1,720,966 research outputs found
Modelling road traffic safety indices by means of regression with panel data
No full textAlthough the occurrence of road accidents and the number of road accident casualties in almost all Polish voivodeships has decreased over the last few years, the rate of this change varies considerably from region to region. To provide a better understanding of such a tendency, panel data regression models are proposed to conduct this pilot research which evaluates the relative performance of Polish regions in terms of their road traffic safety. Panel data are multi-dimensional data which involve measurements over time. In the research, a voivodeship is a unit analysed at a group level, whereas a year is a unit analysed at a time level. A two-way error component regression model has been applied to survey the impact of regressors, the group effects, and time effects on a dependent variable. The analysis has been conducted using data acquired from the Statistics Poland Local Data Bank website, as well as from the General Directorate for National Roads and Motorways. The panel data from 16 regions in Poland and the 2012–2018 period have been investigated. The examined models refer to road traffic safety indices defined based on the following characteristics: the number of road accidents, the number road fatalities, and the number of people injured. The results of all the three models indicate a negative effect as regards the GDP per capita, (car) motorisation rate, the indicator of government expenditure for current maintenance of national roads, and the road length per capita. A positive association has been found between the truck motorisation rate and the indicator of local government expenditure on roads. The impact of the region's urbanisation indicators on road safety is ambiguous as, on the one hand, its increase causes a reduction in the road accident and accident injury indices, but, on the other hand, it produces a rise in the accident fatality index. In the models, the significance of time effects has been identified; a decreasing time trend suggests a general improvement in road safety from year to year. Most of the group effects have turned out to be highly significant. However, the effects differ as regards both the road accident and the accident injury indices in magnitude and direction
Sequential Monte Carlo method and its application for modelling inflation volatility in Poland
No full textThe aim of the article is to present a selected model of stochastic volatility to describe inflation volatility in Poland, with particular emphasis on the possibility of using the estimation technique based on the Sequential Monte Carlo method. A model of stochastic volatility is presented, in which conditional variance is treated as an unobserved variable described by the one-factor Cox, Ingersoll and Ross model (CIR, 1985). The advantages and effectiveness of the proposed method are presented on the basis of monthly inflation rates in Poland from 2004 to 2017.Celem artykułu jest zaprezentowanie wybranego modelu stochastycznej zmienności do opisu zmienności inflacji w Polsce, ze szczególnym uwzględnieniem możliwości zastosowania techniki estymacji wykorzystującej sekwencyjną metodę Monte Carlo (ang. Sequential Monte Carlo method, SMC). Przedstawiono model zmienności stochastycznej, w którym wariancja warunkowa jest traktowana jako zmienna nieobserwowana opisywana za pomocą jednoczynnikowego modelu Coxa, Ingersola i Rossa (CIR) [Cox, Ingersoll, Ross, 1985]. Zalety oraz efektywność proponowanej metody zaprezento-wano na podstawie miesięcznych danych historycznych poziomu inflacji w Polsce w latach 2004-2017
Short introduction to sequential Monte Carlo methods and their applications to the problems of filtration
No full textThe Measurement of the Gross Domestic Product affected by the shadow economy
No full textThe article presents a method for balancing Gross Domestic Product (GDP) when the measurements of its components are distorted by the existence of the shadow economy. Our proposal to measure GDP is based on a multiple ultrastructural model (MUM), where the explanatory variables are subject to error. We show that the expected value of GDP can be divided into two parts: the first part concerns data related to registered activities and the second part concerns unobserved data which may be partly related to the shadow economy. The empirical analysis is based on the annual data for individual voivodeships in Poland for the years 2000-2019. The data are obtained from the Local Data Bank of Statistics Poland. Two approaches to measuring GDP are considered: from the expenditure side and from the production side. The results show that the unobservable part of the variables necessary to balance GDP on the production side does not exceed 1% of GDP, and on the expenditure side, it mostly reaches about 3% of GDP
Estimating the size of the shadow economy in Poland
No full textSzara gospodarka jako zjawisko wielowymiarowe budzi kontrowersje oraz przysparza badaczom licznych problemów. Ze względu na to, że podmioty gospodarcze działające w gospodarce nieobserwowanej (ukrytej) dążą do pozostawania poza systemami ewidencjonowania, niemożliwy jest bezpośredni pomiar rozmiaru tego zjawiska. Celem artykułu jest przedstawienie rezultatów szacowania rozmiarów szarej strefy w Polsce na podstawie zidentyfikowanych rozbieżności między PKB w ujęciu produkcyjnym a PKB w ujęciu wydatkowym. Zaproponowano autorskie podejście, oparte na idei metod rezydualnych. W badaniu wyznaczono dwa modele opisujące zależności pomiędzy przyrostami PKB a przyrostami wskaźników wykorzystywanych w wymienionych definicyjnych ujęciach PKB. Zidentyfikowane rozbieżności między PKB w ujęciu produkcyjnym a PKB w ujęciu wydatkowym posłużyły do oszacowania rozmiaru szarej gospodarki w Polsce, wyrażonej w postaci udziału w PKB. Analizę przeprowadzono na podstawie danych panelowych z Banku Danych Lokalnych GUS dotyczących wartości wybranych wskaźników makroekonomicznych mierzonych w skali województw za lata 2000–2017.
Uzyskane wyniki są zbliżone do oszacowań rozmiaru szarej strefy podawanych przez GUS oraz EY, a częściowo także przez United Nations Global Compact. Zaprezentowana w artykule analiza stanowi część badań prowadzonych w Ośrodku Badań Gospodarki Nieobserwowanej w Urzędzie Statystycznym w Kielcach w ramach doskonalenia metodologii stosowanej przez statystykę publiczną w Polsce.The shadow economy, as an interdisciplinary phenomenon, generates many contro-versies and difficulties for researchers. Economic entities operating within the non-observed (hidden) economy strive to escape official records, therefore a direct estimation of the extent of the phenomenon remains unobtainable. The aim of this article is to present the results of the estimation of the size of the shadow economy in Poland on the basis of the differences between GDP calculated according to the ‘production’ and the ‘expenditure’ approaches. The authors propose an original technique based on the idea of residual methods. In the course of the study, two models describing the dependencies between the growth of GDP and the growth of indicators used in the in the above-mentioned approaches to GDP calculation were established. The identified differences between the value of this measure calculated according to the production and expenditure approaches were used for the estimation of the size of the shadow economy in Poland, presented as a share in GDP. The analysis was carried out on the basis of panel data reflecting the values of selected macroeconomic indicators measured on the voivodship scale in the years 2000–2017, drawn from the Local Data Bank of Statistics Poland. The obtained results resemble to a large extent the estimates of the shadow economy by Statistics Poland and EY, and also partly that by United Nations Global Compact. The analysis presented in the paper is part of the research conducted by the Centre for Non-Observed Economy Srudies (OGN) at the Statistical Office in Kielce, whose aim is to improve the method-ology currently used by official statistics in Poland
The field of sequential Monte Carlo methods
No full textCelem pracy jest zaprezentowanie idei metod filtracji opartych na sekwencyjnej metodzie Monte Carlo, w literaturze nazywanych również metodami filtru cząsteczkowego oraz odniesienia do odpowiedniej literatury. Istotę omawianych algorytmów przedstawiamy rozważając problem estymacji silnie nieliniowych i niegaussowskich modeli przestrzeni stanów. W praktyce bowiem w takich przypadkach dobrze znany i najczęściej wykorzystywany algorytm rozszerzonego filtru Kalmana (ang. Extended Kalman Filter, EKF) może wykazywać istotną nieefektywność. Idea filtru cząsteczkowego polega na estymacji rozkładu prawdopodobieństwa rozkładem empirycznym wyznaczonym na podstawie cząsteczek, tzw. „chmury punktów”. Zaimplementowanie algorytmu filtru cząsteczkowego wymaga zasadniczo przeprowadzenia trzech procedur: (1) losowania cząsteczek z odpowiednio dobranej sekwencyjnej funkcji ważności, (2) określenia istotności cząsteczek, (3) powtórnego losowania, tzw. resampling. Metody te są coraz bardziej popularnew dziedzinie ekonomii, statystyki, medycynie i teorii sygnałów.This paper provides an introduction to the field of sequential Monte Carlo methods which are also known as particle filters methods. The best known algorithm to solve the problem of non-linear non-Gaussian filtering is the Extended Kalman Filter (EKF) but in settings where the dynamics are significantly non-linear or the noise intensities are high, the EKF can perform quite poorly. Particle filtering methods are powerful tools for online estimation and tracking in nonlinear and non-Gaussian dynamical systems. The basic idea is to approximate the transition probability density function by a discrete cloud of points, called particles. They commonly consistof three steps:(1) drawing samples in the state-space of the system,(2) computing proper importance weights of each sample and(3) resampling.These methods are becoming increasingly popular in economics and finance so the objective of this paper is to explain the basic assumptions of the methodology and provide references to relevant literature
Inflacja niespowalniająca wzrostu gospodarczego (NDEGRI) w świetle badań empirycznych
No full textThe article presents the results of estimating economic growth depending on the inflation levels in selected countries. The results were obtained by means of regression splines, in particular, cubic splines and a B-spline curve. The method applied helps to identify both the area of Non- Decreasing Economic Growth Rate of Inflation and inflation for which the rate of growth reaches its maximum. The calculations and graphic presentations demonstrate that maximum rates of economic growth were reached in inflation ranges of 5%-15% for Poland and 3%-16% for the G-20 countries studied. The data analysis leads to the conclusion that central bank margins for their accommodative monetary policies in the studied countries can be wider than it is implied by the doctrinal bases of the inflation targeting policy or its more restrictive version – strict inflation targeting
Non-Decreasing Economic Growth Rate of Inflation (NDEGRI) in Light of Empirical Studies
No full textThe article presents the results of estimating economic growth depending on the inflation levels in selected countries. The results were obtained by means of regression splines, in particular, cubic splines and a B-spline curve. The method applied helps to identify both the area of Non- Decreasing Economic Growth Rate of Inflation and inflation for which the rate of growth reaches its maximum. The calculations and graphic presentations demonstrate that maximum rates of economic growth were reached in inflation ranges of 5%-15% for Poland and 3%-16% for the G-20 countries studied. The data analysis leads to the conclusion that central bank margins for their accommodative monetary policies in the studied countries can be wider than it is implied by the doctrinal bases of the inflation targeting policy or its more restrictive version - strict inflation targeting.(original abstract)W pracy zaprezentowano wyniki szacowania wysokości tempa wzrostu gospodarczego w zależności od poziomu inflacji w wybranych krajach, uzyskane metodą regresji sklejanej, w szczególności tzw. splajnów kubicznych i B-splajnów. Zastosowana metoda pozwala nie tylko na zidentyfikowanie przedziału inflacji niespowalniającej wzrostu gospodarczego, ale również wysokości inflacji, przy której wzrost gospodarczy osiąga najwyższą wartość. Obliczenia i prezentacje graficzne wskazują, że najwyższe stopy wzrostu gospodarczego były osiągane przy stopach inflacji mieszczących się w przedziale 5-15% w przypadku Polski oraz w przedziale 3-16% w przypadku badanych krajów G-20. Z analizy danych wynika, że margines dla akomodacyjnej polityki pieniężnej banków centralnych w badanych krajach może być większy, niżby to wynikało z doktrynalnych podstaw polityki bezpośredniego celu inflacyjnego, zwłaszcza w jej bardziej restrykcyjnej wersji.(abstrakt oryginalny
Application of the Trefftz method for option pricing
No full textPurpose: Option pricing is hardly a new topic, however, in many cases they lack an analytical solution. The article proposes a new approach to option pricing based on the semi-analytical Trefftz method. Design/methodology/approach: An appropriate transformation makes it possible to reduce the Black-Scholes equation to the heat equation. This admits the Trefftz method (which has shown its effectiveness in heat conduction problems) to be employed. The advantage of such an approach lies in its computational simplicity and in the fact that it delivers a solution satisfying the governing equation. Findings: The theoretical option pricing problem being considered in the paper has been solved by means of the Trefftz method, and the results achieved appear to comply with those taken from the Black-Scholes formula. Numerical simulations have been carried out and compared, which has confirmed the accuracy of the proposed approach. Originality/value: Although a number of solutions to the Black-Scholes model have appeared, the paper presents a thoroughly novel idea of implementation of the Trefftz method for solving this model. So far, the method has been applied to problems having nothing in common with finance. Therefore the present approach might be a starting point for software development, competitive to the existing methods of pricing options
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