Nauki Humanistyczne i Społeczne

Central European Journal of Economic Modelling and Econometrics


Central European Journal of Economic Modelling and Econometrics | 2014 | No 2 |


The problem of governments’ over-indebtedness is one of the most important challenges for today’s EMU governance. As numbers suggest, the problem of extensive deficits has appeared in the EMU long before the burst of the global financial crisis. We suspect that the membership in a currency area might be partially blamed for such progression of indebtedness. This paper examines the determinants of government risk premiums in the EU Member States to answer if the risk premium assigned by the market may give currency area Member States additional incentives for profligacy. Controlling other factors, we investigate the pattern in which fiscal deficits and GDP growth affect the yield of 10-year-maturity government bonds in the euro area and the non-euro area EU Member States. Our results are straightforward. The market penalizes EU countries that do not belong to the euro area for bad economic performance and extensive deficits from 4 to 7 times stronger. Our estimates confirm the strong impact of the common credibility problem in the EMU but also support the key role of financial stress in determining the cost of government debt.

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Autorzy i Afiliacje

Grzegorz Poniatowski


The recent financial crisis has seen huge swings in corporate bond spreads. It is analyzed what quality VAR-based forecasts would have had prior and during the crisis period. Given that forecasts of the mean of interest rates or financial market prices are subject to large uncertainty independent of the class of models used, major emphasis is put on the quality of measures of forecast uncertainty. The VAR considered is based on a model first suggested in the literature in 2005. In a rolling window analysis, both the model’s forecasts and joint prediction bands are calculated making use of recently proposed methods. Besides a traditional analysis of the forecast quality, the performance of the proposed prediction bands is assessed. It is shown that the actual coverage of joint prediction bands is superior to the coverage of naïve prediction bands constructed pointwise.

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Autorzy i Afiliacje

Anna Staszewska-Bystrova
Peter Winker


The purpose of the article is to verify a hypothesis about the asymmetric pass-through of crude oil prices to the selling prices of refinery products (unleaded 95 petrol and diesel oil). The distribution chain is considered at three levels: the European wholesale market, the domestic wholesale market and the domestic retail market. The error correction model with threshold cointegration proved to be an appropriate tool for making an empirical analysis based on the Polish data. As found, price transmission asymmetry in the fuel market is significant and its scale varies depending on the level of distribution. The only exception is the wholesale price transmission to the domestic refinery price. All conclusions are supported by the cumulative response functions. The analysis sheds new light on the price-setting processes in an imperfectly competitive fuel market of a medium-sized, non-oil producing European country in transition.

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Autorzy i Afiliacje

Katarzyna Leszkiewicz-Kędzior
Aleksander Welfe


JACEK OSIEWALSKI, Cracow University of Economics, Poland
ALEKSANDER WELFE, University of Lodz, Poland


KATARZYNA BIEŃ-BARKOWSKA, SGH Warsaw School of Economics, Poland
MIKOŁAJ CZAJKOWSKI, University of Warsaw, Poland
JAKUB GROWIEC, SGH Warsaw School of Economics, Poland
MAREK GRUSZCZYŃSKI, SGH Warsaw School of Economics, Poland
BOGUMIŁ KAMIŃSKI, SGH Warsaw School of Economics, Poland
MARCIN KOLASA, SGH Warsaw School of Economics, Poland
ANNA PAJOR, Cracow University of Economics, Poland

Associate Editors
KARIM ABADIR, The American University in Cairo, Cairo, Egypt
ANINDYA BANERJEE, University of Birmingham, UK
STEPHEN HALL, University of Leicester, UK
GARY KOOP, University of Strathclyde, Glasgow, UK
MARK STEEL, University of Warwick, UK
MARTIN WAGNER, Technical University of Dortmund, Germany
JAN WERNER, University of Minnesota, USA
PETER WINKER, University of Giessen, Germany

Editorial Board

HERMAN van DIJK, Erasmus University Rotterdam and VU University Amsterdam, The Netherlands
LAWRENCE R. KLEIN, University of Pennsylvania, Benjamin Franklin Professor of Economics, USA
TIMO TERASVIRTA, University of Aarhus, Denmark
HELMUT LUETKEPOHL, Freie Universität Berlin, Germany

Publishing Editor

ANNA STASZEWSKA-BYSTROVA, University of Lodz, Poland

Editorial Assistant

AGNIESZKA RYGIEL, Cracow University of Economics, Poland


CEJEME Editorial Office - Ms. Karolina Jaszczyk, Polish Academy of Sciencies - Lodz Branch
Piotrkowska Str. 137/139, 90-434 Lodz, Poland

Instrukcje dla autorów

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