In this study we evaluate the distortion of the ratio of non-performing loans (NPL) caused by rapid credit growth to show that the bias in this ratio (caused by the prolonged credit boom) may indeed be significant. Next, we discuss an adjustment to the NPL ratio based on a theoretical model of a loan portfolio. This adjustment is robust for credit booms and busts; therefore, it can be used to compare credit quality ratios across distinct portfolios and banks as well as to simulate future NPL ratio developments. Our estimates of the portfolio of housing loans in Poland show that the new adjusted index of non-performing loans is robust to different model specifications.
We attempt to apply a New Keynesian open economy model to simulate the economic consequences of influenza epidemic in Poland and measure the output loss (indirect cost) related to this disease. We introduce a negative health shock on the supply side of the economy and demonstrate that such a shock – implemented as a reduction in labour utilisation under unchanged labour cost – is not equivalent to negative labour supply shock. As expectational effects may hypothetically play a significant role in determining the economic cost of influenza, we attempt to endogenise the mechanism of epidemic in the model for the rational expectations solution algorithm to take account for the possibility of epidemic. This attempt has failed for the standard SIR model of epidemic and for the standard Blanchard-Kahn-like local solution methods, as the SIR block is only consistent with Blanchard-Kahn conditions under herd immunity of the population. In the deterministic simulation with the number of infected given exogenously, the output loss resulting from influenza-related presenteeism and absenteeism was estimated at 0.004% of the steady state level on average in the period 2000‒2013. The simulated indirect cost in the New Keynesian model has turned out to be lower than the estimates that one could possibly obtain using the human capital approach. The reason for this discrepancy is the demand-oriented construction of the New Keynesian framework, and we treat this result as closer in notion to what the friction cost approach might suggest.
This paper models income distribution in four Central and Eastern European (CEE) countries (the Czech Republic, Hungary, Poland and the Slovak Republic) in 1990s and 2000s using parametric models of income distribution. In particular, we use the generalized beta distribution of the second kind (GB2), which has been found in the previous literature to give an excellent fit to income distributions across time and countries. We have found that for Poland and Hungary, the GB2 model fits the data better than its nested alternatives (the Dagum and Singh-Maddala distributions). However, for Czech Republic and Slovak Republic the Dagum model is as good as the GB2 and may be preferred due to its simpler functional form. The paper also found that the tails of parametric income distribution in the Czech Republic, Poland and the Slovak Republic have become fatter in the course of transformation to market economy, which provides evidence for growing income bi-polarization in these societies. Statistical inference on changes in income inequality based on parametric Lorenz dominance suggests that, independently of inequality index used, income inequality in the Czech Republic, Poland and the Slovak Republic has increased during transformation. For Hungary, there is no Lorenz dominance and conclusions about the direction of changes in income inequality depend on the cardinal inequality measure used.
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