Humanities and Social Sciences

Central European Journal of Economic Modelling and Econometrics


Central European Journal of Economic Modelling and Econometrics | 2016 | No 1 |

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In empirical research on financial market microstructure and in testing some predictions from the market microstructure literature, the behavior of some characteristics of trading process can be very important and useful. Among all characteristics associated with tick-by-tick data, the trading time and the price seem the most important. The very first joint model for prices and durations, the so-called UHF-GARCH, has been introduced by Engle (2000). The main aim of this paper is to propose a simple, novel extension of Engle’s specification based on trade-to-trade data and to develop and apply the Bayesian approach to estimation of this model. The intraday dynamics of the return volatility is modelled by an EGARCH-type specification adapted to irregularly time-spaced data. In the analysis of price durations, the Box-Cox ACD model with the generalized gamma distribution for the error term is considered. To the best of our knowledge, the UHF-GARCH model with such a combination of the EGARCH and the Box-Cox ACD structures has not been studied in the literature so far. To estimate the model, the Bayesian approach is adopted. Finally, the methodology developed in the paper is employed to analyze transaction data from the Polish Stock Market.

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Authors and Affiliations

Roman Huptas
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Bayesian VAR (BVAR) models offer a practical solution to the parameter proliferation concerns as they allow to introduce a priori information on seasonality and persistence of inflation in a multivariate framework. We investigate alternative prior specifications in the case of time series with a clear seasonal pattern. In the empirical part we forecast the monthly headline inflation in the Polish economy over the period 2011‒2014 employing two popular BVAR frameworks: a steady-state reduced-form BVAR and just-identified structural BVAR model. To evaluate the forecast performance we use the pseudo real-time vintages of timely information from consumer and financial markets. We compare different models in terms of both point and density forecasts. Using formal testing procedure for density-based scores we provide the empirical evidence of superiority of the steady-state BVAR specifications with tight seasonal priors.

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Authors and Affiliations

Damian Stelmasiak
Grzegorz Szafrański
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This paper describes an analysis of the effects of both foreign exchange (FX) risk and interest rate risk on installments of the housing FX loan using classic comparative statics approach. By focusing on sensitivity of annuity with respect to infinitesimal changes of parameters it presents the impact of the interest rate and FX rate on installments in terms of their shares of the total outstanding in foreign currency, and illustrates using values, in Polish zlotys, for three example loans extended during the period when Poland saw its most intensive FX lending. This analysis represents an attempt to answer a question frequently raised in this country of late: does the issue of debt servicing housing FX loans matter for borrowers and therefore could affect banks’ loan portfolio quality?

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Authors and Affiliations

Zuzanna Wośko

Editorial office

JACEK OSIEWALSKI, Cracow University of Economics, Poland
ALEKSANDER WELFE, University of Lodz, Poland


KATARZYNA BIEŃ-BARKOWSKA, SGH Warsaw School of Economics, Poland
MIKOŁAJ CZAJKOWSKI, University of Warsaw, Poland
JAKUB GROWIEC, SGH Warsaw School of Economics, Poland
MAREK GRUSZCZYŃSKI, SGH Warsaw School of Economics, Poland
BOGUMIŁ KAMIŃSKI, SGH Warsaw School of Economics, Poland
MARCIN KOLASA, SGH Warsaw School of Economics, Poland
ANNA PAJOR, Cracow University of Economics, Poland

Associate Editors
KARIM ABADIR, The American University in Cairo, Cairo, Egypt
ANINDYA BANERJEE, University of Birmingham, UK
STEPHEN HALL, University of Leicester, UK
GARY KOOP, University of Strathclyde, Glasgow, UK
MARK STEEL, University of Warwick, UK
MARTIN WAGNER, Technical University of Dortmund, Germany
JAN WERNER, University of Minnesota, USA
PETER WINKER, University of Giessen, Germany

Editorial Board

HERMAN van DIJK, Erasmus University Rotterdam and VU University Amsterdam, The Netherlands
LAWRENCE R. KLEIN, University of Pennsylvania, Benjamin Franklin Professor of Economics, USA
TIMO TERASVIRTA, University of Aarhus, Denmark
HELMUT LUETKEPOHL, Freie Universität Berlin, Germany

Publishing Editor

ANNA STASZEWSKA-BYSTROVA, University of Lodz, Poland

Editorial Assistant

AGNIESZKA RYGIEL, Cracow University of Economics, Poland


CEJEME Editorial Office - Ms. Karolina Jaszczyk, Polish Academy of Sciencies - Lodz Branch
Piotrkowska Str. 137/139, 90-434 Lodz, Poland

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