Nauki Humanistyczne i Społeczne

Central European Journal of Economic Modelling and Econometrics

Zawartość

Central European Journal of Economic Modelling and Econometrics | 2018 | No 3

Abstrakt

In this paper we develop an open-economy endogenous growth model to examine the influence of fiscal policy on the economy in the long run. We allow for public deficit and 5 types of taxes. One of the novel features is separate treatment of interest rates on public and private debt, both of which are linear functions of appropriate debt-to-GDP ratios. Two extreme situations are analyzed: a model of “decentralized economy”, where economic agents do not take into account any externalities, and a model of “benevolent social planner”. We derive the rules of optimal fiscal policy that induce economic agents to internalize all externalities. Theoretical results are illustrated with an empirical analysis for Poland. The optimal values of several fiscal policy instruments for Poland are calculated.

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Autorzy i Afiliacje

Michał Konopczyński

Abstrakt

The main goal of this paper is to propose the probabilistic description of cyclical (business) fluctuations. We generalize a fixed deterministic cycle model by incorporating the time-varying amplitude. More specifically, we assume that the mean function of cyclical fluctuations depends on unknown frequencies (related to the lengths of the cyclical fluctuations) in a similar way to the almost periodic mean function in a fixed deterministic cycle, while the assumption concerning constant amplitude is relaxed. We assume that the amplitude associated with a given frequency is time-varying and is a spline function. Finally, using a Bayesian approach and under standard prior assumptions, we obtain the explicit marginal posterior distribution for the vector of frequency parameters. In our empirical analysis, we consider the monthly industrial production in most European countries. Based on the highest marginal data density value, we choose the best model to describe the considered growth cycle. In most cases, data support the model with a time-varying amplitude. In addition, the expectation of the posterior distribution of the deterministic cycle for the considered growth cycles has similar dynamics to cycles extracted by standard bandpass filtration methods.

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Autorzy i Afiliacje

Łukasz Lenart

Abstrakt

The aim of the study is to discuss the relationship of the crude oil price, speculative activity and fundamental factors. An empirical study was conducted with a VEC model. Two cointegrating vectors were identified. The first vector represents the speculative activity. We argue that the number of short non-commercial positions increases with the crude oil stock and price, decreases with the higher number of long non-commercial positions. A positive trend of crude oil prices may be a signal for traders outside the industry to invest in the oil market, especially as access to information could be limited for them. The second vector represents the crude oil price under the fundamental approach. The results support the hypothesis that the crude oil price is dependent on futures trading. The higher is a number of commercial long positions, the greater is the pressure on crude oil price to increase.

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Autorzy i Afiliacje

Robert Socha
Piotr Wdowiński

Instrukcja dla autorów


The Central European Journal of Economic Modelling and Econometrics bases on a fully electronic editorial system available at cejeme.com, cejeme.org, cejeme.eu or cejeme.pl. This web-based editorial tracking software enables a paper-free operation of the key editorial functions of the Journal. Papers are submitted for publication electronically via electronic system (see the link "Submit article"). Also the system provides free access to the electronic form of each issue. In the review process the Central European Journal of Economic Modelling and Econometrics obeys the double blind policy. Authors submitting articles to the Central European Journal of Economic Modelling and Econometrics must follow the guidelines available at: http://www.cejeme.com/submissionguidelines.aspx. Any manuscript which does not conform to instructions will be rejected.


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