Modelling and Forecasting Business Cycle in CEE Countries using a Threshold Approach

We propose to apply a time-series-based nonlinear mechanism in the threshold autoregression (TAR) form in order to examine business cycles in Central and Eastern European economies and compare them to the entire EU business cycle. The threshold variables, such as consumer price index, short and long interest rates, unemployment rate and an exchange rate vs. the U.S. Dollar, have been considered. The purpose of the paper is to model and to predict business cycles in Central and East European (CEE) economies (the EU Member States) and compare them to business cycles of the entire EU28 area and Eurozone EU19. We found that the exogenous mechanism played an important role in diagnosing the phases of business cycles in CEE economies, which is in line with the entire EU economic area. The results of business cycle forecasting using bootstrap technique are quite promising, while bootstrap confidence intervals are used for diagnosis

Automatyczna procedura budowy specyfikacji zgodnego dynamicznego modelu ekonometrycznego w oprogramowaniu Gretl

In the last years we can observe intensive development of automatic model selection procedures. Best known are PcGets and RETINA. Such intensive work encourage to work on a new procedures. The concept of Congruent Modelling, formulated by Prof. Zygmunt Zieliński, is a very good framework for such development, including programming work, as well as many theoretical considerations. In the paper we present our concept of algorithm for automatic congruent modelling procedure and propose it's implementation in Gretl.W artykule podjęto próbę budowy automatycznej procedury specyfikacji pełnego zgodnego dynamicznego modelu ekonometrycznego w implementacji dla oprogramowania GRETL. Wykorzystując koncepcje modelowania zgodnego autorstwa prof. Z. Zielińskiego zbudowano algorytm postępowania w badaniu parametrów elementów wewnętrznej struktury wykorzystywanych procesów

The Role of the Financial Engineering Instruments in the Allocation of EU Funds – the Results of the Research Based on the Example of the Kuyavian-Pomeranian Voivodship

The aim of the paper is to present the role of the financial engineering instruments and their implementation in the 2014-2020 financial perspective based on the example of kuyavian-pomeranian voivodeship. The analysis has been based on the reference books on the subject as well as on the results of own research based on the survey questionnaire carried out among the enterprises in the kuyavian-pomeranian voivodeship titled: The perspectives of the utilization of the EU funds in the form of the returnable instruments by the enterprises in the kuyavian-pomeranian voivodeship for the 2014-2020 financial perspective. The advantages of the financial engineering instruments speak in favor of the amplification of their share in financing within the European Union Funds. However, it shall not mean giving up on subsidies which are indispensable for the financing of various projects. The decision whether to apply the returnable or subsidized financing of the specific undertakings shall be preceded by a detailed analysis, which enables to identify the financial gap in the given sector requiring support.Maciej Tokarski: [email protected]ł Kufel: [email protected] Tokarski - Doctor, Assistant professor at Institute of Finance, Faculty of Finance and Management, WSB University in Toruń, Poland.Paweł Kufel - Doctor, Assistant professor at Institute of Management, Faculty of Finance and Management, WSB University in Toruń, Poland.Maciej Tokarski - WSB University in ToruńPaweł Kufel - WSB University in ToruńBera, A., Tokarski, M.: Zaawansowane usługi wsparcia dla mikro, małych i średnich przedsiębiorstw w ramach regionalnych programów operacyjnych na przykładzie województw zachodniopomorskiego i kujawsko-pomorskiego – jak zwiększyć szansę na otrzymanie dotacji? (Advanced support services for micro, small and medium enterprises within the framework of regional operational programs on the example of the Zachodniopomorskie and Kujawsko-Pomorskie voivodships – how to increase the chance of receiving grants?), Zeszyty Naukowe Uniwersytetu Szczecińskiego (Scientific Papers of the University of Szczecin) no. 81 (2012).Bobrowska, M.: Fundusze Europejskie w formie pomocy zwrotnej (European funds in the form of repayable aid), Fundusze Europejskie w Polsce (European Funds in Poland) no. 31 (2013).Czykier-Wierzba, D.: Inicjatywa Jeremie w polityce spójności Unii Europejskiej na lata 2007-2013 i jej funkcjonowanie w Polsce (Jeremie’s initiative in cohesion policy of the European Union for 2007-2013 and its functioning in Poland), Journal of Management and Finance no. 2 (2013).Czykier-Wierzba, D.: Wpływ strategii “Europa 2020” na politykę spójności w Unii Europejskiej w wieloletnich ramach finansowych na lata 2014–2020 i wnioski dla Polski (Impact of the Europe 2020 strategy on cohesion policy in the European Union in the Multiannual Financial Framework 2014-2020 and conclusions for Poland), Journal of Management and Finance no. 14 (2016).Dobija, E.: Geneza i istota funkcjonowania zwrotnych instrumentów finansowania małych i średnich przedsiębiorstw w Polsce ze środków unijnych: przypadek Jeremie (The origin and essence of the functioning of repayable instruments of financing small and medium enterprises in Poland from EU funds: case of Jeremie), Studia i Prace Kolegium Zarządzania i Finansów SGH w Warszawie (Studies and Works of the Collegium of Management and Finance of the Warsaw School of Economics) no. 139 (2014).Gawrychowski, M.: Pożyczka zamiast dotacji czyli rozmnażanie euro (Loans instead of subsidies – the multiplication of the euro), 2017. www.m.obserwatorfinansowy.pl.Jaworski, J., Tokarski, M.: Inicjatywa JEREMIE jako forma wsparcia rozwoju mikro, małych i średnich przedsiębiorstw na przykładzie województwa pomorskiego i kujawskopomorskiego (The JEREMIE initiative as a form of support for the development of micro, small and medium enterprises on the example of the Pomeranian and Kujawsko-Pomorskie voivodships), Zeszyty Naukowe Uniwersytetu Szczecińskiego (Zeszyty Naukowe Uniwersytetu Szczecińskiego) no. 111 (2014).Nicolaides, P.: Financial Engineering Instruments and their Assessment Under EU State Aid Rules. College of Europe, Department of European Economic Studies, Bruges European Economic Policy Briefings no. 26 (2013).Pełka, W.: Rola instrumentów inżynierii finansowej w alokacji funduszy Unii Europejskiej (The role of financial engineering instruments in the allocation of European Union funds), Studia Biura Analiz Sejmowych (Studies of the Sejm Analysis) no. 31 (2012).Szczepański, M.: Pozadotacyjne instrumenty finansowe w polityce spójności UE po 2013 r. – wymiar wspólnotowy i krajowy (Adopted financial instruments in EU cohesion policy after 2013 – international and national dimension), Warszawa: Ministerstwo Rozwoju Regionalnego, 2011.Świstak, M.: Fundusze unijne na lata 2014-2020: programowanie na poziomie unijnym i krajowym (EU funds for 2014-2020: programming at EU and national level), Unia Europejska.pl no. 224 (2014).Tokarski, A., Tokarski, M.: Barriers and Benefits of Financing projects with European Funds by micro, small, and medium-sized enterprises (MSMEs) in Poland, Journal of Management and Financial Sciences no. 21 (2015).Tokarski, M., Konieczka, T.: Działalność inwestycyjna wsparta dotacjami unijnymi a pozycja finansowa przedsiębiorstwa (Investment activity supported by EU grants and financial position of the company), in: Sojaka, S. (eds.): Rachunkowość. Dylematy praktyki gospodarczej (Accounting. Dilemmas of economic practice), Toruń: Wydawnictwo Naukowe Uniwersytetu Mikołaja Kopernika, 2012.Tokarski, M., Tokarski, A.: Zwiększenie dostępności źródeł finansowania dla sektora mikro, małych i średnich przedsiębiorstw województwa kujawsko-pomorskiego w latach 2007-2013 poprzez fundusz powierniczy JEREMIE (Increasing the availability of financing sources for micro, small and medium enterprises of the Kujawsko-Pomorskie voivodship in the years 2007-2013 through the trust fund JEREMIE), Roczniki Naukowe Wyższej Szkoły Bankowej w Toruniu (Annals School of Banking in Toruń) no. 12 (2013).Uryga, J., Jagielski, W., Bienias, I.: Środki unijne – klasyfikacja, funkcjonowanie, ewidencja i rozliczanie (EU funds – classification, functioning, accounting and settlement), Gdańsk: Ośrodek Doradztwa i Doskonalenia Kadr Sp. z o.o., 2007.EU: Council Regulation (EC) no. 1083/2006 laying down general provisions on the European Regional Development Fund, the European Social Fund and the Cohesion Fund, and repealing Regulation (EC) no. 1260/1999.EU: Regulation (EC) no. 1081/2006 of the European Parliament and of the Council on the European Social Fund and repealing Regulation (EC) no. 1784/1999.EU: Commission Regulation (EC) no. 1828/2006 laying down detailed rules for the implementation of Council Regulation (EC) no. 1083/2006 laying down general provisions on the European Regional Development Fund, the European Social Fund and the Cohesion Fund as well as Regulation (EC) no. 1080/2006 of the European Parliament and of the Council on the European Regional Development Fund.EU: Regulation (EU) no. 1303/2013 of the European Parliament and of the Council of 17 December 2013 laying down common provisions on the European Regional Development Fund, the European Social Fund, the Cohesion Fund, the European Agricultural Fund for Rural Development and the European Maritime and Fisheries Fund, as well as laying down general provisions on the European Regional Development Fund, the European Social Fund, the Cohesion Fund and the European Maritime and Fisheries Fund, and repealing Council Regulation (EC) no. 1083/2006.PL: Regulation of the Minister of Regional Development of 26 October 2011 on the financial aid from the financial engineering instruments under the Regional Operational Programmes.20722

Business Cycle Synchronization in EU Economies after the Recession of the Years 2007-2009

The aim of the study is to evaluate business cycle synchronization in the EU economies including determination of the impact of the global financial and economic recession of the years 2007-2009. In general, the economic recession can be understood as one of the phase of the global business cycle because all countries had suffered somehow from this enormous collapse. It is commonly assumed that GDP series in constant prices measure both: business activity and business cycle. In the presented research seasonally adjusted quarterly GDP series from the years 1995-2012 were analyzed. We proposed to apply the tools of cross-spectral analysis such as coherence, phase and amplitude of the specified frequencies taking into account the time window of 48 quarters. Such a procedure allows indicating a rapid change in business cycle synchronization conditionally on the period of the analysis that includes the years 2007-2009. The empirical findings show that the assumption of business cycle synchronization within the EU was confirmed for the strongest economies of the European Union like Germany, Great Britain or France. Moreover, Poland and Spain can also be included to the club of synchronized economies. Other EU economies, like Hungarian, Italian and Portugal were less synchronized with the EU business cycle, although in the period of crisis they were closer to the whole economic area. For the non-EU countries, significantly weaker synchronization with the EU was observed. The hypothesis that the financial crisis caused similarities in the business cycle paths of the EU countries and the USA was confirmed, while for Japan and Switzerland it could not be confirmed in the light of the obtained results

Business Cycle Synchronization in EU Economies after the Recession of the Years 2007-2009

The aim of the study is to evaluate business cycle synchronization in the EU economies including determination of the impact of the global financial and economic recession of the years 2007-2009. In general, the economic recession can be understood as one of the phase of the global business cycle because all countries had suffered somehow from this enormous collapse. It is commonly assumed that GDP series in constant prices measure both: business activity and business cycle. In the presented research seasonally adjusted quarterly GDP series from the years 1995-2012 were analyzed. We proposed to apply the tools of cross-spectral analysis such as coherence, phase and amplitude of the specified frequencies taking into account the time window of 48 quarters. Such a procedure allows indicating a rapid change in business cycle synchronization conditionally on the period of the analysis that includes the years 2007-2009. The empirical findings show that the assumption of business cycle synchronization within the EU was confirmed for the strongest economies of the European Union like Germany, Great Britain or France. Moreover, Poland and Spain can also be included to the club of synchronized economies. Other EU economies, like Hungarian, Italian and Portugal were less synchronized with the EU business cycle, although in the period of crisis they were closer to the whole economic area. For the non-EU countries, significantly weaker synchronization with the EU was observed. The hypothesis that the financial crisis caused similarities in the business cycle paths of the EU countries and the USA was confirmed, while for Japan and Switzerland it could not be confirmed in the light of the obtained results

Business Cycle Synchronization in EU Economies after the Recession of the Years 2007-2009

The aim of the study is to evaluate business cycle synchronization in the EU economies including determination of the impact of the global financial and economic recession of the years 2007-2009. In general, the economic recession can be understood as one of the phase of the global business cycle because all countries had suffered somehow from this enormous collapse. It is commonly assumed that GDP series in constant prices measure both: business activity and business cycle. In the presented research seasonally adjusted quarterly GDP series from the years 1995-2012 were analyzed. We proposed to apply the tools of cross-spectral analysis such as coherence, phase and amplitude of the specified frequencies taking into account the time window of 48 quarters. Such a procedure allows indicating a rapid change in business cycle synchronization conditionally on the period of the analysis that includes the years 2007-2009. The empirical findings show that the assumption of business cycle synchronization within the EU was confirmed for the strongest economies of the European Union like Germany, Great Britain or France. Moreover, Poland and Spain can also be included to the club of synchronized economies. Other EU economies, like Hungarian, Italian and Portugal were less synchronized with the EU business cycle, although in the period of crisis they were closer to the whole economic area. For the non-EU countries, significantly weaker synchronization with the EU was observed. The hypothesis that the financial crisis caused similarities in the business cycle paths of the EU countries and the USA was confirmed, while for Japan and Switzerland it could not be confirmed in the light of the obtained results

Model simplification and variable selection: A Replication of the UK inflation model by Hendry (2001)

In this paper, we revisit the well-known UK inflation model by Hendry (Journal of Applied Econometrics 2001, 16:255-275. doi: 10.1002/jae.615). We replicate the results in a narrow sense using the gretl and PcGive programs. In a wide sense, we extend the study of model uncertainty using the Bayesian averaging of classical estimates (BACE) approach to compare model reduction strategies. Allowing for the investigation of other specifications, we confirm the same set of significant determinants but find that Hendrys' model is not the most probable

Model simplification and variable selection: A Replication of the UK inflation model by Hendry (2001)

In this paper, we revisit the well-known UK inflation model by Hendry (Journal of Applied Econometrics 2001, 16:255-275. doi: 10.1002/jae.615). We replicate the results in a narrow sense using the gretl and PcGive programs. In a wide sense, we extend the study of model uncertainty using the Bayesian averaging of classical estimates (BACE) approach to compare model reduction strategies. Allowing for the investigation of other specifications, we confirm the same set of significant determinants but find that Hendrys' model is not the most probable