Humanities and Social Sciences

Central European Journal of Economic Modelling and Econometrics

Content

Central European Journal of Economic Modelling and Econometrics | 2011 | No 2 |

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Abstract

This paper presents some new results on exogeneity in models with latent variables. The concept of exogeneity is extended to the class of models with latent variables, in which a subset of parameters and latent variables is of interest. Exogeneity is discussed from the Bayesian point of view. We propose sufficient weak and strong exogeneity conditions in the vector error correction model (VECM) with stochastic volatility (SV) disturbances. Finally, an empirical illustration based on the VECM-SV model for the daily growth rates of two main official Polish exchange rates: USD/PLN and EUR/PLN, as well as EUR/USD from the international Forex market is presented. The exogeneity of the EUR/USD rate is examined. The strong exogeneity hypothesis of the EUR/USD rate is not rejected by the data.

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Authors and Affiliations

Anna Pajor
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Abstract

This article analyses fuel pricing in Poland in the period January 2000 – March 2011. Two levels of prices are considered: wholesale prices set by Polish refineries and retail prices paid at petrol stations. Because refinery product prices are strongly dependent on the zloty exchange rate, a large part of the article deals with the modelling of the PLN/EUR exchange rate, in which process a CHEER model is used.

The multivariate cointegration analysis showed that the wholesale and retail prices of fuels and the exchange rate are linked through long-run relationships. As demonstrated, the wholesale price of fuel depends on the crude-oil price and the PLN/EUR exchange rate. Another finding is that changes in the wholesale price are fully transmitted to retail prices. As far as the exchange rate is concerned, the real interest rate parity hypothesis has been confirmed, as well as the significance of the risk as perceived by financial investors.

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Authors and Affiliations

Katarzyna Leszkiewicz-Kędzior
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Abstract

Matched sampling is a methodology used to estimate treatment effects. A caliper mechanism is used to achieve better similarity among matched pairs. We investigate finite sample properties of matching with caliper and propose a slight modification to the existing mechanism. The simulation study compare performance of both methods and show that standard caliper perform well only in case of constant treatment or uniform propensity score distribution. Secondly, in a case of non-uniform distribution and non-uniform treatment the dynamic caliper method outperform standard caliper matching.

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Authors and Affiliations

Paweł Strawiński

Editorial office

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

Co-Editors

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

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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Submission Guidelines and Instructions for Authors of accepted papers please visit: http://cejeme.org/submissionguidelines.aspx

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