Imbalances: Should the EU intervene? Bertelsmann Stiftung EUROPA Briefing 2017

Economic imbalances keep recurring in the EU. Differences in trade balances dominate the debate. Germany has been generating very high surpluses for years and meets criticism for this reason. Are imbalances a threat to the EU, and what role does the euro play in this? Should politicians adjust differences in the balance of trade? And if so, is that up to national governments or the EU

European taxes: Do we need them? Bertelsmann Stiftung EUROPA Briefing 2017

In the European Union, each member state is responsible for its tax system. Different national regimes help with tax competition, but can also lead to tax evasion or unfair rules in the Single Market. That is why better coordination or even standardisation of taxes is debated. What tax regulations are there already in the Single Market? What would be the advantages and disadvantages of a European tax? And what reforms are being discussed in Europe

The four freedoms in the EU: Are they inseparable? Bertelsmann Stiftung EUROPA Briefing 2017

The four freedoms govern the movement of goods, persons, services and capital within the EU. They are the cornerstones of the Single Market and the common currency. Many citizens see them as the greatest achievement of the European unification project. Brexit has reignited the discussion surrounding the free movement of people - that is the opportunity to live and work in any EU country. Technically speaking, it is possible to separate the four freedoms, but does it make political sense

The Study of Interdependence between Capital and Currency Markets Using Multivariate GARCH Models

In the article an attempt was made to investigate the interaction among the various stock exchanges as well as various exchange rates and then to determine the direction of information flow between capital and currency markets. Tools used in this study are Multivariate GARCH models. Presented results developed an earlier study of World Stock Exchange classification. These stock exchanges will be further analysed according to their interaction.Multivariate GARCH Model, independence analysis, stock exchange, exchange rate.

The Combined Forecasts Using the Akaike Weights

The focus in the paper is on the information criteria approach and especially the Akaike information criterion which is used to obtain the Akaike weights. This approach enables to receive not one best model, but several plausible models for which the ranking can be built using the Akaike weights. This set of candidate models is the basis of calculating individual forecasts, and then for combining forecasts using the Akaike weights. The procedure of obtaining the combined forecasts using the AIC weights is proposed. The performance of combining forecasts with the AIC weights and equal weights with regard to individual forecasts obtained from models selected by the AIC criterion and the a posteriori selection method is compared in simulation experiment. The conditions when the Akaike weights are worth to use in combining forecasts were indicated. The use of the information criteria approach to obtain combined forecasts as an alternative to formal hypothesis testing was recommended.combining forecasts, weighting schemes, information criteria.

Intraday Seasonality in Analysis of UHF Financial Data: Models and Their Empirical Verification

The aim of this paper is to outline the typical characteristics of the ultra-high-frequency financial data and to present estimation methods of intraday seasonality of trading activity. Ultra-high-frequency financial data (transactions data or tick-by-tick data) is defined to be a full record of transactions and their associated characteristics. We consider two nonparametric estimation methods: cubic splines and a Nadaraya-Watson kernel estimator of regression. Both approaches are compared empirically and applied to financial data of stocks traded at the Warsaw Stock Exchange.financial UHF data, intraday seasonality, diurnal pattern, cubic splines, kernel estimation.

Dynamics of Multivariate Return Series of U.S. Automotive Stock Companies in Conditions of Crisis

This article contains an analysis of dynamic interrelations between log-returns series of three automotive companies listed on the New York Stock Exchange: GM, F and DAI. We consider two periods: before and during crisis. We apply DiagBEKK model and we calculate dynamic conditional correlations. As a result of our research we found that in conditions of crisis there were strong connections between considered stock companies.DiagBEKK model, dynamic conditional correlation.

The Importance of Calculating the Potential Gross Domestic Product in the Context of the Taylor Rule

Taylor stated humorously that his rule was so easy that it could be written down on the back of a business card. The reality shows that the practical use of this type of rule implies accepting many assumptions about its final shape. The article mentions only the matter of influence of calculating the potential GDP and output gap on the empirical relevance of the Taylor rule. Two ways of calculating potential GDP were presented, i.e. the HP filter and linear trend of the current and the real GDP both seasonally adjusted (an additive model with seasonal dummies; TRAMO/SEATS procedure).Taylor rule, output gap.