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.
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.
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.
The effects of the miniature channel-shaped scratches not detectable by the present inline electromagnetic defect detection system employed for wires’ surface defect detection on the fracture behaviour of the wires for civil engineering applications were investigated numerically. Finite element analysis revealed that both miniature channel-shaped across-the-thickness and across-the-width scratches change the fracture behaviour of the wires in terms of the fracture initiation locations and fracture process sequence. However, miniature across-the-thickness scratches does not affect the fracture shape of the wire while miniature across-the-width scratches changed the wires’ cup and cone fracture to a fracture shape with a predominantly flat fracture. These results provide an understanding of the fracture behaviour of wires with miniature scratches and serve as an alternative or a complimentary tools to experimental or fractographic failure analysis of wires with miniatures scratches which are difficult to carry out in the laboratory due to the sizes of the scratches.
The paper describes experimental investigations of vibrations caused by train passages in the shallow underground tunnel (in Warsaw, Poland) in comparison to the results of measurements of vibrations from ground surface transportation (trams and buses). Propagation of surface ground vibrations from underground tunnel is presented. The problem of dynamic response of a building and influence of vibrations caused by underground on people residing in a building is discussed as well. The dynamic response of the building to underground vibrations is essentially different from the response of a building excited by surface sources of transport vibrations. Also the distribution of influence of the transport vibrations on people in the building is significantly different in both cases.
The paper presented the wavelet transform method for de-noising and singularity detection to soil compressive stress signal. The study results show that the reconstruction signals by the wavelet de-noising keeps the low frequency component at [0, 31.25 Hz] of the original signal and improves the high frequency property at other frequency bands. The impaction time from the start time to resonance time of the stress signals is varies with the depth of the soil. With the increase of times of compaction, the impaction time of the stress is decreasing in every layer. But the speed of reaching compacted status in each layer is different.
Article presents the results of the effect of humidity on early shrinkage of normal concrete with variable W/C ratio. As known for a long time, shrinkage is dependent of many factors. One of them is the W/C ratio and the quantity of water which is located in the concrete mix. In article there were discussed changes taking place in the concrete mix, the methods of research and the partial results obtained by the authors of the paper. Shrinkage is a phenomenon well known and studied by various research centers. The total amount of shrinkage may depend on various factors such as humidity, temperature, composition of the concrete mix, the W/C ratio, the size of the item. The study was conducted to determine the amount of shrinkage in its early stages. It is very important for concrete floors contractors, precast manufacturers to start at the right time finishing work and prevent the formation of shrinkage cracks.
The paper presents the description of structure and the selected problems of the technical condition, as well as the strength analysis of the thin-walled reinforced concrete shell which has been making a covering of the main hall of the Gdynia Seaport Building through the last 80 years. The rectangle projection of four single curvature shells of the dome was shaped out of mutual perpendicular intersection of two cylindrical shells. The analysis of the state of stress and deformations was carried out using the special model worked out in MES considering the combination of loads, the thermal ones included. For the long lasting loads (the deadweight of the dome), the computed results of static quantities were confronted with analytical results obtained according to F. Dischinger’s method. This method had been applied by the DYWIDAG Company in Berlin and its branch in Katowice (Poland) who designed the Gdynia Dome. The computational analysis and the assessment of the technical state, along with laboratory pH tests of concrete, made it possible to carry out the overall evaluation of durability and safety of operation of the Gdynia Seaport Dome through the next decades.
The paper presents the results of experimental investigations performed by the authors on the casting position factor. It was proved that at the height of reinforced concrete elements there are different bond conditions. Moreover, the bond depends on concrete mechanical properties, element height as well as concrete mix composition and consistency. The experiments also showed the advisability of determining the casting position factor separately for bars from normal concrete and those from high–performance concrete (HPC). The analysis of investigation results has shown that “good” bond conditions are a relative concept and depend on, among other things, element height. The higher the element the better the concrete to lower bars bond. Consequently, elements of considerable height (higher than 600 mm) demonstrate a bigger difference between concrete to upper bars bond and concrete to lower bars bond.
The resistance parameters of timber structures decrease with time. It depends on the type of load and timber classes. Strength reduction effects, referred to as creep-rupture effects, due to long term loading at high stress ratio levels are known for many materials. Timber materials are highly affected by this reduction in strength with duration of load. Characteristic values of load duration and load duration factors are calibrated by means of using probabilistic methods. Three damage accumulation models are considered, that is Gerhard  model, Barret, Foschi and Foshi Yao  models. The reliability is estimated by means of using representative short- and long-term limit states. Time variant reliability aspects are taken into account using a simple representative limit state with time variant strength and simulation of whole life time load processes. The parameters in these models are fitted by the Maximum Likelihood Methods using the data relevant for Polish structural timber. Based on Polish snow data over 45 years from mountain zone in: Zakopane – Tatra, Świeradów – Karkonosze, Lesko – Bieszczady, the snow load process parameters have been estimated. The reliability is evaluated using representative short – and long –term limit states, load duration factor kmod is obtained using the probabilistic model.