we use this feature to design simple strategies to invest in VIX futures.","PeriodicalId":31914,"journal":{"name":"Dynamic Econometric Models","volume":"14 1","pages":"5-28"},"PeriodicalIF":0.0,"publicationDate":"2015-04-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"66548474","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}
引用次数: 2
Searching for the Appropriate Measure of Multilateral Trade-Resistance Terms in the Gravity Model of Bilateral Trade Flows 在双边贸易流动引力模型中寻找多边贸易阻力项的适当度量
Dynamic Econometric Models Pub Date : 2015-04-15 DOI: 10.12775/DEM.2014.002
Natalia Drzewoszewska
{"title":"Searching for the Appropriate Measure of Multilateral Trade-Resistance Terms in the Gravity Model of Bilateral Trade Flows","authors":"Natalia Drzewoszewska","doi":"10.12775/DEM.2014.002","DOIUrl":"https://doi.org/10.12775/DEM.2014.002","url":null,"abstract":"The aim of the paper is to compare different approximations of multilateral trade-resistance in the gravity model and the influence of their use on estimation results for models of EU-trade. Three synthetic variables: for bilateral trade costs, exporter’s and importer’s remoteness are used as an alternative for including time-varying country effects. Results indicate significant impact of those variables but not wholly compatible with the theory. Estimated coefficients of trade determinants, including Euro’s effects, have expected values in both approaches only if the FE estimator is applied.","PeriodicalId":31914,"journal":{"name":"Dynamic Econometric Models","volume":"14 1","pages":"29-49"},"PeriodicalIF":0.0,"publicationDate":"2015-04-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"66548802","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}
引用次数: 7
Asymmetric Impact of Innovations on Volatility in the Case of the US and CEEC-3 Markets: EGARCH Based Approach 美国和中东欧三国市场创新对波动性的不对称影响:基于EGARCH的方法
Dynamic Econometric Models Pub Date : 2013-12-12 DOI: 10.12775/DEM.2013.002
J. Olbryś
{"title":"Asymmetric Impact of Innovations on Volatility in the Case of the US and CEEC-3 Markets: EGARCH Based Approach","authors":"J. Olbryś","doi":"10.12775/DEM.2013.002","DOIUrl":"https://doi.org/10.12775/DEM.2013.002","url":null,"abstract":"The main goal of this study is to investigate the asymmetric impact of innovations on volatility in the case of the US and three biggest emerging CEEC–3 markets, using univariate EGARCH approach. We compare empirical results for both the whole sample from Jan 3, 2007 to Dec 30, 2011, and two equal subsamples: the ‘down market’ period, and the ‘up market’ period. Pronounced negative asymmetry effects are presented in the case of all markets, and are especially strong in the ‘down market’ period, which is closely connected with the 2007 US subprime crisis period.","PeriodicalId":31914,"journal":{"name":"Dynamic Econometric Models","volume":"13 1","pages":"33-50"},"PeriodicalIF":0.0,"publicationDate":"2013-12-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"66548045","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}
引用次数: 6
Determination of the Time of Contagion in Capital Markets Based on the Switching Model 基于转换模型的资本市场传染时间的确定
Dynamic Econometric Models Pub Date : 2013-12-12 DOI: 10.12775/DEM.2013.004
Milda Maria Burzała
{"title":"Determination of the Time of Contagion in Capital Markets Based on the Switching Model","authors":"Milda Maria Burzała","doi":"10.12775/DEM.2013.004","DOIUrl":"https://doi.org/10.12775/DEM.2013.004","url":null,"abstract":"This article attempts to compare conclusions made about market contagion based on the periods indicated by using the Markov-switching model and based on a range for unconditional correlations as well as on arbitrary arrangements. DCC-model was used to control for correlation change over time. Determination of extremely high correlations by using a range for unconditional correlations and the MS(3) switching model yields similar results regarding conclusions about the occurrence of the process of contagion in a market. Conclusions about contagion are, however, made at a higher significance level in the case of the switching model.","PeriodicalId":31914,"journal":{"name":"Dynamic Econometric Models","volume":"54 1","pages":"69-86"},"PeriodicalIF":0.0,"publicationDate":"2013-12-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"66548163","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}
引用次数: 1
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