Changes in the size and the age structure of a population have a great impact on an economy, especially on national savings and capital flows. Poland’s population, although still relatively young when compared to other developed countries, is expected to experience accelerated ageing and decline in forthcoming decades. In this paper, we assess the effects of these processes for Polish economy. Using an open-economy OLG model with demographic shocks and a variable retirement age, we simulate dynamics of real interest rates, main macro aggregates as well as net foreign assets to GDP. We show that rapid ageing will reduce the interest rate gap between Poland and the developed countries by 1.3-2 p.p. We also document a strong positive relationship between interest rates and the retirement age and find that the decline in the interest rate in Poland is primarily driven by the surviving probability shock
The aim of the study is to discuss the relationship of the crude oil price, speculative activity and fundamental factors. An empirical study was conducted with a VEC model. Two cointegrating vectors were identified. The first vector represents the speculative activity. We argue that the number of short non-commercial positions increases with the crude oil stock and price, decreases with the higher number of long non-commercial positions. A positive trend of crude oil prices may be a signal for traders outside the industry to invest in the oil market, especially as access to information could be limited for them. The second vector represents the crude oil price under the fundamental approach. The results support the hypothesis that the crude oil price is dependent on futures trading. The higher is a number of commercial long positions, the greater is the pressure on crude oil price to increase.
The paper considers a private ownership economy in which economic agents could realize their aims at given prices, Walras Law is satisfied but agents’ optimal plans of action do not lead to an equilibrium in the economy. It means that the market clearing condition is not satisfied for agents’ optimal plans of action. In this context, the paper puts forward three specific adjustment processes resulting in equilibrium in a transformation of the initial economy. Specifically, it is shown, by the use of strict mathematical reasoning, that if there is no equilibrium in a private ownership economy at given prices, then, under some natural economic assumptions, after a mild evolution of the production sector, equilibrium at unchanged prices can be achieved.
In this paper we develop an open-economy endogenous growth model to examine the influence of fiscal policy on the economy in the long run. We allow for public deficit and 5 types of taxes. One of the novel features is separate treatment of interest rates on public and private debt, both of which are linear functions of appropriate debt-to-GDP ratios. Two extreme situations are analyzed: a model of “decentralized economy”, where economic agents do not take into account any externalities, and a model of “benevolent social planner”. We derive the rules of optimal fiscal policy that induce economic agents to internalize all externalities. Theoretical results are illustrated with an empirical analysis for Poland. The optimal values of several fiscal policy instruments for Poland are calculated.
The main goal of this paper is to propose the probabilistic description of cyclical (business) fluctuations. We generalize a fixed deterministic cycle model by incorporating the time-varying amplitude. More specifically, we assume that the mean function of cyclical fluctuations depends on unknown frequencies (related to the lengths of the cyclical fluctuations) in a similar way to the almost periodic mean function in a fixed deterministic cycle, while the assumption concerning constant amplitude is relaxed. We assume that the amplitude associated with a given frequency is time-varying and is a spline function. Finally, using a Bayesian approach and under standard prior assumptions, we obtain the explicit marginal posterior distribution for the vector of frequency parameters. In our empirical analysis, we consider the monthly industrial production in most European countries. Based on the highest marginal data density value, we choose the best model to describe the considered growth cycle. In most cases, data support the model with a time-varying amplitude. In addition, the expectation of the posterior distribution of the deterministic cycle for the considered growth cycles has similar dynamics to cycles extracted by standard bandpass filtration methods.
The primary goal of the study is to diagnose satisfaction and loyalty drivers in Polish retail banking sector. The problem is approached with Customer Satisfaction Index (CSI) models, which were developed for national satisfaction studies in the United States and European countries. These are multiequation path models with latent variables. The data come from a survey on Poles’ usage and attitude towards retail banks, conducted quarterly on a representative sample. The model used in the study is a compromise between author’s synthesis of national CSI models and the data constraints. There are two approaches to the estimation of the CSI models: Partial Least Squares – used in national satisfaction studies and Covariance Based Methods (SEM, Lisrel). A discussion is held on which of those two methods is better and in what circumstances. In this study both methods are used. Comparison of their performance is the secondary goal of the study.
In this paper we show that in the lognormal discrete-time stochastic volatility model with predictable conditional expected returns, the conditional expected value of the discounted payoff of a European call option is infinite. Our empirical illustration shows that the characteristics of the predictive distributions of the discounted payoffs, obtained using Monte Carlo methods, do not indicate directly that the expected discounted payoffs are infinite.
In this paper we present the Bayesian model selection procedure within the class of cointegrated processes. In order to make inference about the cointegration space we use the class of Matrix Angular Central Gaussian distributions. To carry out posterior simulations we use an alorithm based on the collapsed Gibbs sampler. The presented methods are applied to the analysis of the price – wage mechanism in the Polish economy.