Testing Multi-Factor Asset Pricing Models in the Visegrad Countries

There is no consensus in the literature as to which model should be used to estimate stock returns and the cost of capital in the emerging markets. The Capital Asset Pricing Model (CAPM), which is most often used for this purpose in the developed markets, has a poor empirical record and is likely not to hold in the less developed and less liquid emerging markets. Various factor models have been proposed to overcome the shortcomings of the CAPM. This paper examines both the CAPM and macroeconomic factor models in terms of their ability to explain average stock returns using data from the Visegrad countries. We find, as expected, that the CAPM is not able to do this task. However, factor models, including factors such as the excess market return, industrial production, inflation, money, the exchange rate, exports, the commodity index, and the term structure, can in fact explain part of the variance in the Visegrad countries’ stock returns.CAPM, macroeconomic factor models, asset pricing, cost of capital, Poland

The Effects of Monetary Policy in the Czech Republic: An Empirical Study

within VAR, structural VAR, and the Factor-Augmented VAR framework. We document a well-functioning transmission mechanism similar to the euro area countries, especially in terms of persistence of monetary policy shocks. Subject to various sensitivity tests, we find that contractionary monetary policy shock has a negative effect on the degree of economic activity and price level, both with a peak response after one year or so. Regarding the prices at the sectoral level, tradables adjust faster than non-tradables, which is in line with microeconomic evidence on price stickiness. There is no price puzzle, as our data come from single monetary policy regime. There is a rationale in using the real-time output gap instead of current GDP growth as using the former results in much more precise estimates. The results indicate a rather persistent appreciation of domestic currency after monetary tightening with a gradual depreciation afterwards.http://deepblue.lib.umich.edu/bitstream/2027.42/64350/1/wp922.pd

The Effects of Monetary Policy in the Czech Republic: An Empirical Study

In this paper, we examine the effects of Czech monetary policy on the economy within the VAR, structural VAR, and factor-augmented VAR frameworks. We document a wellfunctioning transmission mechanism similar to the euro area countries, especially in terms of persistence of monetary policy shocks. Subject to various sensitivity tests, we find that a contractionary monetary policy shock has a negative effect on the degree of economic activity and the price level, both with a peak response after one year or so.Regarding prices at the sectoral level, tradables adjust faster than non-tradables, which is in line with microeconomic evidence on price stickiness. There is no price puzzle, as our data come from a single monetary policy regime. There is a rationale in using the realtime output gap instead of current GDP growth, as using the former results in much more precise estimates. The results indicate a rather persistent appreciation of the domestic currency after a monetary tightening, with a gradual depreciation afterwards.Monetary policy transmission, real-time data, sectoral prices, VAR.

The Effects of Monetary Policy in the Czech Republic: An Empirical Study

within VAR, structural VAR, and the Factor-Augmented VAR framework. We document a well-functioning transmission mechanism similar to the euro area countries, especially in terms of persistence of monetary policy shocks. Subject to various sensitivity tests, we find that contractionary monetary policy shock has a negative effect on the degree of economic activity and price level, both with a peak response after one year or so. Regarding the prices at the sectoral level, tradables adjust faster than non-tradables, which is in line with microeconomic evidence on price stickiness. There is no price puzzle, as our data come from single monetary policy regime. There is a rationale in using the real-time output gap instead of current GDP growth as using the former results in much more precise estimates. The results indicate a rather persistent appreciation of domestic currency after monetary tightening with a gradual depreciation afterwards.monetary policy transmission, VAR, real-time data, sectoral prices

A factor analysis approch to measuring European loan and bond market integration

By using an existing and a new convergence measure, this paper assesses whether bank loan and bond interest rates are converging for the non-financial corporate sector across the euro area. Whilst we find evidence for complete bond market integration, the market for bank loans remains segmented, albeit to various degrees depending on the type and size of the loan. Factor analysis reveals that rates on large loans and small loans with long rate fixation periods have weakly converged in the sense that, up to a fixed effect, their evolution is driven by common factors only. In contrast, the price evolution of small loans with short rate fixation periods is still affected by country-specific dynamic factors. There are few signs that bank loan rates are becoming more uniform with time

A factor analysis approch to measuring European loan and bond market integration

By using an existing and a new convergence measure, this paper assesses whether bank loan and bond interest rates are converging for the non-financial corporate sector across the euro area. Whilst we find evidence for complete bond market integration, the market for bank loans remains segmented, albeit to various degrees depending on the type and size of the loan. Factor analysis reveals that rates on large loans and small loans with long rate fixation periods have weakly converged in the sense that, up to a fixed effect, their evolution is driven by common factors only. In contrast, the price evolution of small loans with short rate fixation periods is still affected by country-specific dynamic factors. There are few signs that bank loan rates are becoming more uniform with time.financial market integration; corporate loan; corporate bond; panel unit root test; factor analysis

Real convergence and the determinants of growth in EU candidate and potential candidate countries - a panel data approach

The EU candidate and potential candidate countries have made considerable progress in economic transition and integration into the world economy within less than two decades. Nevertheless, gaps in terms of income per capita relative to the euro area remain large. This suggests that the challenges of real convergence will remain relevant for the region even in the medium and long term. This paper therefore focuses on real convergence and its determinants in the candidate and potential candidate countries. The analysis reveals that total factor productivity growth has been the main driver of convergence, followed by capital deepening, whereas labour has contributed only marginally to economic growth. There is evidence of conditional convergence in the transition countries of central, eastern and south-eastern Europe. More specifi cally, controlling for the quality of institutions, the extent of market reforms and macroeconomic policies, there is a significant and negative link between the initial level of GDP and subsequent growth. Labour productivity has improved in most countries, while employment and participation rates have been falling. Structural changes have resulted in, at least temporarily, increasing labour market mismatches. Investment rates have been rising rapidly in recent years, and foreign direct investment has been found to have a positive impact on total investment. Investment in human capital is still at a relatively low level compared with the euro area average. Thus, in order to sustain the positive developments observed in the past, further improvements are needed in terms of labour productivity and utilisation, as well as in terms of physical and human capital accumulation. JEL Classification: F15, F43, O16, O43, O47, O52.Real convergence, conditional convergence, determinants of growth, total factor productivity, labour markets, capital accumulation, EU candidate and potential candidate countries.

ZASTOSOWANIA ANALIZY RUCHU OCZU W DIAGNOSTYCE CHORÓB NEURODEGENERACYJNYCH

Eye-tracking allows for non-invasive examination and the same eyetrackers are becoming more available, thus its popularity in medical diagnosis and other fields of application is increasing. The paper presents the possibilities for using eye-tracking in the diagnosis neurodegenerative disease such as Parkinson or Alzheimer diseases. The autor describes the exetracking experiment, the model of fixations and saccedes detection, as well as the selected examples of eye-tracking research conducted among patients with neurodegenerative diseases.Badania okulograficzne są nieinwazyjne, a sprzęt okulograficzny coraz bardziej dostępny, dlatego też rośnie jego popularność w diagnostyce medycznej oraz innych obszarach zastosowań. Artykuł prezentuje możliwości dotyczący zastosowania badań okulograficznych w diagnostyce chorób neurodegeneracyjnych takich jak Parkinson, czy Alzheimer. Autorka koncentruje się na przestawieniu charakterystyki badania okulograficznego, modelu detekcji podstawowych zdarzeń takich jak fiksacje i sakkady, a także na przykładach badań zaburzeń okoruchowych w wybranych chorobach neurodegeneracyjnych

WIEDZA STUDENTÓW INFORMATYKI POLITECHNIKI LUBELSKIEJ O PLATFORMACH E-LEARNINGOWYCH

In 2011-2012 at the Faculty of Electrical Engineering and Computer Science the project called "Graduate of our time" aimed for students of Master studies in Computer Science is realized. One of the most important objectives of the project is implementation of e-learning platform. The article discusses the current state of the use of the platform, presents the results of the survey conducted among students regarding: the level of students’ knowledge of distance learning, assessment of created platform as well as assessment developed learning resources.W latach 2011-2012 realizowany był na Wydziale Elektrotechniki i Informatyki (WEiI) Politechniki Lubelskiej projekt POKL „Absolwent na miarę czasu” skierowany do studentów studiów magisterskich kierunku Informatyka. Wśród celów realizowanego projektu ważne miejsce zajmuje utworzona platforma e-learningowa. W niniejszym artykule omówiono obecny stan wykorzystania platformy, zaprezentowano wyniki badań przeprowadzonych wśród studentów dotyczących: poziomu wiedzy studentów o nauczaniu na odległość, oceny stworzonej platformy oraz przydatności materiałów na niej umieszczonych

The use of eye-tracking methods for evaluation of responsive web application

The purpose of this article is to present the eye-tracking method in the context of evaluation of responsive web application dedicated to manage students practices. To determine usability of the application the eye-tracking method has been chosen due to its high objectivity. Using this method one can unequivocally determine the user gaze direction, which interface elements enchained his attention and which ones were completely skipped. As part of the work were prepared scenarios with tasks for the research participants, questionnaires and time of the tasks execution where measured. Collected data were presented as heat maps and scanpaths. The paper covers also actual review of bibliography of the eye-tracking area and detailed description of the eye-tracking method. What is more the paper gives description of test subject, conducted test and discusses results