O współzależności giełd na przykładzie giełdy polskiej i niemieckiej

The paper verifies the hypothesis of the existence of relationships between Polish and German stock markets and the impact of the convergence process. The relationship between the stock exchanges was represented by co-integration indices DAX and WIG20 or WIG. No co-integration between DAX and WIG or WIG20 is observed unless additionally the correction of the trend of the WIG20 index is taken into account. However the co-integration between indices WIG20TR and the DAX is observed. Both indices constructed in a  similar way and representing largest companies of both stock markets. These results suggest the hypothesis of the existence of correlation between the two exchanges. A  significant change in the structure of co-integration in the period July 2009 – December 2012, compared with the previous period and 2006 to June 2009 is observed.Artykuł nie zawiera abstraktu w języku polski

O współzależności giełd na przykładzie giełdy polskiej i niemieckiej

The paper verifies the hypothesis of the existence of relationships between Polish and German stock markets and the impact of the convergence process. The relationship between the stock exchanges was represented by co-integration indices DAX and WIG20 or WIG. No co-integration between DAX and WIG or WIG20 is observed unless additionally the correction of the trend of the WIG20 index is taken into account. However the co-integration between indices WIG20TR and the DAX is observed. Both indices constructed in a  similar way and representing largest companies of both stock markets. These results suggest the hypothesis of the existence of correlation between the two exchanges. A  significant change in the structure of co-integration in the period July 2009 – December 2012, compared with the previous period and 2006 to June 2009 is observed.Artykuł nie zawiera abstraktu w języku polski

The effect of an electronic exchange on prices and return volatility in the fine wine market

Fine wine has become an attractive alternative asset class in recent decades. In our study, we take the market microstructural perspective and verify how innovations in trading infrastructure affect the fine wine market. More specifically, we examine the average prices and the return volatility of fine wines traded on three different trading systems: automated electronic exchange, auctions and over-the-counter agreements (the OTC market). Our findings confirm an important role of a fully automated, cost-effective wine exchange in improving pricing efficiency and reducing market risk. This may constitute useful information for professional wine traders and institutional investors, who might consider shifting from less transparent trading systems into an automated on-book venue. This may also be a valuable indication for the future development of trading infrastructure in wine and other agricultural commodity market

Rational Speculative Bubbles in the Fine Wine Investment Market

The paper focuses on detection of rational speculative bubbles in fine wineinvestment market. Our research was conducted using recursive tests. The chosenmethod additionally allowed us to set time frames for potential bubbles. Theresults have shown that speculative bubble episodes appeared between 2006–2007both in fine wine market and in most of selected traditional stock exchanges.However, only the fine wine market recorded the second wave of speculativebubbles between 2010–2011

On Inverse Utility and Third-Order Effects in the Economics of Uncertainty

We prove that the coefficient of absolute prudence is greater than k- times coefficient of absolute risk aversion for the utility function if and only if the coefficient of absolute prudence is (3-k) times the coefficient of absolute risk aversion for the inverse utility function. Moreover this is also equivalent to (k-2)-concavity of the first derivative of the inverse utility function

On the Extension of the Kiyotaki and Wright model to Transformable Goods

International audienceIn this paper we extend the classical Kiyotaki and Wright (KW) model and consider a transformable good. Such an extension enables us to adapt the model to the specific conditions of the wine market. The most important change, with respect to the original model, is that one type of good (young wine, in our model) can improve its quality and thereby transform to another type of good (old wine). However, there is a certain probability that such transformation may not be successful and the good under consideration may simply spoil. We adapt the main KW theoretical features to the study of speculative strategies in a stylized wine market. This study can be generalized to other commodity markets in which goods are unstable and present intrinsic properties such as quality increase or decrease across time. These markets are also typically characterized by roles or types of agents, such as producers, merchants and consumers, whose interests lack double coincidence when they meet. We define a general model and then use simulation methods to systematically study under which conditions speculative strategies are possible in this setting and which is the most efficient distribution of types of agents under speculative equilibria. The theoretical results are also provided for the model, with equal numbers of agents of different types, similarly to the Kiyotaki and Wright original paper

On the Impact of Misvaluation on Bilateral Trading

Subjective biases and errors systematically affect market equilibria, whether at the population level or in bilateral trading. Here, we consider the possibility that an agent engaged in bilateral trading is mistaken about her own value of the good she expects to trade. Although it may sound paradoxical that a subjective private valuation is something an agent can be mistaken about, as it is up to her to fix it, we consider the case in which that agent, seller or buyer, consciously or not, given the structure of a market, a type of goods, and a temporary lack of information, may, more or less consciously, state an erroneous valuation. The typical context through which this possibility may arise is in relation with so-called experience goods which are sold while all their intrinsic qualities are still unknown (like, e.g. untasted bottled fine wines). We model that “private misvaluation” phenomenon. The agents can also be mistaken about how their exchange counterparts are themselves mistaken. We analyse and simulate the consequences of first-order and second-order private misvaluation on market equilibria and bubbles, and notably focus on the context where the second-order expectations about the other agent’s misvaluation are not met

Values and economic performance across European welfare state regimes: Direct and indirect effects through social capital, human capital and managerial skills.

The values that people hold are linked to their economic performance. These links can be either direct or indirect, operating through moderating variables such as social network participation, interpersonal trust, trust in institutions, human capital, managerial skills and hours worked. In this paper these effects are studied using structural equation modelling (SEM) methodology applied to European Social Survey data from 28 European countries in 2018. Schwartz classification of values is used, distinguishing between Self-Enhancement (Power, Achievement), Openness to Change (Self-Direction), Conservation (Tradition, Security, Conformity) and Self-Transcendence (Universalism, Benevolence) values. It is found that Power has the strongest positive direct effect on economic performance, further strengthened by a positive indirect structural effect through hours worked. Self-Direction is indirectly positively linked to economic performance through higher managerial skills and hours worked. Tradition has a strong negative direct effect on economic performance. Security is indirectly negatively linked with economic performance, owing to its negative effects on interpersonal trust, management skills and hours worked. Some of the identified effects are context-dependent and vary across European welfare state regimes. For example, Power is statistically significantly linked to economic performance only in the liberal and conservative regime. Values promoted by respective welfare state regimes are not necessarily associated with higher incomes within those regimes, e.g., Tradition and Security values promoted in the conservative and Mediterranean regime are associated with lower incomes. These findings may lead to a range of policy implications, particularly in relation to the policies on immigration, demographics, the labor market, and work-life balance. Unfortunately, due to the cross-sectional character of the dataset, causal relations among the variables of interest could not be identified

Global risks of infectious disease outbreaks and its relation to climate

Infectious disease outbreaks are recurring events which can lead to a large number of fatalities every year. Infectious disease outbreaks occur infrequently and the role of global warming and modes of climate variability for those outbreaks is not clear. Here we use an extreme value statistics approach to examine annual spatially aggregated infectious disease fatality data to compute their probability to occur using generalized Pareto distribution (GPD) models. The GPD provides a good model for modeling the fatality data and reveals that the number of fatalities follows a power-law. We find that the magnitude of Covid-19 is of an expected level given previous fatality data over the period 1900-2020. We also examined whether including co-variates in the GPD models provide better model fits. We find evidence that a pure linear trend is the best co-variate and, thus, has increased the propensity of large outbreaks to occur for most continents and world-wide. This suggests that mainly non-climate factors affect the likelihood of outbreaks. This linear trend function provides a crude representation of socio-economic trends such as improved public health. However, for South America the Atlantic multidecadal oscillation modulates the outbreak propensity as the best co-variate, showing that climate can play some role in infectious disease outbreaks in some regions.11Nsciescopu