Między makroekonomią a rynkami finansowymi. Księga jubileuszowa Profesora Ryszarda Kokoszczyńskiego
Between Macroeconomics and Financial Markets: A Jubilee Book Dedicated to Professor Ryszard Kokoszczyński
Contributor(s): Joanna Mackiewicz-Łyziak (Editor), Robert Ślepaczuk (Editor)
Subject(s): Economy, Business Economy / Management, Financial Markets
Published by: Wydawnictwa Uniwersytetu Warszawskiego
Keywords: monetary policy; financial markets; inflation; central banks; social inequalities
Summary/Abstract: The jubilee Book Dedicated to Professor Ryszard Kokoszczyński Abstract The jubilee book prepared to celebrate the 70th birthday of professor Ryszard Kokoszczyński – an eminent scientist and authority in the Polish economic environment. The articles collected in it and written by Professor’s friends, colleagues and students reflect the broad spectrum of his research interests – from quantitative finance to macroeconomics and monetary policy. The authors address topics relevant to the modern economy, such as: the challenges of monetary policy, the importance of independence and credibility of central banks, stock index replication strategies, the security effectiveness of the option portfolio, the use of explainable artificial intelligence tools in advertising and the investment systems based on stock index volatility contracts.
- E-ISBN-13: 978-83-235-7014-1
- Print-ISBN-13: 978-83-235-7012-7
- Page Count: 316
- Publication Year: 2025
- Language: English, Polish
Wstęp
Wstęp
(Introduction)
- Author(s):Robert Ślepaczuk, Joanna Mackiewicz-Łyziak
- Language:Polish
- Subject(s):Scientific Life
- Page Range:9-13
- No. of Pages:5
- Price: 0.50 €
Sparse Tracking of Stock Indices with Principal Component Analysis and LASSO
Sparse Tracking of Stock Indices with Principal Component Analysis and LASSO
(Sparse Tracking of Stock Indices with Principal Component Analysis and LASSO)
- Author(s):Mateusz Andrzejewski, Piotr Wójcik
- Language:English
- Subject(s):Financial Markets
- Page Range:17-51
- No. of Pages:35
- Keywords:Principal Component Analysis; LASSO; sparse portfolio; index tracking
- Summary/Abstract:Index tracking is a passive investment strategy attempting to replicate the behaviour of a selected index. As indices are not traded instruments, fund managers need to construct portfolios mimicking the index by selecting appropriate assets. The simplest approach, namely buying all assets contained in the index, minimises the tracking error, but incurs significant trading costs. This paper applied Principal Component Analysis and LASSO regression to the task of creating replicating portfolios with small cardinality and good out-of-sample tracking performance. We conducted the analysis for a set of Polish and German indices and found that while PCA is quite successful at creating diversified, well-performing sparse portfolios, the tracking error of LASSO-based portfolios is much lower. Tracking performance of both methods is affected by market development and index capitalisation. The results indicate better outcomes for developed market and positive impact of capitalisation on sparse index performance.
- Price: 3.00 €
Investing in VIX Futures Based on Rolling GARCH Models Forecasts
Investing in VIX Futures Based on Rolling GARCH Models Forecasts
(Investing in VIX Futures Based on Rolling GARCH Models Forecasts)
- Author(s):Oleh Bilyk, Paweł Sakowski, Robert Ślepaczuk
- Language:English
- Subject(s):Financial Markets
- Page Range:53-93
- No. of Pages:41
- Keywords:GARCH; VIX index; volatility futures; rolling forecasting; volatility; investment strategies; volatility exposure
- Summary/Abstract:The aim of this work is to compare the performance of VIX futures trading strategies built across different GARCH model volatility forecasting techniques. Long and short signals for VIX futures are produced by comparing one-day-ahead volatility forecasts with current historical volatility. Using daily data over a seven-year period (2013–2019), we found that strategies based on the fGARCH-TGARCH and GJR-GARCH specifications outperformed those based on the GARCH and EGARCH models and performed slightly below the 'buy-and-hold' S&P 500 strategy. For the base GARCH(1,1) model, the training window size and the type gave stable results, whereas the performance across refit frequency, conditional distribution of returns, and historical volatility estimators varied significantly. Despite the non-robustness of some investment strategies and some space for improvements, the presented strategies show their potential in competing with the equity and volatility benchmarks.
- Price: 3.00 €
Optimizing Delta-Hedging Strategies in the Presence of Transaction Costs
Optimizing Delta-Hedging Strategies in the Presence of Transaction Costs
(Optimizing Delta-Hedging Strategies in the Presence of Transaction Costs)
- Author(s):Alp Yıldırım, Juliusz Jabłecki
- Language:English
- Subject(s):Financial Markets
- Page Range:95-127
- No. of Pages:33
- Keywords:Black–Scholes; options; delta hedging; volatility
- Summary/Abstract:The article concerns enhancing the efficiency of delta-hedging strategies when the impact of transaction costs is accounted for. It aims to develop the theoretically optimal hedging strategy that minimizes costs while maintaining an effective hedge position and to implement the strategy in a volatility arbitrage setup. The theoretically optimal strategy is designed using Monte Carlo simulations and then tested with real data using S&P 500 options throughout the five-year period of 2019–2023. Our results favour delta hedging using a threshold approach and underscore the notion that while volatility trading is not generally a risk-free trading process, there is 'free lunch' to be had by improving upon the hedging technique.
- Price: 3.00 €
Explainable Artificial Intelligence Tools as a Part of the Best Practices in Model Selection in Business Decision Modelling. Example of Marketing Campaign Success Forecasting
Explainable Artificial Intelligence Tools as a Part of the Best Practices in Model Selection in Business Decision Modelling. Example of Marketing Campaign Success Forecasting
(Explainable Artificial Intelligence Tools as a Part of the Best Practices in Model Selection in Business Decision Modelling. Example of Marketing Campaign Success Forecasting)
- Author(s):Marcin Chlebus, Zuzanna Osika
- Language:English
- Subject(s):Business Economy / Management, Marketing / Advertising, ICT Information and Communications Technologies
- Page Range:129-162
- No. of Pages:34
- Keywords:business decision models; machine learning; bank marketing; explainable artificial intelligence (XAI)
- Summary/Abstract:Complex machine learning techniques are increasingly used in business decision-support models. Typically, model evaluation relies solely on predictive or discriminatory power. However, numerous empirical examples demonstrate that relying on such single-dimensional criteria can result in significant failures. This paper proposes incorporating Explainable Artificial Intelligence (XAI) methods to enhance model evaluation. Specifically, we demonstrate how global XAI techniques – Permutation Feature Importance (PFI) and Partial Dependence Plots (PDP) – can be integrated into the model assessment process. In our study, we compared tree-based algorithms for predicting the success of a Portuguese bank’s telemarketing campaign. Five models were tested: Random Forest, AdaBoost, GBM, XGBoost, and CatBoost. The top three in terms of AUC were XGBoost, CatBoost, and GBM, with XGBoost performing best. These models were then further analysed using PDP and PFI, which revealed potential overfitting in XGBoost and GBM, leading to CatBoost being selected as the most reliable model. The findings suggest that relying on predictive performance alone may not guarantee the optimal model choice. Expanding evaluation with XAI methods provides deeper insights and supports more robust model selection.
- Price: 3.00 €
Aktualne wyzwania stojące przed polityką pieniężną w globalnej gospodarce
Aktualne wyzwania stojące przed polityką pieniężną w globalnej gospodarce
(Current Challenges Facing Monetary Policy in the Global Economy)
- Author(s):Wiesława Przybylska-Kapuścińska
- Language:Polish
- Subject(s):National Economy, Supranational / Global Economy, Energy and Environmental Studies
- Page Range:165-174
- No. of Pages:10
- Keywords:unconventional monetary policy instruments; new types of risk in monetary policy; climate risk; macroprudential policy
- Summary/Abstract:At the end of the first decade of the 21st century, the functioning of monetary policy changed. After the onset of the global financial crisis, central banks started to use unconventional monetary policy tools, which led to unprecedented expansion of the bank balance sheets. In the following years, additional difficulties for monetary policy appeared, such as environmental issues, the migration crisis, the pandemic, the war in Ukraine, and their consequences for the global economy, as well as problems of energy security. This paper discusses these challenges to monetary policy and how they led to changes in the monetary policymaking.
- Price: 1.00 €
Sytuacja finansowa banków centralnych i jej skutki
Sytuacja finansowa banków centralnych i jej skutki
(The Financial Position of Central Banks and Its Consequences)
- Author(s):Zbigniew Polański, Mikołaj Szadkowski
- Language:Polish
- Subject(s):National Economy, Public Finances
- Page Range:175-199
- No. of Pages:25
- Keywords:central bank; financial result; loss; equity; monetary policy; fiscal policy; state economic policy
- Summary/Abstract:In this study, we show what the consequences are (or potentially could be) of an unfavorable financial situation of a central bank, i.e., losses that could lead to the appearance of negative capital. Such a situation is not irrelevant or neutral for an economy. The aim of the chapter is to identify the connections in the economic system through which the unfavorable financial situation of a central bank (losses, negative capital) affects various components of the economic policy of the state. We point to three groups of consequences of the situation: monetary, fiscal, and affecting central bank independence and potentially other dimensions of economic policy.
- Price: 2.50 €
Institutional Framework of Central Bank Independence: Revisited
Institutional Framework of Central Bank Independence: Revisited
(Institutional Framework of Central Bank Independence: Revisited)
- Author(s):Jacek Lewkowicz, Rafał Woźniak, Michał Woźniak, Michał Wrzesiński
- Language:English
- Subject(s):National Economy, Law on Economics
- Page Range:201-222
- No. of Pages:22
- Keywords:central bank independence; governance; law and economics
- Summary/Abstract:The subject of central bank independence (CBI) and its consequences for monetary policy and economic development has been widely explored in public debate and research discourse. This study contributes to the existing literature on central bank independence by exploring its links with the institutional environment across countries. Our primary focus is on the relevance of de jure provisions for de facto CBI, as well as on the importance of other structural factors. We rely on a dataset consisting of various novel indices to approximate these issues across multiple dimensions and apply advanced panel econometric tools to investigate our research tasks. The outcome of the study implies that the interrelationships between de jure and de facto CBI are observable. Thus, these conclusions may be successfully applied in institutional design and public policies regarding central banking.
- Price: 2.00 €
Postrzeganie banku centralnego przez sektor prywatny – ewolucja koncepcji
Postrzeganie banku centralnego przez sektor prywatny – ewolucja koncepcji
(Private Sector Perceptions of the Central Bank – The Evolution of Concepts)
- Author(s):Tomasz Łyziak, Joanna Mackiewicz-Łyziak
- Language:Polish
- Subject(s):National Economy
- Page Range:223-239
- No. of Pages:17
- Keywords:central bank; monetary policy; credibility; trust; anchoring of inflation expectations
- Summary/Abstract:In this chapter we show that the role of public perception of the central bank has undergone a clear evolution in economic theory and empirical research. It is reflected in the concepts of central bank credibility, anchoring of inflation expectations, and the trust in the central bank. This evolution has meant a gradual expansion of both the range of measures of inflation expectations that are considered and the features of these expectations that are tested. In a simple new Keynesian model, we show that for the effectiveness of monetary policy and limiting its costs in terms of fluctuations in output and employment, it is important to anchor not only inflation expectations, but also expectations regarding economic activity. The concept of trust in the central bank understood in this way is therefore of great practical importance and should become the subject of equally broad and in-depth research that has concerned the concept of anchoring inflation expectations in recent years.
- Price: 2.00 €
Zaburzenia w łańcuchach dostaw a inflacja – doświadczenia z okresu okołopandemicznego w kontekście polityki pieniężnej
Zaburzenia w łańcuchach dostaw a inflacja – doświadczenia z okresu okołopandemicznego w kontekście polityki pieniężnej
(Supply Chain Disruptions and Inflation – Experiences from the Pandemic Period in the Context of Monetary Policy)
- Author(s):Łukasz Postek
- Language:Polish
- Subject(s):National Economy, Supranational / Global Economy, Transport / Logistics
- Page Range:241-257
- No. of Pages:17
- Keywords:supply chain disruptions; inflation; pandemic; monetary policy
- Summary/Abstract:This article synthesizes the current knowledge on the impact of supply chain disruptions on inflation and formulates challenges and conclusions for monetary policy based on the experience from the peri-pandemic period. The theoretical foundations of the pro-inflationary nature of supply chain disruptions are strong and include diverse channels. The results of empirical studies also clearly demonstrate this. Nevertheless, in quantitative terms, estimates of the impact of supply chain disruptions on inflation in the literature are highly diverse, and the relationship itself turns out to be so nuanced that it requires further research. Consequently, conducting evidence-based monetary policy requires addressing new analytical and research challenges.
- Price: 2.00 €
Pomiar inflacji w czasach dużych zmian konsumpcji – szacunki obciążenia wskaźnika CPI dla Polski
Pomiar inflacji w czasach dużych zmian konsumpcji – szacunki obciążenia wskaźnika CPI dla Polski
(Measuring Inflation in Times of Major Changes in Consumption – Estimates of CPI Bias for Poland)
- Author(s):Aleksandra Hałka, Agnieszka Leszczyńska-Paczesna
- Language:Polish
- Subject(s):National Economy, Socio-Economic Research
- Page Range:259-281
- No. of Pages:23
- Keywords:inflation; CPI bias; Laspeyres index; Fisher index; democratic index; consumption structure; COVID-19
- Summary/Abstract:This chapter presents the problem of measuring inflation and how the choice of weights affects its level. Here, we focus on the analysis of the CPI bias resulting from the use of weights reflecting the past consumption structure and the choice of the plutocratic index. The empirical analysis is based on data for Poland. The study for the years 2015–2020 did not confirm the hypothesis of the overestimation of the CPI in Poland due to the effect of goods substitution. However, it confirmed the hypothesis of a positive plutocratic gap: the democratic index is higher than the plutocratic index.
- Price: 2.00 €
Mierzenie skali ukrytych dochodów z wykorzystaniem danych z badania gospodarstw domowych. Metodyka, wnioski i wyzwania
Mierzenie skali ukrytych dochodów z wykorzystaniem danych z badania gospodarstw domowych. Metodyka, wnioski i wyzwania
(Measuring the Scale of Hidden Income Using Household Survey Data: Methodology, Findings and Challenges)
- Author(s):Aleksandra Kolasa
- Language:Polish
- Subject(s):Public Finances, Socio-Economic Research
- Page Range:283-299
- No. of Pages:17
- Keywords:shadow economy; income underreporting; Pissarides and Weber method; household budget surveys
- Summary/Abstract:This chapter offers a review of methods for estimating income misreporting based on household survey data. It begins by explaining the approach developed by Pissarides and Weber, followed by a detailed discussion of its subsequent modifications and extensions. Key methodological challenges are addressed, including the identification of risky households, the selection of appropriate expenditure categories for comparison, techniques for approximating permanent income, and the interpretation of the resulting estimates. Additionally, the chapter presents recent methodological advances, such as the inclusion of multiple groups of risky households, accounting for heterogeneity in underreporting across income categories, and the use of administrative data to improve estimation accuracy. The chapter concludes with a review of the most significant empirical applications of this method, with particular emphasis on studies related to Poland.
- Price: 2.00 €
Badania nad rozmiarami szarej strefy – rys historyczny i główne wyzwania
Badania nad rozmiarami szarej strefy – rys historyczny i główne wyzwania
(Research on the Size of the Shadow Economy – A Historical Overview and Key Challenges)
- Author(s):Stanisław Cichocki
- Language:Polish
- Subject(s):Public Finances, Socio-Economic Research
- Page Range:301-315
- No. of Pages:15
- Keywords:shadow economy; definitions of the shadow economy; methods of measuring the shadow economy
- Summary/Abstract:This paper focuses on challenges one encounters when investigating the shadow (also called informal) economy. We first present the main definitions of the shadow economy and discuss their pros and cons – we start with simple definitions and move to more complex ones. We then present a brief historical outline regarding the research about that phenomenon with an emphasis on measuring it worldwide and in Poland. Subsequently, we discuss the methods used to measure the shadow economy and describe their strengths and weaknesses. We touch upon micro methods but focus particularly on macro methods. In the last part we present our main conclusions.
- Price: 2.00 €
