MANAGERIAL ECONOMICS

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https://repo.agh.edu.pl/handle/AGH/102753
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New!   Aktualny numer: 2024 - Vol. 25 - No. 2

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Przeglądanie

Przeglądanie MANAGERIAL ECONOMICS według autora "Czapkiewicz, Anna"

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    Artykuł
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    The long-run relationship between the stock market and main macroeconomic variables in Poland
    (2016) Czapkiewicz, Anna; Stachowicz, Marta
    The investigation concerns the problem of whether some macroeconomic variables and the EUR/PLN exchange rate might affect the performance of the Warsaw Stock Exchange. The answer to this question can be obtained from a cointegration analysis. The advantage of testing for cointegration is the identification of a stable long-run relationship between the stock price index, some macroeconomic variables, and the EUR/PLN exchange rate, which can be implemented using various cointegration methodologies. Analysis of the response of one variable to an impulse of another variable is also performed to show the importance of a given variable in a system.
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    The relationship between the inflation rate and the unemployment rate in Poland and their long-term associations with selected macroeconomic variables
    (Wydawnictwa AGH, 2023) Koterwa, Jan; Kycia, Hubert; Czapkiewicz, Anna
    The purpose of this paper is to examine the relationship between the inflation and unemployment rates in Poland and to analyze their long-term relationships with selected macroeconomic variables: the WIG20 index, consisting of the 20 largest Polish companies noted on Warsaw Stock Exchange, the USD/PLN exchange rate, the Brent crude oil index, and the interest rate on 10- year government bond yields. The main objective of the study is to determine the relationship between inflation and unemployment. In this study, a vector error correction model (VECM) was used to study long-run dependence. The impulse response function and forecast error variance decomposition were also used to examine the interactions between variables. There is one long-run relationship between the factors studied. Both the values of the VECM model parameters and the results of the impulse response function indicate that there is a negative relationship between inflation and unemployment in the short term. In the long term, there is a positive relationship, resulting in the stagflation phenomenon.
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    Artykuł
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    Spatial contagion between stock markets in Central Europe
    (Wydawnictwa AGH, 2017) Czapkiewicz, Anna; Wójtowicz, Tomasz
    In this paper, we investigate contagion between three European stock markets: those in Frankfurt, Vienna, and Warsaw. Two of them are developed markets, while the last is an emerging market. Additionally, the stock exchanges in Vienna and Warsaw are competing markets in the CEE region. On the basis of daily and intraday returns, we analyze and compare the dependence between the major indices of these markets during calm and turbulent periods. A comparison of the dependence in the tail and in the central part of the joint distribution of returns (via a spatial contagion measure) indicates strong contagion among the analyzed markets. Additionally, the application of a conditional contagion measure indicates the importance of taking into account the situation on other markets when contagion between two markets is considered.