 | FindEcon monograph series: Advances in financial market analysis. Financial markets: principles of modelling, forecasting and decision-making. N 4 / ed. by W.Milo, G.Szafrański, P.Wdowiński. - Łódź: Łódź University Press, 2007. - 160 p. - Incl. bibl. ref. - ISBN 978-83-7525-161-6
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Introduction (Władysław Milo, Piotr Wdowiński and
Grzegorz Szafrański) ............................................ 5
Part One: Modelling Interest Rates and Exchange Rates
1 Notes on Forecasting Equilibrium Interest Rates -
Commercial Credit Market (Władysław Milo and Magdalena
Rutkowska) ................................................... 9
1.1 Introduction ............................................ 9
1.2 Equilibrium Interest Rate .............................. 10
1.3 Empirical Results ...................................... 12
1.4 Summary ................................................ 20
Appendix .................................................... 21
References .................................................. 22
2 Structural Breaks and Long Memory in the Volatility of
Polish Exchange Rates (Małgorzata Doman) .................... 25
2.1 Introduction ........................................... 25
2.2 FIGARCH and MS-FIGARCH ................................. 26
2.3 The Data ............................................... 29
2.4 Empirical Results ...................................... 30
2.5 Conclusions ............................................ 39
References .................................................. 40
3 A Note on the Dornbusch Overshooting Model under Nominal
and Real Interest Rates (Piotr Wdowiński) ................... 41
3.1 Introduction ........................................... 41
3.2 Literature Review ...................................... 42
3.3 The Dornbusch Model .................................... 47
3.4 Simulation of Monetary Expansion ....................... 55
3.5 Conclusions ............................................ 58
References .................................................. 59
4 Are the Multifractal Properties of Exchange Rates Robust?
(Vahidin Jeleskovic) ........................................ 61
4.1 Introduction ........................................... 61
4.2 Multifractality ........................................ 62
4.3 Empirical Findings ..................................... 65
4.4 Modelling Multifractality .............................. 68
4.5 Analysis of Robustness ................................. 69
4.6 Conclusions ............................................ 73
References .................................................. 74
Part Two: Financial Markets and Microeconomic Foundations
5 What Makes Speculators Trade More Often? Empirical
Analysis on the TSE Data (Timur Yusupov and Elena
Yusupova) ................................................... 77
5.1 Introduction ........................................... 77
5.2 Methodology and Data Description ....................... 79
5.3 Results ................................................ 84
5.4 Conclusions and Discussion ............................. 88
Appendix A: Revealed Transaction Costs ...................... 90
Appendix В: Grid Search Analysis of Optimal Timing for
Reinvestment Decisions .......................... 92
References .................................................. 96
6 Beta Estimation, Forecasting and Convergence (Janusz
Brzeszczyński and Jerzy Gajdka) ............................. 99
6.1 Introduction ........................................... 99
6.2 Beta Convergence ...................................... 100
6.3 Database .............................................. 102
6.4 Estimation of Beta Coefficients ....................... 102
6.5 Empirical Results ..................................... 103
6.6 Conclusions ........................................... 109
References ................................................. 109
7 The Interest Rate Pass-Through in Poland 1997-2005
(Grzegorz Szafrański) ...................................... 111
7.1 Interest Rate Pass-Through in Emerging Market
Economies ............................................. 111
7.2 Testing Interest Rate Pass-Through in Error
Correction Framework .................................. 113
7.3 Polish Banking Industry: Aggregated Data and
Structural Changes .................................... 116
7.4 Results of Linear ECM and Non-Linear ECM-TAR .......... 119
7.5 Conclusions ........................................... 123
References ................................................. 123
Part Three: Modelling Inflation and Unemployment
8 Inflation Expectations and Regime Shifts (Matti Viren) ..... 127
8.1 Introduction .......................................... 127
8.2 Analytical Framework .................................. 128
8.3 Results ............................................... 139
8.4 Concluding Remarks .................................... 141
References ................................................. 142
9 Estimation of Steady State Equilibrium Path for Polish
Economy in Years 1990-2005 (Stanisław Kluza and Sebastian
Stolorz) ................................................... 143
9.1 Introduction and Basic Assumptions .................... 143
9.2 The Steady State Path as Modelled by a Dynamic
System of Equations ................................... 144
9.2.1 Profit Maximization ............................ 144
9.2.2 Consumer's Behavior ............................ 144
9.2.3 Monetary Policy ................................ 146
9.2.4 Market Equilibrium ............................. 146
9.2.5 Dynamic System ................................. 148
9.2.6 Data ........................................... 148
9.3 Approximation of the Steady State Path Using a VAR
Analysis .............................................. 150
9.3.1 Initial Approximation of the Steady State
Path ........................................... 150
9.3.2 Determination of the Relations Between
Series ......................................... 151
9.3.3 VAR Specification .............................. 152
9.3.4 Re-estimation of the Inflationary Pressure ..... 153
9.3.5 The Replicated Steady State Path ............... 155
9.4 Results ............................................... 156
9.5 Conclusions ........................................... 159
References ................................................. 159
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