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kształcenia dla WNE

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WNE Centrum
Egzaminacyjnym EBC*L 

WP(31)148. Why are women paid less than men? An investigation into gender wage gap in Poland

Abstrakt

Despite decades of anti-discriminatory legislation, wage discrimination against women is believed to be a major source of social inequality in the developed economies. In the present study we investigate the issue of gender wage gap in Poland. The analysis is carried out both with regard to the labour market as a whole and in different occupational groups. We control for potential occupational segregation by including only groups with nearly balanced males-to-females ratio (0.4-0.6). The raw wage data suggest that in the case of most occupations women in Poland earn less than men. What is more, when controlling for individual and job characteristics relevant from the perspective of the labour market, the gender pay gap increases. Lower wages received by females cannot be, therefore, justified by lower productivity potential. On the contrary, despite better qualifications than in the case of men, women earn on average less, which points to the existence of gender discrimination in the Polish labour market.
Paweł Strawiński Aleksandra Majchrowska, Karolina Konopczak, Agnieszka Skierska

WP(30)147. Generalized Momentum Asset Allocation Model

Abstrakt

 In this paper we propose Generalized Momentum Asset Allocation Model (GMAA). GMAA is a new approach to construct optimal portfolio and is based on close examination of asset?s returns distribution. GMAA tries to capture certain market phenomena and use information they contain as predictors for future returns. Our model is validated using MSCI Indexes with MSCI World Index set as a benchmark. We find results rather promising as we managed to significantly reduce portfolio volatility and obtain stable path of cumulative returns of portfolio. Our model outperforms benchmark in terms of Information Ratio or Maximum Drawdown. Detailed sensitivity analysis was conducted at the end of this paper and it shows that our strategy is sensitive to a few optimization parameters thus further research may be required.
Tomasz Skoczylas Piotr Arendarski, Paweł Misiewicz, Mariusz Nowak, Robert Wojciechowski

WP(29)146. Teaming up or writing alone - authorship strategies in leading Polish economic journals

Abstrakt

The returns to scientific collaboration have been widely acknowledged. The general trend observed in top scientific journals is an increase in collaborative activities both between researchers and between institutions, especially with regard to international co-authorship. Not only there is a growing number of papers written in co-authorship, but also there is an increase in the number of co-authors. In this paper, we investigate whether similar tendencies have emerged in the scientific community of economists in Poland. Using social network analysis, we focus on collaboration between researchers publishing in five leading Polish economic journals. We find that both the number of articles written in collaboration and average number of authors per article are steadily increasing. Yet, compared to what we observe in western economic journals, the scale of collaboration is modest. Furthermore, the increase in collaborative activity which we observe is not followed by a rise in collaboration with foreign co-authors.
Grażyna Bukowska Jan Fałkowski Beata Łopaciuk-Gonczaryk

WP(28)145. Can We Really Explain Worker Flows in Transition Economies?

Abstrakt

This paper employs a new rich source of data on worker reallocation in transition economies and provides a decomposition of the aggregate changes into those attributable to sectoral reallocation, those attributable to transition per se and those attributable to demographics. Aghion and Blanchard (1994) provide a theoretical framework that allows to conceptualize a reallocation from an (implicitly inefficient) public sector to a (more efficient) private sector, which is extremely useful in the analyses of economic transition. However, transition processes are not isolated from global trends such as a shift from industry to services, which is more explicitly tackled in the sectoral reallocation models of Caballero and Hammour (1996, 2001). Finally, there are also demographic processes, which exhibit in labor market exits by people with outdated or no longer necessary skills and in labor market entries by people with possibly better matched competences. The aggregate changes in transition economies are a combination of these three mechanisms. We thus test the validity of Aghion and Blanchard (1994) as well as Caballero and Hammour (1996, 2001) in the context of 26 transition economies over the period 1989-2006. We find that demographics and education can accommodate a fair share of shift from public to private and from manufacturing to services - as opposed to the actual worker flows between jobs. Whether or not this results in reduced employment at the end of the transition process stems not from the wage setting mechanism (such as collective bargaining, indexation, etc.) but rather seems to be related to the policies able to keep older cohorts in employment.
Joanna Tyrowicz Lucas Augusto van der Velde

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

Abstrakt

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
Juliusz Jabłecki Ryszard Kokoszczyński Paweł Sakowski Robert Ślepaczuk Piotr Wójcik

WP(26)143. Volatility as a new class of assets? The advantages of using volatility index futures in investment strategies

Abstrakt

This paper investigates the changes in the investment portfolio performance after including VIX. We apply different models for optimal portfolio selection (Markowitz and Black-Litterman) assuming both the possibility of short sale and the lack of it. We also use various assets, data frequencies, and investment horizons to get a comprehensive picture of our results? robustness. Investment strategies including VIX futures do not always deliver higher returns or higher Sharpe ratios for the period 2006-2013. Their performance is quite sensitive to changes in model parameters. However, including VIX significantly increases the returns in almost all cases during the recent financial crisis. This result clearly emphasizes potential gains of having such an asset in the portfolio in case of very high volatility in financial markets.
Juliusz Jabłecki Ryszard Kokoszczyński Paweł Sakowski Robert Ślepaczuk Piotr Wójcik

WP(25)142. Simple heuristics for pricing VIX options

Abstrakt

The article presents a simple parameterization of the volatility surface for options on the S&P 500 volatility index, VIX. Specifically, we document the following features of VIX implied volatility: (i) VIX at-the-money (ATM) implied volatility correlates strongly with the volatility skew in S&P 500 options; (ii) VIX ATM implied volatility declines exponentially with options' time to expiry; (iii) a SABR-type model can be used to model the smile observed in VIX options. These observations lead to simple heuristics for quoting prices (in terms of implied volatility) of VIX options with almost arbitrary strike and expiry, obtaining values that are reasonably close to market levels.
Juliusz Jabłecki Ryszard Kokoszczyński Paweł Sakowski Robert Ślepaczuk Piotr Wójcik

WP(24)141. Within- and between- sample tests of preference stability and willingness to pay for forest management

Abstrakt

The assumption of the stability of preferences is a fundamental one in the theory of the consumer. Many papers within the stated preferences literature have tested this assumption, and have found mixed results. Individuals may become more sure of their preferences as they repeat a valuation task or purchase decision; they may also learn more about prices and quantities of substitutes or complements over time, or about other relevant characteristics of both the good being valued and alternatives in their choice sets. In this paper, we test for the stability of preferences and willingness to pay for attributes of forest management both within and between samples. The within-sample test compares a set of responses from individuals over the sequence of a survey; the between-sample test compares responses from the same people over a period of 6 months. We find that respondents? preferences differ more within a sample (comparing their first 12 with their second 12 choices) than across samples. This may imply that preference learning and/or fatigue effects within choice experiments are more important than changes in preferences over time in this data.
Mikołaj Czajkowski Anna Bartczak Marek Giergiczny Wiktor Budziński, Nick Hanley

WP(23)140. Internet piracy and book sales: a field experiment

Abstrakt

We report the results of an experimental study analyzing the effects of Internet piracy on book sales. We conducted a year-long controlled large-scale field experiment with pre-treatment pair matching. Half of the book titles received experimental treatment, in which a specialized agency would immediately remove any unauthorized copy appearing on the Internet. For the other half we merely registered such occurrences, but no countermeasures were taken. For all the titles we obtained print and e-book sales statistics from the publishers. We find that removal of unauthorized copies was an effective method of curbing piracy, but this had no bearing on legal sales.
Wojciech Hardy Michał Krawczyk Joanna Tyrowicz

WP(22)139. Technical Barriers to Trade Notifications and Dispute Settlement of the WTO

Abstrakt

The aim of this paper is to verify to which extent and in which circumstances the TBT notifications can serve as a system of early warning for future disputes in the areas of TBTs. During 1995-2011 there have been 45 requests for consultations under the Dispute Settlement (DS) Body of the World Trade Organization (WTO) in order to identify the violations in technical barriers to trade (TBT) agreement. The DS Body decisions regarding violations of TBT agreement are discussed in this paper. The WTO members, in order to increase transparency of trade policy, made efforts to compile data on notified TBTs. WTO provides a TBT dataset that covers Specific Trade Concerns (STC) raised by its members. This paper attempts to find the linkages between DS cases citing TBT agreement and the STC data. We analyze descriptively and econometrically, the relationship between raising TBT STCs and DS cases on TBT.
Jan Jakub Michałek Mohammad Mahdi Ghodsi

WP(21)138. Language and (the Estimates of) the Gender Wage Gap

Abstrakt

 In this paper we link the estimates of the gender wage gap with the gender sensitivity of the language spoken in a given country. We find that nations with more gender neutral languages tend to be characterized by lower estimates of GWG. The results are robust to a number of sensitivity checks.
Karolina Goraus-Tańska Joanna Siwińska-Gorzelak Joanna Tyrowicz Lucas Augusto van der Velde

WP(20)137. Small assumptions (can) have a large bearing: evaluating pension system reforms with OLG models

Abstrakt

The objective of this paper is to inquire the consequences of some simplifying assumptions typically made in the overlapping generations (OLG) models of pension systems and pension system reforms. This literature is largely driven by policy motivations. Consequently, the majority of the papers is extremely detailed in the dimension under scrutiny. On the other hand, complexity of general equilibrium OLG modeling necessitates some simplifications in the model. We run a series of experiments in which the same reform in the same economy is modeled with six different sets of assumptions concerning the shape of the utility function, time inconsistency, bequests? redistribution, labor supply decisions and internalizing the linkage between social security contributions and benefits in these decisions as well as public spending. We find that these assumptions significantly affect both the size and the sign of the macroeconomic and welfare measures of policy effects with the order of magnitude comparable to the reform itself.
Marcin Bielecki Karolina Goraus-Tańska Jan Hagemejer Joanna Tyrowicz Krzysztof Makarski

WP(19)136. Buying spatially-coordinated ecosystem services and biodiversity conservation on forest land: an experiment on the role of auction format and communication.

Abstrakt

Procurement auctions are one of several policy tools available to incentivise the provision of ecosystem services and biodiversity conservation. Successful biodiversity conservation often requires a landscape-scale approach and the spatial coordination of participation, for example in the creation of wildlife corridors. In this paper, we use a laboratory experiment to explore two features of procurement auctions in a forest landscape?the pricing mechanism (uniform vs. discriminatory) and availability of communication (chat) between potential sellers. We modify the experimental design developed by Reeson et al. (2011) by introducing uncertainty (and hence heterogeneity) in the production value of forest sites as well as an automated, endogenous stopping rule. We find that discriminatory pricing yields to greater environmental benefits per government dollar spent, chiefly due to better coordination between owners of adjacent plots. Chat also facilitates such coordination but also seems to encourage collusion in sustaining high prices for the most environmentally attractive plots. These two effects offset each other, making chat neutral from the viewpoint of maximizing environmental effect per dollar spent.
Anna Bartczak Michał Krawczyk Nick Hanley, Anne Stenger

WP(18)135. Does historical volatility term structure contain valuable in-formation for predicting volatility index futures?

Abstrakt

We suggest that the term structure of volatility futures (e.g. VIX futures) shows a clear pattern of dependence on the current level of VIX index. At the low level of VIX (below 20) the term structure is highly upward sloping; at the high VIX level (over 30) it is strongly downward sloping. We use those features to better predict future volatility and index futures. We begin by introducing some quantitative measures of volatility term structure (VTS) and volatility risk premium (VRP). We use them further to estimate the distance between the actual value and the fair (model) value of the VTS. We find that this distance has significant predictive power for volatility futures and index futures and we use this feature to design a simple strategy to invest in VIX index futures and S&P500.
Juliusz Jabłecki Ryszard Kokoszczyński Paweł Sakowski Robert Ślepaczuk Piotr Wójcik

WP(17)134. Social norms, morals and self-interest as determinants of pro-environment behaviour

Abstrakt

This paper considers the role which selfish, moral and social incentives and pressures play in explaining the extent to which stated choices over pro-environment behaviours vary across individuals. The empirical context is choices over household waste contracts and recycling actions in Poland. A theoretical model is used to show how cost-based motives and the desire for a positive self- and social image combine to determine the utility from alternative choices of recycling behaviour. We then describe a discrete choice experiment designed to empirically investigate the effects such drivers have on stated choices. Using a latent class model, we distinguish three types of individual who are described as duty-orientated recyclers, budget recyclers and homo oeconomicus. These groups vary in their preferences for how frequently waste is collected, and the number of categories into which household waste must be recycled. Our results have implications for the design of future policies aimed at improving participation in recycling schemes.
Mikołaj Czajkowski Nick Hanley, Karine Nyborg

WP(16)133. Are children driving the gender wage gap? Comparative evidence from Poland and Hungary

Abstrakt

The paper examines how much children and responsibilities related with them contribute towards the divergence of men?s and women?s wages, and consequently, to the formation of the gender wage gap. To derive the relative contribution of gender specific wage inequalities caused by the parenthood to the overall gender wage gap, we provide a modification of standard Oaxaca-Blinder decomposition method. Contrary to our expectations, the findings show that most of the gender wage inequality is due to the positive wage gap between men who do and do not have children and not due to the wage penalty incurred by mothers.
Ewa Cukrowska-Torzewska Anna Lovasz

WP(15)132. Probability weighting in different domains: the role of stakes, fungibility, and affect

Abstrakt

This paper reports the results of a laboratory experiment in which probability weighting functions for risky gains were elicited non-parametrically in over 500 incentivized subjects. I compare probability weights for monetary rewards to two less fungible domains involving vouchers for different types of consumption, inducing stronger or weaker (positive) emotions. The level of stakes was also manipulated. I find that the probability to win monetary rewards is weighted almost linearly in the high stakes condition, the probability to win vouchers associated with positive affect is underweighted and the probability to win affect-poor vouchers is strongly underweighted. Substantial underweighting also prevails in all three domains in the low stakes condition.
Michał Krawczyk

WP(14)131. Measuring the Causal Effect of Privatization on Firm Performance

Abstrakt

Despite an apparent consensus in the literature that privatization leads to increased productivity and profitability of firms, the problem of endogeneity bias is profound and has been emphasized in a number of meta-analyses. We propose a new method to address the endogeneity bias and apply it to a universe of Polish medium and large firms over 1995-2009. Unlike some previous studies we find that improvement in firm performance is a rare phenomenon, which suggests that the endogeneity bias could have been indeed large.
Jan Hagemejer Joanna Tyrowicz Jan Svejnar

WP(13)130. Determinants of saving in Poland: Are they different than in other OECD countries?

Abstrakt

This paper studies the drivers of total private and household savings in Poland and compares them to those in developed countries. To this end, the two types of saving regressions are estimated: one based on an annual panel of OECD countries and the other using Polish quarterly time series. Compared to an ?average? OECD country, the Polish private and household saving rates are more affected by the process of financial deepening. Moreover, they are also more sensitive to changes in government and corporate savings.
Zofia Barbara Liberda Aleksandra Kolasa

WP(12)129. The Sooner The Better - The Welfare Effects of the Retirement Age Increase Under Various Pension Schemes

Abstrakt

We evaluate the welfare and macroeconomic effects of increasing the retirement age in the context of population aging. In an overlapping generations framework we simulate the increase of the retirement age by seven years under different pension systems (defined benefit, notionally defined contribution and fully funded). We show that raising the retirement wage is universally welfare enhancing for all living and future cohorts, regardless of the pension system. Quantitatively, this policy intervention is able to counterweight the adverse macroeconomic consequences of aging. We test the validity of our findings in a population with lower pace of aging due to higher fertility. Finally, we show scope for further welfare gains if productivity is relatively high at old ages.
Marcin Bielecki Karolina Goraus-Tańska Jan Hagemejer Joanna Tyrowicz

WP(11)128. Gender Wage Gap in Poland ? Can It Be Explained by Differences in Observable Characteristics?

Abstrakt

The raw gender wage gap over the period 1995-2012 amounts to app. 9% of hourly wage and is fairly stable. However, the raw gap does not account for differences in endowments between genders. In fact, the adjusted wage gap amounts to as much as 20% on average over the analyzed period and shows some cyclical properties. The estimates of adjusted gender wage gap do not seem to exhibit any long-term trends, which suggest that in general neither demographic changes nor the progressing transition underlie the phenomenon of unequal pay for the same work among men and women.
Karolina Goraus-Tańska Joanna Tyrowicz

WP(10)127. We all do it, but are we willing to admit? Incentivizing digital pirates' confessions.

Abstrakt

In this study we try to assess the prevalence of illicit downloading in the market of audio books and the willingness to admit to such practices. We compare the Bayesian Truth Serum (Prelec, 2004) treatment in which truthful responses and precise estimates are rewarded to the control treatment with a flat participation fee. We find a sizable treatment effect - incentivized ?pirates? admit approximately 60% more often than the non-incentivized ones.
Anna Kukla-Gryz Michał Krawczyk Joanna Tyrowicz Konrad Siwiński

WP(9)126. Happy-go-lucky. Positive emotions boost demand for lotto.

Abstrakt

The objective of this work was to investigate whether situational emotions can influence consumers? decision to purchase lottery tickets. We conducted a field experiment in which positive or negative emotions were induced immediately prior to such a decision in 685 subjects unaware of their participation in a study. Two methods of induction?gambling related and gambling unrelated?were used to verify the robustness of the results. We found that subjects in whom positive emotions were induced, in both gambling and non-gambling contexts, bought lottery tickets significantly more often than subjects with negative emotions or those in the control group.
Michał Krawczyk Zuzanna Halicka

WP(8)125. Wildfires in Poland: the impact of risk preferences and loss aversion on environmental choices

Abstrakt

 This paper examines how risk preferences and loss aversion affect choices over a risky environmental good, wildfire prevention in Poland. We collect data in a stated preference survey that allows us to calculate both risk aversion and loss aversion parameters from individual respondents in both the financial and environmental domains. In doing so, we are able to confirm that this behaviour is consistent with prospect theory and holds for the majority of respondents. Additionally, we find little evidence of domain specificity of risk: responses to the financial risk questions were good predictors of responses to the environmental risk questions.
Anna Bartczak Susan Chilton, Jürgen Meyerhoff

WP(7)124. Author gender affects the rating of academic articles: Evidence from an incentivized, deception-free laboratory experiment.

Abstrakt

In this study we sought to verify the hypothesis that a researcher?s gender affects evaluation of his or her work, especially in fields in which women are a small minority. To this end we asked a sample of economics majors to rate papers written by mixed-gender couples, indicating that they were (co-) authored by a ?female economist?, ?male economist?, ?young female economist? or ?young male economist?. While the age factor played no role, female authors received lower ratings. This effect was independent of the subject's gender.
Michał Krawczyk Magdalena Smyk

WP(6)123. Modeling volatility with Range-based Heterogeneous Autoregressive Conditional Heteroskedasticity model

Abstrakt

In this paper a new ARCH-type volatility model is proposed. The Range-based Heterogeneous Autoregressive Conditional Heteroskedasticity (RHARCH) model draws inspiration from Heterogeneous Autoregressive Conditional Heteroskedasticity presented by Muller et al. (1995), but employs more efficient, range-based volatility estimators instead of simple squared returns in conditional variance equation. In the first part of this research range-based volatility estimators (such as Parkinson, or Garman-Klass estimators) are reviewed, followed by derivation of the RHARCH model. In the second part of this research the RHARCH model is compared with selected ARCH-type models with particular emphasis on forecasting accuracy. All models are estimated using data containing EURPLN spot rate quotation. Results show that RHARCH model often outperforms return-based models in terms of predictive abilities in both in-sample and out-of-sample periods. Also properties of standardized residuals are very encouraging in case of the RHARCH model.
Tomasz Skoczylas

WP(5)122. Power laws in citation distributions: Evidence from Scopus

Abstrakt

Modeling distributions of citations to scientific papers is crucial for understanding how science develops. However, there is a considerable empirical controversy on which statistical model fits the citation distributions best. This paper is concerned with rigorous empirical detection of power-law behaviour in the distribution of citations received by the most highly cited scientific papers. We have used a large, novel data set on citations to scientific papers published between 1998 and 2002 drawn from Scopus. The power-law model is compared with a number of alternative models using a likelihood ratio test. We have found that the power-law hypothesis is rejected for around half of the Scopus fields of science. For these fields of science, the Yule, power-law with exponential cut-off and log-normal distributions seem to fit the data better than the pure power-law model. On the other hand, when the power-law hypothesis is not rejected, it is usually empirically indistinguishable from most of the alternative models. 
Michał Brzeziński

WP(4)121. Economic modeling approaches: optimization versus equilibrium

Abstrakt

The paper discusses three general classes of nonlinear programming models. Our objective is to show how to represent optimization problem, such as nonlinear programs, in a compact format using extended mathematical programming. This is a useful tool, especially in cases when complementarity representation, such as mixed complementarity problems, could be difficult to apply. We reflect on the special features of the abstract neoclassical growth model with infinite horizon and illustrate four distinct approaches to computing equilibrium transition paths. The relationship between optimization and equilibrium modeling is explored. We conclude with a test of a new model representation (extended mathematical programming) using two common general equilibrium studies in the literature: Ramsey and Negishi. The new framework allows to define complementarity problems for a model formulated as an optimization problem, thus the resulting model becomes in fact a complementarity problem.
Olga Kiuila Thomas F. Rutherford

WP(3)120. Does social security reform reduce gains from increasing the retirement age?

Abstrakt

The objective of this paper is to analyze the welfare effects of raising the retirement age. With aging populations, in many countries de iure retirement age has been raised. With a standard assumption that individuals prefer leisure to work, such policy necessitates some welfare deterioration. This could be outweighed by lower taxation (defined benefit schemes becoming more balanced) or higher pension benefits (defined contribution schemes yield higher effective replacement rate). Moreover, it is often argued that actuarially fair pension systems provide sufficient incentives for individuals to extend the number of working years, which undermines the need to change de iure retirement age. In this paper we construct an OLG model in which we analyze welfare effects of extending the retirement age under PAYG defined benefit, PAYG defined contribution and partially funded defined contribution pension schemes. We find that such policy is universally welfare improving. However, postponed retirement translates to lower savings, which implies decrease in per capita capital and output.
Karolina Goraus-Tańska Joanna Tyrowicz Krzysztof Makarski

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

Abstrakt

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.
Florian Mueller

WP(1)118. Empirical modeling of the impact factor distribution

Abstrakt

The distribution of impact factors has been modeled in the recent informetric literature using two-exponent law proposed by Mansilla et al. (2007). This paper shows that two distributions widely-used in economics, namely the Dagum and Singh-Maddala models, possess several advantages over the two-exponent model. Compared to the latter, the former give as good as or slightly better fit to data on impact factors in eight important scientific fields. In contrast to the two-exponent model, both proposed distributions have closed-from probability density functions and cumulative distribution functions, which facilitates fitting these distributions to data and deriving their statistical properties.
Michał Brzeziński

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