Certyfikat jakości 
kształcenia dla WNE

EBCL
WNE Centrum
Egzaminacyjnym EBC*L 

WP(19)304. Evolution of private returns to schooling over the business cycle in a transition economy

Abstrakt

The purpose of this study is twofold. First, it aims to provide the estimates of returns to schooling using consistent methodology and comparable set of data for a relatively long time horizon for a country undergoing economic transition and accession process into European Union, 1995-2017. Secondly, using the Mincer (1974) methodology of wage regressions it aims to verify if returns to schooling are pro-cyclical or counter-cyclical. Returns to schooling are linked to the evolution of unemployment rate on a regional level. Estimated earnings functions suggest that returns to schooling were increasing in Poland until 2006 and declining afterwards unveiling the supply side effects domination. The estimates show that an increase in unemployment rate by 1 percent leads to an increase of return to additional year of schooling roughly by 0.008 percentage points.
Leszek Wincenciak

WP(18)303. Reevaluating distributional consequences of the transition to market economy in Poland: new results from combined household survey and tax return data

Abstrakt

We use Pareto imputation, survey reweighting, and microsimulation methods applied to combined household survey and tax return data to reevaluate distributional consequences of the post-socialist transition in Poland. Our approach results in the first estimates of top-corrected inequality trends for real equivalized disposable incomes over the years 1994-2015. We find that the top-corrected Gini coefficient grew by 14-26% more compared to the unadjusted survey-based estimates. This implies that over the last three decades Poland has become one of the most unequal European countries among those for which top-corrected inequality estimates exist. The highest-income earners benefited the most during the post-socialist transformation: the annual rate of in-come growth for the top 5% of the population exceeded 3.5%, while the median income grew by about 2.5%.
Michał Brzeziński Michał Myck, Mateusz Najsztub

WP(17)302. Hybrid Investment Strategy Based on Momentum and Macroeconomic Approach

Abstrakt

The purpose of this research is to test the potential returns and robustness of an automated investment strategy. The strategy is based on momentum and macroeconomic approach, that consists of the technical core – momentum, and the additional macro screening, which is used to determine whether investment signals generate relevant investment opportunities or just technical noise. In order to check whether the macroeconomic factor is the value added to the momentum strategy, the hybrid approach is tested and compared with the simple momentum and the macroeconomic strategy alone and then assessed on a risk-adjusted return basis. The main aim of this paper is to answer the question, whether an investor can gain surplus risk-adjusted returns from merging short-term momentum strategy with the long-term macroeconomic approach. Strategies are based on the data for the selected companies from the S&P500 index in the period ranging from 02/01/1990 to 31/12/2018.
Robert Ślepaczuk Kamil Korzeń

WP(16)301. A comparison of credit scoring techniques in Peer-to-Peer lending

Abstrakt

Credit scoring has become an important issue as the competition among financial institutions becomes very intense and even a slight improvement in accuracy of prediction might translate into significant savings. Financial institutions are seeking optimal strategies through the help of credit scoring models. Therefore credit scoring tools are widely studied. As a result different parametric statistical methods, non-parametric statistical tools and soft-computing approaches have been developed in order to increase the accuracy of credit scoring models.  In this paper different approaches to classify customers as those who pay back loan and those who default on a loan will be employed. The purpose of this study is to explore the performance of two credit scoring techniques, the logistic regression model and neural networks. In order to evaluate the feasibility and effectiveness of these methods analysis is performed on Ledning Club data. Peer-to-Peer lending, also called social lending are investigated. On the basis of the results, we can conclude that logistic regression model can provide better performance than neutral nets.
Aneta Dzik-Walczak Mateusz Heba

WP(15)300. Lévy processes on the cryptocurrency market

Abstrakt

Lévy processes are very often used in financial modelling since they address various characteristics of financial data. One of those characteristics is the heavy-tailedness of probability density functions - a very common empirical stylized fact on the cryptocurrency market. The aim of this study was to determine which type of Lévy motion fits the data of cryptocurrencies better, namely Alpha-Stable distribution or one of distributions from the family of generalized hyperbolic motions. The log-returns of 227 cryptocurrencies, standardized by the realized volatility estimated with the GARCH (1,1), were fitted to 11 types of distributions. The results show that the generalized hyperbolic motions fit the cryptocurrency data much more accurately than the Alpha-Stable distribution, similarly as in the case of TOP100 NASDAQ stocks. In the further stage of the analysis, it is shown how the distribution of cryptocurrency data varies over time, i.e. before, during, and after the 'boom-period' of 2017/2018.
Damian Zięba

WP(14)299. Does the inclusion of exposure to volatility into diversified portfolio improve the investment results? Portfolio construction from the perspective of a Polish investor.

Abstrakt

The main goal of this research is to analyse the investment benefits from an incorporation of the volatility exposure to the diversified portfolio from the perspective of a Polish investor. Volatility, treated as a new asset class, may improve the performance of the portfolio due to its negative correlation with most types of assets. This topic has been widely investigated for the United States and Europe whereas Polish market appears to be not heavily researched and this study may fill this gap. The research covers the period from October 2010 to July 2018 and is performed on the daily close prices. To construct the portfolios, the analysis uses the mean-variance framework and the naïve diversification approach. The comparison of risk-adjusted returns between investments with and without volatility exposure enables to answer the research question about an improvement of the results by the addition of a non-standard asset to the diversified portfolios. The VXX is considered as the proxy for volatility as it is the most popular ETN which follows the volatility index derivatives with the given maturity. To test the robustness of the results, the portfolios are constructed with a broad range of different parameters and assumptions imposed on the optimization procedure.
Robert Ślepaczuk Michał Latoszek

WP(13)298. Is expansion of overeducation cohort-driven? Evidence from Poland

Abstrakt

The study offers insight into dynamics of overeducation in Poland. The share of overeducated workers among tertiary educated workers grew substantially by about 8 p.p. between 2006 and 2016. In the paper, changing overeducation risk is disentangled into age, period and cohort effects. A strong upward trend in cohort effects is identified for individuals born after 1970, but not for older generations. It suggests that overeducation is a phenomenon which affects more profoundly individuals who entered the labour market after the collapse of the communism. Moreover, the study confirms that overeducation decreases with age, which has been already a well-documented finding in the literature.
Jan Aleksander Baran

WP(12)297. Old-fashioned parametric models are still the best. A comparison of Value-at-Risk approaches in several volatility states

Abstrakt

Numerous advances in the modelling techniques of Value-at-Risk (VaR) have provided the financial institutions with a wide scope of market risk approaches. Yet it remains unknown which of the models should be used depending on the state of volatility. In this article we present the backtesting results for 1% and 2.5% VaR of six indexes from emerging and developed countries using several most known VaR models, among many: GARCH, EVT, CAViaR and FHS with multiple sets of parameters. The backtesting procedure has been based on the excess ratio, Kupiec and Christoffersen tests for multiple thresholds and cost functions. The added value of this article is that we have compared the models in four different scenarios, with different states of volatility in training and testing samples. The results indicate that the best of the models that is the least affected by changes in the volatility is GARCH(1,1) with standardized student's t-distribution. Non-parmetric techniques (e.g. CAViaR with GARCH setup (see Engle and Manganelli, 2001) or FHS with skewed normal distribution) have very prominent results in testing periods with low volatility, but are relatively worse in the turbulent periods. We have also discussed an automatic method to setting a threshold of extreme distribution for EVT models, as well as several ensembling methods for VaR, among which minimum of best models has been proven to have very good results - in particular a minimum of GARCH(1,1) with standardized student's t-distribution and either EVT or CAViaR models.
Marcin Chlebus Mateusz Buczyński

WP(11)296. The limitations of the representativeness heuristic: further evidence from choices between lottery tickets

Abstrakt

The representativeness heuristic (RH) proposes that people expect even a small sample to have similar characteristics to the parent population. One domain in which it appears to operate is the preference for combinations of numbers on lottery tickets: most players seem to avoid very characteristic, "unrepresentative" combinations, e.g. only containing very low numbers. Likewise, most players may avoid betting on a combination that was drawn recently, because it would seem particularly improbable to be drawn again. We confirm both of these tendencies in two field experiments, building upon Krawczyk and Rachubik (2019, KR19). However, we find no link between these two choices: it is not the same people that show the two biases. In this sense, the RH does not organize the data well. Nevertheless, there are some links related to rationality across the two choices – people who are willing to forgo a monetary payment in order to get the preferred ticket in one task are also willing to do it in the other. We find such preference to be related with misperception of probabilities and providing intuitive, incorrect answers in the Cognitive Reflection Test.
Michał Krawczyk Joanna Rachubik

WP(10)295. Impact of social comparison on DSM in Poland

Abstrakt

Poland's energy strategy prioritizes long-term energy security, energy efficiency, reducing greenhouse gas emissions. The country's progress toward sustainable development requires in-depth analyses of possible solutions. In our study we investigate consumers' preferences for Demand Side Management programs for electricity usage in Poland. We apply a discrete Choice Experiment framework for various electricity contracts implying the external control of electricity usage. The main objective of the study is to investigate the value of potential disutility of Polish households from the energy management. Additionally, we elaborate on the effect of social comparison between households' electricity use on the acceptance of new electricity contracts. The results suggest that people require substantial compensations to accept the external control of electricity in extreme cases and in weekdays during certain hours. Turning to the social comparison, we were expecting that people with a higher electricity usage per person in a household will require lower compensations, however we observe the opposite result. The respondents who were informed that they use more electricity than an average person in his administrative district seem to feel higher discomfort from the external electricity control. This suggest that the effect of social comparison might be overbalanced by the differences in perceived utility from electricity usage.
Bernadeta Gołębiowska Anna Bartczak Wiktor Budziński

WP(9)294. Wealth inequality in Central and Eastern Europe: evidence from joined household survey and rich lists’ data

Abstrakt

We study how the problem of the 'missing rich', the underrepresentation of the wealthiest in household surveys, affects wealth inequality estimates for the post-socialist countries of Central and Eastern Europe (CEE). The survey data from the second wave of the Household Finance and Consumption Survey (HFCS) are joined with the data from the national rich lists for Esto-nia, Hungary, Latvia, Poland and Slovakia. Pareto distribution is fitted to the joined survey and rich lists' data to impute the missing observations for the largest wealth values. We provide the first estimates of the top-corrected wealth inequality for the CEE region in 2013/2014. Despite a short period of wealth accumulation during the post-1989 market economy period, our adjust-ment procedure reveals that wealth inequality in the Baltic countries is comparable to that of Germany (one of the most wealth unequal countries in Europe), while in Poland and Hungary it has reached levels observed in France or Spain. We discuss possible explanations of these find-ings with reference to the speed and range of privatization processes, extent of income inequali-ty, and the role of inheritances and wealth taxes in the region.
Michał Brzeziński Katarzyna Sałach Marcin Wroński

WP(8)293. Constitutional Overperformance – An Empirical Study of De Facto Protection of Rights with No De Jure Equivalents

Abstrakt

In this paper we aim to contribute to the debate on successful enforcement of constitutional rules and its determinants by extending the focus to the phenomenon of constitutional overperformance, which arises when countries that do not include certain de jure rights in their constitutions, nevertheless de facto observe them. Firstly, we provide evidence that constitutional overperformance is a common phenomenon around the globe. Secondly, we identify factors which contribute to it, classifying them into three groups: (1) characteristics of a given country's constitution (such as its comprehensiveness or age); (2) characteristics of the country itself, pertaining to its institutions (such as its democratization level, degree of judicial independence or legal origins) and socio-economic conditions (e.g. economic development, or presence of political conflict); as well as (3) spatial effects (diffusion of rights protection between neighboring countries). We base the conclusions on an empirical study conducted for a global sample of more than 100 countries.
Katarzyna Metelska-Szaniawska Anna Lewczuk

WP(7)292. Role of information in the valuation of unfamiliar goods—the case of genetic resources in agriculture

Abstrakt

The paper uses data from a discrete choice experiment to examine information effects on stated preferences for an unfamiliar environmental good, i.e. agricultural genetic resources. We define two groups of respondents based on their use of additional information provided in an internet survey, and model information use and its effect on individual preferences and scale using the logit and mixed logit models. Our findings indicate that both sociodemographic and attitudinal variables affect the use of information, with the respondent's age, gender, familiarity and perceptions of stakeholder responsibilities having a significant effect. The results show individual preference heterogeneity, but no significant differences in scale between the information groups after allowing the mean coefficients for the attributes to differ. Those who have used the additional information derive higher utility from the changes in the protection of agricultural genetic resources. Our results highlight the importance of genetic resource conservation and controlling for the effects of information use in choice experiment models for unfamiliar goods.
Mikołaj Czajkowski Annika Tienhaara, Heini Ahtiainen, Eija Pouta

WP(6)291. Drivers of farmers’ willingness to adopt extensive farming practices in a globally important bird area

Abstrakt

Agri-environmental schemes have become an integral tool of land use management policies in ecologically valuable river valleys, that are commonly recognized as very important bird habitats. When high adoption of extensive agricultural practices is not only a political goal, but also a necessary condition for conservation of vulnerable ecosystems, understanding of farmers' preferences is utterly important. Therefore, we use the case of Biebrza Marshes – a wetland complex and one of the largest wildlife refuges in Europe, which is located in northeastern Poland – and employ stated preference methods to investigate farmers' preferences for adopting several agricultural practices, such as precision fertilization, crop diversification, catch crops, peatland protection, extensive use of meadows, and the reduction of livestock stocking density. Farmers' willingness to participate in selected practices is explained using farms' and farmers' characteristics, subjectively and objectively measured farmers' environmental knowledge, as well as by experimentally controlled information treatments about environmental benefits of agri-environmental contracts. The results provide new insights into the sources of farmers' preference heterogeneity and show how different motivations relate to participation in agri-environmental schemes. Based on the results and consultations with local stakeholders, we make recommendations for a more efficient design and targeting of land use management instruments, including future agri-environmental schemes.
Katarzyna Zagórska Mikołaj Czajkowski Natalia Letki, Piotr Tryjanowski, Adam Wąs

WP(5)290. Unraveling local preferences and willingness to pay for different management scenarios: A choice experiment to Biosphere Reserve management

Abstrakt

Economic valuation of ecosystem services has emerged as a valuable tool to promote conservation and sustainable land management. Our study adds to this literature, by reporting the results of a discrete choice experiment used to analyse local population preferences and willingness-to-pay for selected ecosystem services resulting from different management scenarios in the Urdaibai Biosphere Reserve (Biscay, Spain). The ecosystem services considered include quality of water bodies, agricultural production, native forest protection, biodiversity, and recreation. The results indicate that the local population is willing to financially support a new management plan focused on the improvement of ecosystem health and landscape multifunctionality and sustainability, with recreation being the least valued ecosystem service. These findings may be used to inform conservation and management policies to maximize social well-being. They can also help to prioritize investments and allocation of funding and hence minimise land use conflicts.
Mikołaj Czajkowski Nekane Castillo-Eguskitza, David Hoyos, Miren Onaindia

WP(4)289. What works for disadvantaged unemployed: Private or public ALMP services? Evidence from (unplanned) RCT in Poland

Abstrakt

The aim of this paper is to assess effectiveness of public vs. private active labour market services for disadvantaged unemployed. Literature on efficiency of contracting-out ALMP services by public institutions is not consistent. Formalism and limited scope of possible actions in public institutions stands in the way to activation of the less promising unemployed. In contrary, private, contracted-out companies work as a black-box and are paid success fee. We used (done by accident) Randomised Control Trial evaluation of the contracting-out ALMP services programme in Poland. We used public registers data (Syriusz) from Małopolskie Voivodeship (province) of Poland. We compared labour market success indicators between randomly assigned groups of unemployed in receipt of normal LO services and those who were assigned to contracted private agencies. We found strong positive effect of support provided by contracted private agencies. This effect was found to be strongest among the most dismissed groups of the unemployed, while for more promising ones services are more equally effective. Results provide arguments in the discussion on differentiation of ALMP services in order to gain with greater efficiency.
Tomasz Gajderowicz Maciej Jakubowski

WP(3)288. ‘Quality food’ for cultural policies. Quality attributes in the non-market stated-preference based valuation of cultural goods

Abstrakt

Evidence-based policies require well-established research and reliable data. One of the major difficulties in delivering 'good quality food' for cultural policies lies in measuring culture. Stated preference based non-market valuation is one of the privileged tools to reveal the benefits cultural goods deliver to the society for cost-benefit analysis. The prevalent problem in this kind of research are poorly defined, ambiguous goods. The challenge lies in describing their quality attributes. The article's goal is to review the hitherto uses of quality measurements of arts and culture in stated preference based non-market valuation research, mostly dedicated to performing arts and cultural heritage.
Aleksandra Wiśniewska

WP(2)287. Robustness of Support Vector Machines in Algorithmic Trading on Cryptocurrency Market

Abstrakt

This study investigates the profitability of a algorithmic trading strategy based on training SVM model to identify cryptocurrencies with high or low predicted returns. A tail set is defined to be a group of coins whose volatility-adjusted returns are in the highest or lowest quantile. Each cryptocurrency is represented by a set of six technical features. SVM is trained on historical tail sets and tested on the current data. The classifier is chosen to be a nonlinear support vector machine. Portfolio is formed by ranking coins using SVM output. The highest ranked coins are used for long positions to be included in the portfolio for one reallocation period. The following metrics were used to estimate the portfolio profitability: %ARC (the annualized rate of change), %ASD (the annualized standard deviation of daily returns), MDD (the maximum drawdown coefficient), IR1, IR2 (the information ratio coefficients). The performance of the SVM portfolio is compared to the performance of the four benchmark strategies based on the values of the information ratio coefficient IR1 which quantifies the risk-weighted gain. The question on how sensitive the portfolio performance is to the parameters set in the SVM model is also addressed in this study.
Robert Ślepaczuk Maryna Zenkova

WP(1)286. Do female managers help to lower within-firm gender pay gaps? Public institutions vs. private enterprises

Abstrakt

We analyze the link between the presence of female managers and the size of the firm-level gender pay gap, looking separately at the private and public sector. Using a large linked employer-employee dataset for Poland and a non-parametric and parametric decompositions, we find that higher presence of female managers is associated with more pay advantage towards women in selected types of public sector units: the ones in which remunerations of women and men are already equal, and a large share of the workforce is tertiary-educated. The effects are, however, relatively small in size. In private establishments, lower gender wage inequality is associated with higher shares of female workers, but not female managers.
Ewa Cukrowska-Torzewska Magda Iga

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