Humanities and Social Sciences

Central European Journal of Economic Modelling and Econometrics

Content

Central European Journal of Economic Modelling and Econometrics | 2012 | No 4 |

Abstract

The presented paper aims to analyse both statistical and economic aspects of the model with I(2) variables. The statistical foundations of such models are introduced. The enlargement of possible statistical interpretation is discussed. The economic interpretation of both VECM parameters and common stochastic trends representation is considered in the I(2) domain. The returns of I(2) approach in terms of stock-flows, nominal-real analysis and diasggregation into both long-, short and even medium-run analysis are proved. Potential complications under reflecting I(3) variables are presented.

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Abstract

The main goal of the paper is the Bayesian analysis of weak form polynomial serial correlation common features together with cointegration. In the VEC model the serial correlation common feature leads to an additional reduced rank restriction imposed on the model parameters.

After the introduction and discussion of the model, the methods will be illustrated with an empirical investigation of the price-wage nexus in the Polish economy.

Additionally, consequences of imposing such additional short-run restrictions for permanent-transitory decomposition will be discussed.

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Abstract

The swap spread is defined as the difference between the fixed rate of an interest rate swap and the yield of the treasury with the same maturity. The swap spread is usually interpreted as the effective proxy of bank liquidity and the credit spread indicator. The interpretation is very similar to the LIBOR-OIS spread and in the context of Polish interbank market – WIBOR-OIS. However, WIBOR-OIS is less reliable during the crisis of confidence because of lack of interbank operation with the maturity longer than 1 month. Swap spreads base on two liquid instruments, thus they are free of this defect.

The main goal of this paper is to assess how Polish swap spreads and their conditional variance reacted to important events connected with the subprime crisis and crisis of confidence in the Polish interbank market.

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Editorial office

Editors

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

Co-Editors
MAŁGORZATA DOMAN, University of Economics, Poznań, Poland
RYSZARD DOMAN, Adam Mickiewicz University, Poznań, 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

Contact

CEJEME Editorial Office - Ms. Karolina Jaszczyk, Polish Academy of Sciencies - Lodz Branch
Piotrkowska Str. 137/139, 90-434 Lodz, Poland
e-mail: cejeme@pan.pl

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