Working Papers

The WNE Working Papers series has been published by the Faculty of Economic Sciences at the University of Warsaw since 2008.

The WNE Working Papers series provides a fast, open channel for disseminating research conducted at the Faculty of Economic Sciences, University of Warsaw. The papers hosted here are working versions (pre-prints) and may evolve as authors refine their analyses, incorporate feedback, or progress through formal peer-review. What you read is the current version released by the authors, timestamped and assigned DOI/ISSN identifiers to ensure precise citation and version tracking. Copyright remains with the authors, who may, at any time, upload a revised file or add a note directing readers to a later, peer-reviewed publication.

The Working Papers series accepts articles by research employees of the Faculty and publications from conferences organised at the Faculty of Economic Sciences at the University of Warsaw. Articles should be original research papers which have not been previously published, on the subject of economics.

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Number of Results 8

WP(7/2026)501. Causal Inference under Algorithmic Interference: Identification and Estimation without SUTVA in Platform Economies

Authors: Ryłow Jakub
The Stable Unit Treatment Value Assumption (SUTVA) fails systematically in platform economies where a deterministic algorithm mediates all interactions, making interference structural and mechanistically knowable. We introduce algorithmic interferenc…

WP501. Causal Inference under Algorithmic Interference: Identification and Estimation without SUTVA in Platform Economies

The Stable Unit Treatment Value Assumption (SUTVA) fails systematically in platform economies where a deterministic algorithm mediates all interactions, making interference structural and mechanistically knowable. We introduce algorithmic interference — a structural potential-outcomes model in which spillovers flow through the platform's known decision rule — and construct the Debiased Algorithmic Instrumental Variable (DAIV) estimator: a cross-fitted semiparametric procedure combining Double Machine Learning with the IV equation implied by the algorithmic mechanism. Under local algorithmic monotonicity (LAM), both the ATE and CATE are point identified; without LAM the sharp identified set is characterised. DAIV is sqrt(n)-consistent, asymptotically normal, and semiparametrically efficient, with a formal LAM test supplied. A synthetic ride-sharing example (n = 10,000) shows that standard DML overstates the treatment effect by 52% relative to DAIV; a Hausman-type specification test strongly rejects no algorithmic interference.


DOI: https://doi.org/10.33138/2957-0506.2026.7.501
Ryłow Jakub
algorithmic interference SUTVA potential outcomes causal identification double machine learning platform economies instrumental variables semiparametric efficiency partial identification

WP(26/2025)489. How Effective are Energy Labels? Evidence from the 2021 EU Reform

Authors: Toker Doganoglu, Grzybowski Łukasz, Frank Verboven
Energy labels are often used to promote the adoption of more energy-efficient domestic appliances. This paper provides evidence on the impact of the 2021 revision of the EU energy labeling regulation using product-level sales data on refrigerators in…

WP489. How Effective are Energy Labels? Evidence from the 2021 EU Reform

Energy labels are often used to promote the adoption of more energy-efficient domestic appliances. This paper provides evidence on the impact of the 2021 revision of the EU energy labeling regulation using product-level sales data on refrigerators in four European countries (Belgium, France, Germany, and Poland). We first document substantial cross-country differences in sales-weighted energy consumption, reflecting differences in product portfolios and consumer preferences. Controlling for product characteristics, average energy consumption declines by between 3.3% in France and 4.2% in Belgium following the reform. We subsequently estimate a product-level demand model that incorporates energy labels in utility either directly or through their associated 15-year electricity costs. The results indicate that consumers undervalue future energy costs under both labeling regimes, although the degree of undervaluation declines under the new labels. Counterfactual simulations suggest that the labeling reform generated only modest energy efficiency gains. Larger gains could be achieved through alternative policies: stricter minimum standards (banning the least efficient appliances) or fiscal incentives (a feebate scheme subsidizing efficient appliances while taxing inefficient ones).


DOI: https://doi.org/10.33138/2957-0506.2025.26.489
Toker Doganoglu, Grzybowski Łukasz, Frank Verboven
Energy Efficiency EU Energy Label Nested Logit

WP(25/2024)461. Awareness and Impact of Energy Labels on Purchases of Household Appliances in the EU

Authors: Monica Barahona-Varon, Toker Doganoglu, Grzybowski Łukasz
This paper examines Eurobarometer survey data from 27,438 individuals across 28 EU Member States in 2019 to evaluate the awareness and impact of EU Energy Labels. Specifically, we analyze the role of socioeconomic characteristics such as age, gender,…

WP461. Awareness and Impact of Energy Labels on Purchases of Household Appliances in the EU

This paper examines Eurobarometer survey data from 27,438 individuals across 28 EU Member States in 2019 to evaluate the awareness and impact of EU Energy Labels. Specifically, we analyze the role of socioeconomic characteristics such as age, gender, education, financial stability, and political engagement. Our results suggest that individual characteristics have a greater effect on the influence of labels on purchase decisions than on label awareness. However, significant heterogeneity across countries persists even after controlling for individual characteristics. Using our model, we conduct three exercises in which we assume a policymaker can either increase label awareness among all unaware individuals or target those with specific characteristics, and we demonstrate the resulting impact on the share of people whose purchases are influenced by the label. The findings reveal that even when label awareness is at its highest level, it does not necessarily translate into substantially higher influence on purchasing decisions in some countries. Additionally, at the country level, certain socioeconomic and political variables are positively correlated with label awareness.
 


DOI: https://doi.org/10.33138/2957-0506.2024.25.461
Monica Barahona-Varon, Toker Doganoglu, Grzybowski Łukasz
European Green Deal Ecodesign Directive Energy-efficiency

WP(35/2020)341. The impact of the results of football matches on the stock prices of soccer clubs

Authors: Ślepaczuk Robert, Wabik Igor
The aim of this paper is to study the relationship between sport results and stock prices of European football clubs. To show that connection, we use two econometric models. Firstly, we conduct an event study analysis around the dates of football gam…

WP341. The impact of the results of football matches on the stock prices of soccer clubs

The aim of this paper is to study the relationship between sport results and stock prices of European football clubs. To show that connection, we use two econometric models. Firstly, we conduct an event study analysis around the dates of football games to look for existence of abnormal returns. Secondly, we use OLS regression to test what effect the unexpected part of the result has. Based on 2239 observations of football matches results played between 01/08/2016 and 02/03/2020, we find significant relationship between sport results and financial performance. Significant negative abnormal returns are observed around defeats and draws, while for wins the impact is unclear. Using second model, we find positive values for coefficients related to unexpected number of points, which can be an additional evidence of a link between football results and stock prices. Finally, we see the potential for systematic trading strategy on soccer stocks based on the presented results. Such algo strategy with market neutral characteristic should beat the market regardless of market conditions.


Ślepaczuk Robert, Wabik Igor
soccer stock returns event study analysis algorithmic investment strategies market neutral strategy sports efficiency

WP(9/2018)268. Momentum and contrarian effects on the cryptocurrency market

Authors: Krzysztof Kość, Sakowski Paweł, Ślepaczuk Robert
We report the results of investigation of the momentum and contrarian effects on cryptocurrency markets. The investigated investment strategies involve 100 (amongst over 1200 present as of date Nov 2017) cryptocurrencies with the largest market cap a…

WP268. Momentum and contrarian effects on the cryptocurrency market

We report the results of investigation of the momentum and contrarian effects on cryptocurrency markets. The investigated investment strategies involve 100 (amongst over 1200 present as of date Nov 2017) cryptocurrencies with the largest market cap and average 14-day daily volume exceeding a given threshold value. Investment portfolios are constructed using different assumptions regarding the portfolio reallocation period, width of the ranking window, the number of cryptocurrencies in the portfolio, and the percent transaction costs. The performance is benchmarked against: (1) equally weighted and (2) market-cap weighted investments in all of the ranked assets, as well as against the buy and hold strategies based on (3) S&P500 index, and (4) BTCUSD price. Our results show a clear and significant dominance of the short-term contrarian effect over both momentum effect and the benchmark portfolios. The information ratio coefficient for the contrarian strategies often exceeds two-digit values depending on the assumed reallocation period and the width of the ranking window. Additionally, we observe a very significant diversification potential for all cryptocurrency portfolios with relation to the S&P500 index.


DOI: http://doi.org.10.26405/WP/WNE/2018/268/009
Krzysztof Kość, Sakowski Paweł, Ślepaczuk Robert
cryptocurrencies bitcoin blockchain momentum effect contrarian effect investment strategy efficiency of financial markets new asset class asset allocation

WP(27/2014)144. Options delta hedging with no options at all

Authors: Jabłecki Juliusz, Kokoszczyński Ryszard, Sakowski Paweł, Ślepaczuk Robert, Wójcik Piotr
The adjustment speed of delta hedged options exposure depends on the market realized and implied volatility. We observe that by consistently hedging long and short positions in options we can eventually end up with pure exposure to volatility without…

WP144. Options delta hedging with no options at all

The adjustment speed of delta hedged options exposure depends on the market realized and implied volatility. We observe that by consistently hedging long and short positions in options we can eventually end up with pure exposure to volatility without any options in the portfolio at all. The results of such arbitrage strategy is based only on speed of adjustment of delta hedged option positions. More specifically, they rely on interrelation between realized volatility levels calculated for various time intervals (from daily to intraday frequency). Theoretical intuition enables us to solve the puzzle of the optimal frequency of hedge adjustment and its influence on hedging efficiency. We present results of a simple hedge strategy based on the consistent hedging of a portfolio of options for various worldwide equity indice


Jabłecki Juliusz, Kokoszczyński Ryszard, Sakowski Paweł, Ślepaczuk Robert, Wójcik Piotr
options hedging efficiency optimal hedging frequency realized and implied volatility index futures investment strategies

WP(2/2014)119. Portfolio Performance Implications of Environmental, Social and Governance based Asset Selection

Authors: Mueller Florian
This study examines the linkage between corporate social responsibility and stock market returns in the USA, Canada, Germany, the United Kingdom and Switzerland. Concentrating on corporate disclosure and corporate eco-efficiency, we find mostly mixed…

WP119. Portfolio Performance Implications of Environmental, Social and Governance based Asset Selection

This study examines the linkage between corporate social responsibility and stock market returns in the USA, Canada, Germany, the United Kingdom and Switzerland. Concentrating on corporate disclosure and corporate eco-efficiency, we find mostly mixed results by employing factor performance attribution models. A theoretical framework to model the real underlying relation is presented.


Mueller Florian
Corporate Social Responsibility Corporate Sustainability Corporate Disclosure Eco-Efficiency Environmental Performance Asset Pricing Models Performance Evaluation Portfolio Analysis ESG (environmental social governance) Asset Selection

WP(25/2011)65. Dynamic caliper matching

Authors: Strawiński Paweł
Matched sampling is a methodology used to estimate treatment effects. A caliper mechanism is used to achieve better similarity among matched pairs. We investigate finite sample properties of matching with calipers and propose a slight modification to…

WP65. Dynamic caliper matching

Matched sampling is a methodology used to estimate treatment effects. A caliper mechanism is used to achieve better similarity among matched pairs. We investigate finite sample properties of matching with calipers and propose a slight modification to the existing mechanism. The simulation study compares the performance of both methods and shows that a standard caliper performs well only in case of constant treatment or uniform propensity score distribution. Secondly, in a case of non-uniform distribution or non-uniform treatment the dynamic caliper method outperforms standard caliper matching.


Strawiński Paweł
propensity score matching caliper efficiency Monte Carlo study finite sample properties
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