Henryk Gurgul

On Hypothesis about the Second Eigenvalue of the Leontief Matrix

If an arbitrarily positive eigenvector is repeatedly premultiplied by a positive matrix, then the result tends towards a unique, positive (Frobenius) eigenvector. Brady has demonstrated that the expected absolute magnitude of the estimate of the second largest eigenvalue of a positive random matrix (with identically and independently distributed entries) declines monotonically with the increasing size of the matrix. Hence, the larger the system is, the faster is the convergence. Molnar and Simonovits examined Bradys conjecture in the case where entries of a stochastic matrix are close to 1/n. We prove this hypothesis for any stochastic and positive matrix.

The relationship between budgetary expenditure and economic growth in Poland

This paper investigates the association between different kinds of budgetary expenditure and economic growth of Poland. The empirical analysis makes use of linear and nonlinear Granger causality tests to evaluate the applicability of Wagner’s Law and that of the contrasting Keynesian theory. We employ aggregate and disaggregate data with the sub-categories of most important budgetary expenditure, including health care and social security, education and science, national defence and public security expenditure and government administration expenditure for the period Q1 2000 to Q3 2008. This causality analysis indicates that total relation between budgetary expenditure and economic growth is consistent with Keynesian theory. The results of our computations have important policy implications. In case of Poland the health care expenditure was found to be as important for economic growth as expenditures on education and science. Furthermore, in order to stimulate economic growth, Polish government should consider reallocating some of national defence, public security and government administration expenditure to health care, social security, education and science expenditure.

Application of Maximum Entropy Principle in Key Sector Analysis

In this article, the results of a study by the authors that involved analyses of the key sectors in the Polish economy are presented. A maximum entropy decomposition of the Leontief inverse has been applied to Polish input-output tables for 1970-1990.

Input–Output Models with Stochastic Matrices and Time Lags

In this paper, the random balanced growth factor to forward-lag-type and mixed-lag-type input–output (IO) models is considered. The instability of IO and capital matrices is taken into account by stochastic methods. Exact and approximate characteris-tics of stochastic solutions are given.

ON THE ECONOMIC INTERPRETATION OF THE BRÓDY CONJECTURE

The aim of the paper is to study the economic aspects of the Bródy conjecture: an increase in the size of a (random) input matrix causes a decline in the ratio of its subdominant and dominant eigenvalues and implies faster convergence to equilibrium [Bródy, A. (1997) The Second Eigenvalue of the Leontief Matrix. Economic Systems Research, 9, 253–258]. Simulation results provide evidence that this ratio depends inversely on the level of data aggregation and can therefore not be a good indicator of the speed of convergence of an economy to its equilibrium path. We show that this is consistent with findings based on actual input–output tables of EU member states. These results imply that theorems about the speed of convergence of random matrices are not useful in describing the cyclical dynamics of real economies.

Simulating evolution of interindustry linkages in endogenous dynamic IO model with layers of techniques

In this article, we propose a new version of dynamic input–output model in which both technological progress and deployment are endogenous, and where sector‐specific outlays on R&D speed up the development of new technologies and the installation of capital stock. In this two‐technology model, the new and old technical processes within a sector exchange their relative weights in production. We use the model to obtain projections of the interindustry linkages of sectors in the Polish economy over the next 50 years. The results of this simulation suggest an ongoing change of the composition of the set of key sectors of the Polish economy. In general, one may expect to see an ongoing drop in the importance of agriculture‐ and heavy‐industry‐related sectors on the one hand, and a rise in the importance of services‐related ones on the other.

Capital Market Efficiency — An Empirical Analysis of the Dividend Announcement Effect for the Austrian Stock Market

This study investigates the effects of dividend announcements using data from the Austrian stock market. Abnormal returns are established as the difference between actual returns and predicted returns generated from time series models. We use the model of expected dividends, where expectations are based on prior dividends. Our results provide evidence that announced dividend changes convey new information to the market as stock prices move in the same direction as dividends. In addition, the speed of stock price reaction to the new information provides a test of the semistrong form of the efficient capital market hypothesis.

Some remarks on a social network approach to identifying key sectors

ABSTRACT Ostensibly, certain adaptations of social network theory extend and improve the traditional key-sector approaches. Our analysis of the underlying algebraic properties shows that a social-network-based approach proposed by García Muñiz et al. [(2008) Key Sectors: A New Proposal from Network Theory. Regional Studies, 42, 1013–1030] does not relate final demand and output in ways comparable to key-sector measures that are based on the static Leontief input–output model. Using the most recent IO table for Poland we show that the modified approach can lead to spurious empirical results and, as a consequence, to false policy implications.

The impact of asynchronous trading on Epps effect on Warsaw Stock Exchange

The main goal of the analysis is the verification of whether asynchrony in transaction times is a considerable cause of the Epps effect on the Warsaw Stock Exchange among the most liquid assets. A method for compensating for the impact of asynchrony in trading on the Epps effect is presented. The method is easily applicable. Calculations are made using the exact time of transactions and prices of the assets. The estimation is not biased by intervals during which no transactions have taken place. Among all the analyzed stock pairs, asynchrony turns out to be the main cause of the Epps effect. However, the corrected correlation estimator seems to be more volatile than the regular estimator of the correlation. The presented analysis can be reproduced for the same data or replicated for another dataset; all R codes used in the process of writing this article are available upon request. The main novelty/value added of this paper is the application to an emerging market of a new method for compensating for asynchrony in trading.

Modeling dependence structure among European markets and among Asian-Pacific markets: a regime switching regular vine copula approach

This paper investigates the structure of dependence among twelve European markets and among twelve Asian-Pacific markets. The dynamic of the dependence structure is described by a two-state regime switching model. The dependence structure during a bull phase is modelled by the Gaussian copula, while dependence during a bear phase is modelled by the regular vine copula. We analyze the regular vine structure in the second regime precisely. We perform a simplification procedure using a likelihood-ratio test and discuss the substitution of general regular vines by canonical vines or drawable vines. The analysis confirms the two-state nature of financial markets in addition to asymmetric and heavy-tailed dependences. Additionally, the European market has proven to be more strongly connected than the Asian-Pacific market, and European dependences are deeper in terms of conditional dependences. The results can be used by international investors by taking into account differences of both analyzed regions. Additionally, the analysis may help with the crisis prediction. The shift time to the market phase describing crisis times occurs significantly before the crisis itself.