Magdalena Osińska

Wykorzystanie modeli równań strukturalnych do opisu psychologicznych mechanizmów podejmowania decyzji na rynku kapitałowym

In the last years, mainly in the period of the financial crisis, a raising interest in behavioural finance could be observed. It has been pointed out that behavioural inclinations strongly influence the process of decision-making at capital market. The behavioural factors are understood here as noisy variables that disturb a process of proper investment decision-making. The paper concerns the verification of chosen elements of the behavioural finance theory on the basis of polling, with application of a structural equation model (SEM). The purpose of the paper is to identify and to describe the possible behavioural inclinations as well as to verify the hypothesis of that how much they influence the individual investors’ risk propensity.

On the Interpretation of Causality in Granger’s Sense

The concept of causality formulated in 1969 by C.W.J. Granger is mostly popular in the econometric literature. The central assumption of the concept is the fact that the cause precedes the effect and can help in forecasting the effect. Years of application of Granger causality idea have resulted in many misunderstandings related with the interpretation of the empirical findings. The paper focuses on systematization of the definitions based on Granger concept and their proper interpretation.

Identification of Heuristics in the Process of Decision Making on Financial Markets

In the chapter we focus on the behavioral determinants of the decision-making process on financial markets. The aim of the research is to indicate and discuss an experiment as a method of identification of behavioral heuristics from the perspective of an investor’s attitude toward risk. The experimental studies are considered on the basis of such behavioral models as the LSV model, the BSV model and other. When the experiment has been completed, an appropriate method of analysis of the interrelations between identified factors is a Structural Equation Model, which is rather rarely applied in behavioral finance but is widely known in empirical psychology.

Examples of Experiments in Macroeconomics

The considerations in the chapter are related to the examples of experiments that were conducted in macroeconomics in various economic areas, in different periods and under different conditions. Due to the specific characteristics of macroeconomics, these are mainly natural experiments and model-based experiments, comparable to laboratory experiments. The subject matter is very promising and gives some insights into the usefulness and possible applications of the so-called “experimental macroeconomics”.

Concept and Inference Based on Experiments in Economics

The chapter concerns the concept of experimentation in economics. The perspective of economic methodology is taken as a starting point for the experiment design. Then types of experiments are discussed along with their advantages and disadvantages. The role of the concept of causality in experimentation in economics is pointed out. A natural experiment is of our main interest. Hence, the methods of inference within natural experiments are briefly discussed. Some examples illustrate the methodological background.

PERFORMANCE OF AMERICAN AND RUSSIAN JOINT STOCK COMPANIES ON FINANCIAL MARKET. A MICROSTRUCTURE PERSPECTIVE

This paper compares the periods before and after the Ukrainian crisis of 2014 from the perspective of market microstructure. The hypothesis is that the crisis influenced the fragile Russian financial market equilibrium. As financial markets adapt to the new equilibrium, the paper studies the effects of the crisis and the imposition of economic sanctions on Russia in terms of volatility, duration, prices and volume for selected joint stock companies listed on the U.S. and the Russian stock markets. Results reveal that the Moscow Stock exchange lacks an appropriate transmission mechanism from informed investors to the rest of the market.

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.

Analiza przyczynowości w długim i krótkim okresie w modelu popytu na pieniądz

The purpose of the article is to analyse the Granger causality problem in the long as well as short run. The straightforward relation of the mentioned concept with direct and indirect cause ideas has beaen emphasized. The testing procedure proposed in Dufour et al. (2003) was used to search for causality in the long and short run in the quarterly model of demand for money inPolandin 1997–2007. The model was constructed on the basis of cointegration concept. Causality analysis shows that the empirical model remains in agreement with economic theory.

Rynkowe i instytucjonalne uwarunkowania cen paliw i ich wpływ na rozwój transportu drogowego w Polsce w latach 2004–2008

International transport of goods by road is one of the most dynamically developing sectors of the econo my in Poland in recent years. However, this process was subjected to permanent economic determinants changes that had signifi cantly affected economic effectiveness of Polish road transport undertakings. The basic reasons for the decrease of their effectiveness lie in signifi cant currency rates changes and permanent transport cost increase resulting from the fuel price changes. The aim of the paper is to determine tendencies in the fuel price changes observed on domestic and international markets in the period between January 2004 and October 2008 as well as to analyse the fi scal conditions in the EU and their infl uence on the cost of performance of road transport undertakings.

Modelling and Forecasting the GDP Structure of Polish and Estonian Economies in Transition Period Using Markov Chains

The paper aims to analyse structural changes in the GDP in Poland and Estonia in 1994 — 2000, observed quarterly. The objective of the research is mainly empirical and concerns the structure of the GDP divided into the exports and the internal usage.