Polish Stabilization: What can we learn from the I(2) Cointegration Analysis?

This paper investigates an array of nominal systems for the Polish economy, of domestic price level, import prices, exchange rates, money stock, nominal wages, and real output, and conducts I(1) and I(2) cointegration analyses. Post-stabilization monthly data are used, 1991:5–1999:12.A test for the presence of a price-wage spiral is performed, and the stabilization package is compared to its realization. The long-run homogeneity hypothesis, the impact of monetary and incomes policies, and of external sector variables on long and medium run price development are studied. It is found that in Poland, contrary to some earlier studies, the external sector is not important for the long run price development. On the contrary, very strong evidence is found of the cost-push inflation.     

Price-wage dynamics in a transition economy: The case of Poland

In this paper we analyse the wage-price relationship of an economy in transition characterized by important structural changes. It is known (see Perron, 1989) that structural breaks in stationary time series can induce apparent unit roots. The stationarity analysis of the series employed in the present model is conducted jointly with the assumption that the breakpoint location is unknown. We follow a testing procedure recently proposed by Zivot and Andrews (1992). Cointegration analysis of wages and prices in the presence of structural breaks finds empirical evidence in favour of two cointegrating vectors involving prices and wages. Our analysis focuses on the different structural behaviour of the price-wage dynamic relationship in the short and long term; we also demonstrate the relative importance of import prices as a source of wage-price fluctuations.     

Wage and Price Inflation in Poland in the Period of Transition: The Cointegration Analysis

The paper focuses on the long run relationships between wages, prices and labour productivity in the Polish economy by applying recent developments in the field of multivariate cointegration analysis. We followed modeling strategy which is suggested by Greenslade et al. (1999) and present all stages of the analysis which leads to the fully economically identified system of equations representing long run relationships. The investigation is based on the quarterly data from 1992.1 to 1999.2 which covers the period of transition of the Polish economy from the centrally planned system towards the market one. Basing on the empirical results we can argue that wages (costs) were one of the main forces driving inflation in Poland during that period. Also labor productivity proved to be stimulated by the increase of the real wages. On the other hand the hypothesis concerning the relationship between wages and unemployment was rejected by the data.     

The dynamics of Central European equity market comovements

This paper examines short-term and long-term comovements between developed European Union (EU) stock markets and those of three Central European (CE) countries which recently joined the EU. Dynamic cointegration and principal components methods are applied, in addition to static tests. While we find no evidence of cointegration for the period July 1995–February 2005 as a whole, dynamic tests reveal alternating period of cointegration disrupted by episodes dominated by short-term domestic factors. Principal components analysis reveals that a stable factor explains a large proportion of return variances. Ultimately, despite the decade-long process of alignment by CE countries with the EU, evidence of steadily increasing convergence of equity markets is lacking.     

基于参数空间的ST-ECM模型的协整检验问题研究

在非线性平滑转移误差修正模型（ST-ECM）的协整检验中,由于存在未识别参数而使协整检验统计量构造困难,同时由于目前文献普遍使用的泰勒展开近似法并不能精确替代原始非线性模型,从而导致协整检验统计量功效较低。本文首先在遍历未识别参数的参数空间的基础上构造了ST-ECM模型协整检验的supF统计量,推导了supF统计量的极限分布并说明了其收敛性质。接着,蒙特卡洛仿真模拟结果显示,supF统计量在ST-ECM模型协整检验中具有良好的检验水平和功效,且supF统计量的功效明显优于EG统计量、F*NEC统计量和inft统计量。最后,本文对亚洲六个国家的利率期限结构预期假说进行了验证,结果表明中国、新加坡和泰国三个国家的利率期限结构预期假说成立且存在非线性调整效应,supF统计量较其他统计量具有更高的检验功效。     

Near unit roots,cointegration, and the term structure of interest rates

The term structure of interest rates is often modelled as a cointegrated system with the yield spreads forming the cointegrating vectors. Testing whether the yield spreads span the cointegration space is problematic because conventional tests on the cointegration vectors tend to overreject when the largest autoregressive roots deviate from unity, as is likely to be the case with interest rates. A new test that is robust w.r.t. deviations from the exact unit root assumption is developed and applied to monthly US interest rate data from 1952:1–1991:2. Taking into account the regime shift in 1979, the hypothesis of the yield spreads being the cointegrating vectors cannot be rejected using the robust test. Copyright © 2000 John Wiley & Sons, Ltd.     

战后初期波兰工人党与社会党基本主张的相近性及其启示

战后初期,波兰工人党与波兰社会党关于波兰未来发展道路的基本主张有着许多的相近之处。当时,两党都同意波兰将沿着社会主义的方向前进,政治上主张多党联合执政,经济上主张多元混合经济,都希望以两个工人政党的合作为基础,通过和平的民主方式,走一条符合波兰特点的社会主义道路。比较和总结波兰两个工人政党基本主张的相近性,对于共产党探索执政规律来说,能够获得一些可以借鉴的有益启示。     

Inference in Cointegrating Models: UK M1 Revisited

The paper addresses the practical determination of cointegration rank. This is difficult for many reasons: deterministic terms play a crucial role in limiting distributions, and systems may not be formulated to ensure similarity to nuisance parameters; finite-sample critical values may differ from asymptotic equivalents; dummy variables alter critical values, often greatly; multiple cointegration vectors must be identified to allow inference; the data may be I(2) rather than I(1), altering distributions; and conditioning must be done with care. These issues are illustrated by an empirical application of multivariate cointegration analysis to a small model of narrow money, prices, output and interest rates in the UK.     

Inference on the cointegration rank in fractionally integrated processes

For univariate time series we suggest a new variant of efficient score tests against fractional alternatives. This test has three important merits. First, by means of simulations we observe that it is superior in terms of size and power in some situations of practical interest. Second, it is easily understood and implemented as a slight modification of the Dickey–Fuller test, although our score test has a limiting normal distribution. Third and most important, our test generalizes to multivariate cointegration tests just as the Dickey–Fuller test does. Thus it allows to determine the cointegration rank of fractionally integrated time series. It does so by solving a generalized eigenvalue problem of the type proposed by Johansen (J. Econ. Dyn. Control 12 (1988) 231). However, the limiting distribution of the corresponding trace statistic is χ², where the degrees of freedom depend only on the cointegration rank under the null hypothesis. The usefulness of the asymptotic theory for finite samples is established in a Monte Carlo experiment.     

An analysis of the talent management challenges in a post-communist country: the case of Poland

There is a dearth of empirical studies on talent management (TM) in the emerging markets, and in particular a lack of research on TM in the countries of the Central and Eastern European (CEE) region. Our empirical study in 58 organisations in Poland, a major economy in the CEE region, is one of the first studies to examine TM in this context. Our study highlights the particular nature of the TM challenges facing organisations in Poland and shows that there is little evidence to suggest that Polish practice is converging with Western models. Our paper suggests that TM is likely to challenge many traditional management practices and attitudes which continue to dominate Polish culture in the period of transition to a market economy.     

The Structure of Production in the Norwegian Fish-Processing Industry: An Empirical Multi-Output Cost Analysis Using a Hybrid Translog Functional Form

An empirical analysis of production structure in the Norwegian fish-processing industry is undertaken, based on data for the period 1985–90. This industry processes raw materials into fresh, frozen, salted and dried fish products. Two technologies coexist in the industry. Producer behaviour is represented by a multi-output variable, or restricted cost function for each technology. The hybrid translog functional form is adopted for estimation, as this form can be evaluated even if some of the output values are zero. Results from the empirical analysis provide important information for the restructuring currently taking place in the industry.     

Testing the Null of Cointegration with Structural Breaks*

We propose a Lagrange Multiplier‐type statistic to test the null hypothesis of cointegration allowing for the possibility of a structural break, in both the deterministic and the cointegration vectors. Our proposal focuses on the presence of endogenous regressors. The test complements the usual non‐cointegration tests so as to obtain stronger evidence of cointegration. We consider the cases of known and unknown dates of the break. In the latter case, we show that minimizing the Sum of Squared Residuals results in a super‐consistent estimator of the break fraction. Finally, the behaviour of the tests is studied through Monte Carlo experiments.     

Practical Problems with Reduced‐rank ML Estimators for Cointegration Parameters and a Simple Alternative*

Johansen's reduced‐rank maximum likelihood (ML) estimator for cointegration parameters in vector error correction models is known to produce occasional extreme outliers. Using a small monetary system and German data we illustrate the practical importance of this problem. We also consider an alternative generalized least squares (GLS) system estimator which has better properties in this respect. The two estimators are compared in a small simulation study. It is found that the GLS estimator can indeed be an attractive alternative to ML estimation of cointegration parameters.     

Modelling and predicting recorded property crime trends in England and Wales—a retrospective

In 1999 the Home Office published, for the first time ever, 3-year ahead projections of property crime in England and Wales. The projections covered the period 1999–2001 and indicated strong upward pressure after five full years of falling crime. This pressure was generated by three factors: the number of young men in the general population, the state of the economy and the fact that property crime appeared to be well below its underlying trend level. The projections received a mixed response, with some agreeing that crime was set to rise while questioning the scale of any increase, to others who doubted the value of this type of econometric modelling. In fact, property crime did increase in 1999, although not at the rate suggested by the models—and indeed levels of burglary continued to fall. This paper addresses some of the reasons for this disparity as well as considering various criticisms of the Home Office approach.     

Foreign exchange market volatility in EU accession countries in the run-up to Euro adoption: weathering uncharted waters

The paper analyzes foreign exchange market volatility in four Central European EU accession countries in 2001–2003. By using a Markov regime-switching model, it identifies two regimes representing high- and low-volatility periods. The estimation results show not only that volatilities are different between the two regimes, but also that some of the cross-correlations differ. Notably, cross-correlations increase substantially for two pairs of currencies (the Hungarian forint–Polish zloty and the Czech koruna–Slovak koruna) in the high-volatility period. The paper concludes by discussing the policy implications of these findings.     

ON BRÓDY'S CONJECTURE: THEORY,FACTS AND FIGURES ABOUT INSTABILITY OF THE US ECONOMY

Bródy's conjecture regarding the instability of economies is submitted to an empirical test using input–output flow tables of varying size for the US economy, for the benchmark years 1997 and 2002, as well as for the period 1998–2011. The results obtained using input–output tables of various dimensions lend support to the view of increasing instability (in the sense of Bródy) of the US economy over the period considered. Furthermore, our analysis shows that only a few vertically integrated industries are enough to shape the behaviour of the entire economy in the case of a disturbance. These results may usefully be contrasted with those derived in a parallel literature on aggregate fluctuations from microeconomic ‘idiosyncratic’ shocks.     

Modelling stock price behaviour by financial ratios

The main purpose of this study is to find out which economic dimensions of the firm are reflected in stock price behaviour in the Finnish stock market. Based on the previous theoretical articles, four economic dimensions are chosen: profitability, financial leverage, operating leverage and corporate growth. Twelve (12) financial ratios are then selected to represent these four dimensions. All the Finnish firms common series listed for the whole 1974–1986 period are included in the empirical analysis.All of the four expected dimensions above are found in the empirical classification pattern of ratios. On the cross-sectional level, profitability and financial leverate are reported as determinants of stock price behaviour. Corporation growth is merely connected to the risk of the common stock. Somewhat weaker results concerning the association between stock price behaviour and operating leverage factor may be due to difficulties measuring operating leverage on an empirical level.When studying the intra-year explanatory power of financial ratios, it is reported that the explanatory power of financial ratios tends to increase when the reporting day approaches, and starts to decrease after that releasing day of financial statement numbers. Empirical evidence strongly indicates that financial ratios represent pricing relationships in a substantive manner.The financial support by the Academy of Finland as well as the helpful comments and suggestions of an anonymous referee are gratefully acknowledged.