Journals UITM University of Information Technology and Management
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ESTIMATION OF RISK NEUTRAL MEASURE FOR POLISH STOCK MARKET
Get PDFIn the paper we present the application of risk neutral measure estimation in the analysis of the index WIG20 from Polish stock market. The risk neutral measure is calculated from the process of the options on that index. We assume that risk neutral measure is the mixture of lognormal distributions. The parameters of the distributions are estimated by minimizing the sum of squares of pricing errors. Obtained results are then compared with the model based on a single lognormal distribution. As an example we consider changes in risk neutral distribution at the beginning of March 2014, after the outbreak of political crisis in the Crimea
ANALYSIS OF POLISH HEALTHCARE SYSTEM FINANCING IN 2000-2009
Get PDFHealthcare is a very important, and at the same time difficult element of each state’s policy. For many countries, the issue of financing the healthcare system is a delicate matter, while at the same time one of the basic economic and social issues. Nevertheless, decisions concerning the sources and principles of healthcare financing influence the quality of the entire system. This article analyses the expenditure on healthcare in Poland during the last few years. It presents total expenditure on healthcare, its yearly growth rate, as well as other data related to the expenses incurred within the Polish healthcare system in that period. 
HEALTHCARE EXPENDITURES VS. HEALTH OF THE POPULATION
Get PDFHealthcare tends to play a crucial role in every country and its society. Appropriate and well-performing healthcare systems constitute an important aspect of national policy. The most important issue connected with this matter is the appropriate adjustment of the health financing system. That is why the subject of evaluation of the performance of healthcare systems in the context of financial management and the quality of public health has been undertaken by many Polish and foreign researchers. The main goal of this study is to conduct a comparative analysis of healthcare systems in selected countries in order to answer the question of whether the increase in expenditures on healthcare has had a positive influence on improvement of the health of the population
CHANGE OF THE ORGANISATIONAL AND LEGAL FORM OF INDEPENDENT PUBLIC HEALTHCARE CENTRES (SPZOZ) AND CONSEQUENCES FOR FINANCING HEALTHCARE ENTITY ACTIVITIES
Get PDFLocal government units (LGU) are nowadays facing the very difficult and complicated task of making reasonable decisions regarding the transforming of SPZOZs into capital companies. First, it seems necessary to carry out a simulation of costs and advantages of the assumed models and solutions together with an analysis of advantages and disadvantages of the new legal and organisational forms. The aim of this paper is to assess whether the process of transforming SPZOZs into capital companies is purposeful and reasonable, and to define a way to prepare hospitals for functioning in an altered legislative environment. The paper draws attention to the fact that transformation itself does not guarantee that the results achieved by the given entity will automatically improve. The transformation can bring financial advantages for the newly created company and the local government, from the subsidies and remissions in accordance with art. 197 of the act on medical activity. Yet the conditions for getting such help are quite restrictive and not in every situation can financial help from the central budget be counted on. Such aid could help improve the financial standing of a hospital considerably. Also, it must be remembered that a hospital transformed into a capital company acquires the capacity to go bankrupt
ECONOMIC CONDITIONS OF GOVERNMENT EXPENDITURE ON EDUCATION IN HIGHER EDUCATION SYSTEM
Get PDFHigher education institutions are an essential, endogenous element of economic development and take part in resolving global issues. Their utilitarian role, however, may be greatly limited as a result of improper ways of financing science and didactics. The prevailing mechanism of financing didactics in public universities in Polish reality does not ensure the effectiveness of deployed resources and only partially bases on competition, thus not generating the stimuli for positive changes. The algorithm on the basis of which the resources are allocated should be modified. It should be based on criteria reflecting changes in social and economic surroundings. It should also comprise mechanisms stimulating competition between universities and enhancing the quality of didactics and science
THE INFLATION IMPACT OF SELECTED EUROPEAN UNION MEMBERS ON POLISH INFLATION
Get PDFThe article aims at determining the inflation influence between Poland and selected EU member states. Although for some time the general inflation level in those countries was definitely controllable, the problem seems to be returning. That is why in this article, using the model of Vector AutoRegression (VAR) and Granger causality test, we are attempting to determine inflation influences on Poland. The study confirmed the impact of the selected countries on Polish inflation, expressed the general HICP index. However, in the case of Germany, the method has not proved the existence of such interactions. For this reason, it is made an attempt to clarify the reasons for non-compliance findings with data showing Germany as a Polish main trading partner for more than two decades. The authors try to show that lack of influence can be seen in the excessive generality of the main HICP index and predict that the chosen method confirm the effect of foreign trade indices in the HICP
ARIMA-GARCH MODELS IN ESTIMATING MARKET RISK USING VALUE AT RISK FOR THE WIG20 INDEX
Get PDFThis paper determines whether the VaR estimation is influenced by conditional distribution of return rates (normal, t-student, GED) and attempts to choose the model which best estimates VaR on a selected example. We considered logarithmic return rates for the WIG-20 index from 1999-2011. Then, on their basis we estimates various types of ARIMA-GARCH (1,1) models. Applying relevant models we calculated VaR for the long and short position. The differences between the models were settled on the basis of the Kupiec test
FOREIGN EXCHANGE MARKET EFFICIENCY. EMPIRICAL RESULTS FOR THE USD/EUR MARKET
Get PDFThe aim of the paper is to verify whether the USD/EUR exchange rate market is efficient. The fundamental parity condition for testing foreign exchange market efficiency is represented by the uncovered interest-rate parity (UIP). Therefore, the UIP hypothesis verification accounts for the crucial part of the paper. The efficiency of the USD/EUR market is tested by applying the conventional UIP regression approach and orthogonality test of the forward rate forecast error. The results show that it is hard to say definitely that USD/EUR foreign exchange market is inefficient. The slope coefficient in UIP regression occurs to be negative, which implies the failure of uncovered interest-rate parity. However, there are no foundations to reject the UIP hypotheses in the time of financial crisis of 21st century. Moreover, the article presents that the forward forecast error is not orthogonal to both its lagged value and the interest rate differential. Thus, the semi-strong foreign exchange market efficiency hypothesis is rejected for the USD/EUR market
THE SPECULATION BUBBLE ON THE REAL ESTATE MARKET IN THE USA IN VIEW OF SELECTED OVERINVESTMENT THEORIES
Get PDFThis paper offers a specific analysis of speculation bubbles in the economic history of the world, and then tries to identify the causes and effects of the speculation bubble on the real estate market in the USA, which was the main cause of the subprime crisis. The first part of the paper aims at defining the phenomenon of economic fluctuations and speculation bubble and presenting the most popular theories of overinvestment, which emphasize the importance of speculation phenomenon. The next part of the article describes direct causes of subprime crisis. Special attention has been paid to the processes taking place on the real estate market in the USA in the past fifteen years. The final section of the paper is a synthesis of theorems by the economists of Austrian School and Hyman Minsky, and then confronting them with real processes in the US economy in recent years
SELECTED LEGAL ASPECTS OF MORTGAGE BONDS IN EUROPEAN LAW, WITH EMPHASIS ON GERMAN LEGISLATION
Get PDFThe article discusses the German legislation in relation to mortgage bonds, and also briefly describes the state of European legislation in this regard. There are also themes from other countries in which such mortgage bonds are used. The publication consists of 5 sections, where the first is the introduction and the last contains the conclusions. The main part of the article is part 4, where the author briefly discusses the German Law on Mortgage Bonds. Parts 2 and 3 are the legal background for the main part. The author believes that due to the crisis of the years 2007-2009, the revision of solutions for securitization is needed. There are already some proven designs that through many years of evolution have perfectly fitted the economy. Such a model is undoubtedly the German bond (in any form). In addition, the German act presents interesting solutions for risks that are inherent in banking activities, including in particular the issue and trading of securities