Projekty badawcze

Benefits of employment - decomposition and valuation.

UMO-2012/07/N/HS4/02676 - PRELUDIUM

This research proposal "Benefits of Employment: Decomposition and Valuation" addresses one of the fundamental issues of labour market economics, i.e. modelling of the supply of labour and economic conditions of a contract between an employer and an employee. In particular, project undertakes the issue of workers’ heterogeneity in terms of their preferences for job characteristics and the impact of the worker’s personal characteristics and employment conditions on the decision to undertake employment. As it is argued in the contemporary labour supply theory, by undertaking job, an employee decides to exchange not only their time for wage (as it was seen by traditional neoclassical theory of labour supply), but rather to provide employer with their effort, skills, commitment, creativity, loyalty etc. in exchange for pecuniary and non-pecuniary benefits bringing them utility gains. The presented research project has two main objectives.

The first one is an adaptation of the methods drawn from non-market valuation of goods for the analysis of labour market problems, and of labour supply decisions in particular.

The second goal of the project is a valuation of various attributes of employment contract from the employee's perspective and to assess the degree of heterogeneity of workers in terms of their preferences for the benefits of employment. The analysis will cover in particular preferences for non-wage benefits, value of prestige of a certain type of work and the subjective value associated with career prospects, as well as preferences for the way of spending time at work.

At the early stage of the project, it is possible to formulate preliminary hypotheses that will be refined in the course of further works, and particularly in-depth analysis of the literature. The main hypothesis that will be the subject of falsification can be formulated as follows: utility driven by employee from work, and therefore their decision to work, is affected by pecuniary and non-pecuniary employment benefits.

The secondary hypotheses are formulated as follows:

1. Utility of the employment can be affected by following characteristics of employment (which will be assessed in terms of their of significance and valuated):

- wage and non-wage pecuniary benefits,

- utility driven from time spent at work (job effort, stress associated to work, possibility to maintain social contacts),

- utility driven from prospects offered by the job (career prospects, expected wage growth etc.),

- utility driven from social prestige associated with the job.

2. Employees are ready to substitute one of the benefits for the other.

3. Substitution rates between different employment attributes are affected by such employees’ traits as their sociodemographic characteristics, human capital, and earlier labour market experience.

A search of an universal estimation method of the wage equation in Poland and its application in economic sciences for Poland.

UMO-2013/09/B/HS4/01304 - OPUS

The aim of proposed project is first to find a universal method of estimating the wage equation for Poland, secondly to estimate rates of returns to education for Poland and its changes in 2000-2010.

In the project the following hypotheses will be tested:

1. Designed metadata allow for a more accurate estimation of wage equation.

2. The entrance to the Polish labor market a large number of people with higher education levels resulted in a decrease in the average rates of returns to higher education.

3. Deficiency of the Polish labor market of people with good professional qualifications (particularly significant migrations) resulted in an increase in premiums for professional education.

4. The gender wage gap between men and women in Poland is mainly due to the differences in type of qualification, experience, sector or industry in which they work. Differences arising only from the discrimination in the labor market against women are very low or negligible.

Income Redistribution and Public Debt (Statistically-Econometric Approach). Conclusions as Regards Stabilising and Reducing Public Debt.

UMO-2013/11/B/HS4/01078 - OPUS

The aim of the project is to analyse influence of income redistribution on public debt, provided that income redistribution instruments considered will be income tax as the source of public revenues and social benefits as elements of public expenditures. The above-mentioned aim will be achieved by: (1) identifying redistributive effect of income tax and social benefits, i.e., redistributive effect of net tax, (2) looking into correlation between therefore mentioned public transfer redistributive effect and public debt, and (3) building econometric model which explains relation between the ratio of public debt to GNP and such factors as: so called the net public revenues, interest rate related to public sector financial liabilities, public debt in previous years, inflation, etc. In particular, the econometric model will show relation between components which appear in decomposition of the net tax redistributive effect and ratio of public debt to GNP (the decomposition which is based on Lorenz Curve).

To the best knowledge of the project principal investigator, this relation has not appeared in the relevant literature so far. The units analysed will be the households covered by EU-Survey on Income and Living Conditions conducted by Eurostat in 2012-2013 (Eurostat - the statistical office of the European Union).1 EUSILC is based on the representative method which allows for the generalization of the results to the whole population of households in 28 EU member states within a margin of an error: the size of the empirical sample in each year is some 130 000 households.

Subjective and regulatory equivalence scales.

UMO-2013/09/B/HS4/01923 - OPUS

The project aims to develop new tools for the assessmentof social policy in regard of benefit and tax regulations that could complement the current method based on OECD equivalence scale. In theproject, we propose to estimate the income-dependent equivalence scales by two distinctive methods. The subjective scales are estimated on a basis of households income evaluation whileregulatory scales are based on legislative decision regarding tax and benefit regulations.On the basis of those estimates the following issues will be discussed:a) the differences between the subjective and regulatory scales , b) the differences between those scales and the OECD ones and itseffect on assessment of income distribution, c) the expected budgetary cost of changes consistentwith income scaling postulated by households, d) the shape of transfer policy consistent with thesubjective scales.The project uses individual data from HBS (Household Budget Survey) and the EU-SILC (European Research on Income and Living Conditions) and it concerns the years 2005-2012, when the seriesofimportant changes in tax and of benefit regulations was introduced in Poland. These changes had asignificant impact on household incomes.

Multifactor analysis of equity indices risk premium using cross-sectional regime switching models.

UMO-2014/13/B/HS4/03209 - OPUS

The cross-section and cross-country analysis of equity returns is an established branch of finance since breakthroughs of CAPM (described e.g. in Jensen et al., 1972) and subsequent Fama-French (Fama and French, 1992) three-factor model. While extensions and modifications of these seminal research papers focused on US or international stocks (Fama and French, 2012), or considering differences between developed and emerging markets (Donadelli and Prosperi, 2012), our main research aim is to broaden the scope of analysis to worldwide equity indices.

The starting point is the three-factor Fama-French model (analyzing the market, size and value factors) and Carhart (Carhart, 1997) model, extending the three-factor approach by adding the influence of momentum. The main research objective is to construct a new model, considering the whole spectrum of risk factors, to estimate equity risk premium for equity indices. Our main research hypothesis will be as follows: “Risk premium for equity indices can be explained by limited number of risk factors included in regime switching cross-sectional model”. We aim to achieve this objective through detailed research steps and answering precise research questions described in “Short description of the project”.

Determinants and macroeconomic effects of corruption in Central and East European Countries

UMO-2013/09/B/HS4/01229 - OPUS

The objective of the proposed research project is an empirical analysis of the determinants and macroeconomic impact of corruption in the countries of Central and Eastern Europe in the context of economic growth and privatization.

The first hypothesis concerns the causes of corruption in this group of countries. One could argue that this phenomenon has its roots in the common for these countries communist past, especially in the institutions and norms of the previous economic system, and it was also affected by the impact on economic policy during the transition by the pressure groups, especially in the context of privatization.

The second hypothesis is that corruption has a negative impact on economic growth, and privatization have a positive effect only in countries with stronger market institutions and the quality of governance.

Poverty and inequality in various dimensions of well-being - analysing the distributions of income, life satisfaction and health satisfaction.

UMO-2013/09/B/HS4/01924 - OPUS

The proposed research project aims at empirical measuring and explaining poverty and inequality in various dimensions of well-being – in particular, the poverty and inequality in terms of: 1) income; 2) life satisfaction; and 3) satisfaction with health.

The role of the Common Commercial Policy for trade of Visegrad Group countries.

UMO-2013/11/B/HS4/01040 - OPUS

n recent years, for some product groups and some Central European countries, significant change in the direction of trade has been observed-export to EU countries grew at slower rate comparing to exports to third countries under trade preferences. The aim of the project is to investigatethe changes in product and geographic structure of Polish and other Central European countries’ exports (mainly the Czech Republic, Slovakia, Hungary, Slovenia) in trade with third countries (non-EU). In particular, attention is paid to changes in exports to the countries covered by preferential trade liberalization under the Common Commercial Policy. The theory suggests the socalled integration effects (creation and trade diversion) are the result of preferential trade liberalization (the country's accession to customs union or free trade areas). Their actual occurrence depends on the economy’s competitiveness and the abilityof its companies to map export opportunities. Is becoming a EU member beneficial from the perspective of becoming a member of regional agreements in the framework of the EU Common Commercial Policy? Whether and to what scale materialized theoretical trade creation effects? The study puts the hypothesis that despite to the accession to the EU, which gave the possibility for the CE countries to benefit from the single market and the abolition of non-tariff barriers, more significant changes in exports occurred under regional trade agreements in the framework of the Common Commercial Policy. These changes were accompanied by changes in export advantages and specialization of CE countries. In addition, the process was more significant comparing to the EU countries’ export from euro zone.

On the relation between distribution of reservation prices and profitability of bundling. Simulation approach with adoption of copula functions.

UMO-2013/09/B/HS4/02728 - OPUS

Commodity Bundling is the strategy of linking two or more products together, into separately priced package. Bundling is an interesting scheme of second degree price discrimination, which depending on the nature of distribution of customers in reservation price space, allows sellers to increase revenues compared to a standard strategy to price products separately. A particularly interesting form of this pricing strategy is mixed bundling. It is frequently used as a tool of price discrimination in sale of a television packages, telecommunication, financial and medical services, as well as most of the products sold on the Internet. This project aims to achieve further progress in exploring the theoretical foundations bundling by adopting a novel approach to analyze determinants of bundling profitability for two goods case. The proposed project utilizes computer simulations in conjunction with the econometric analysis and adoption of copula functions, which are relatively unknown in economics. Copula functions allow to explicitly describe and treat the relationships between (fairly general) marginal distributions of reservation prices.This will enable us to analyze bundling in relation to the properties of the resulting two-dimensional multimodal distribution. We claim that relationship between marginal distributions are of fundamental importance for the selection of a specific strategy for bundling. The project aims at capturing the diversity of possible types of consumer preferences in the market and the consequences that this diversity creates for efficiency of the allocation.

Anticyclical capital buffers and LtV and DtI constraints in banking - are they elements of prudential banking regulations or new tools in central bank stabilising policy.

UMO-2012/07/N/HS4/02671 - PRELUDIUM

The main research objective of this project is to combine and extend the achievements of economists, banking regulators and central bankers in the field of the issue of pro-cyclicality of Basel banking regulations and the impact of other prudential tools in banking, such as LtV and DtI, on the real economy.

It is going to be analyzed the impact of counter-cyclical capital buffer and the LtV and DtI limits on the cyclicality of GDP, and the effectiveness of stabilizing monetary policy. The issue is important both in the context of the work on the implementation of the new regulations in the banking sector (Basel III) that aim is to ensure the safety of the banking sector, especially to avoid turbulence that accompanied the last financial crisis, as well as for the effectiveness of monetary policy, including in the context of monetary integration (joining The Euro zone) and the preservation of the ability to make stabilization efforts by the authorities of particular country.

In this research project it is planned to verify the following main hypotheses:

H1: countercyclical capital buffer, limit on the rate of total credit commitments in the current period to the net income (Debt to Income, DtI) and limit on the ratio of loan-to-collateral value (Loan to Value, LtV) can not be effective tools, both in the regime of prudential banking regulation and stabilization policy of the central bank and the prudential and stability goals can not be compatible at the same time;

H2: The problem of pro-cyclicality of Basel II solutions, is due to the use of the Internal Ratings -Based Approach -IRB for determining the capital requirement for credit risk by the majority of banks in the particular country.