Vol 16, No 3 (2016)

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Vol. 16, No 3 (2016)

Applicability of quantitative methods to economics, finance, and management

Editor: dr Tomasz Rólczyński
Editor-in-chief: Prof. Johannes Platje

Contents: PDF download >>
Editorial pag: PDF download >>

 

 

 

 


Vol. 16, No 4 (2016)16, No 3 (2016), page 5-14

Dependence of decisions made under risk on the skewness of outcome distribution: experimental results

Authors: Maria Forlicz, Tomasz Rólczyński

Article: PDF download >>

ABSTRACT:

Aim: The aim of the article is to evaluate the influence of skewness of outcome distribution on the willingness to take risk in a specific lottery.

Methodology: In the article we describe the results of an experiment conducted among students of a higher education institution. During the experiment we verified the influence of skewness of outcome distribution on the decisions to participate in a lottery whose outcome affected positively or negatively the amount of points which the student could gather in order to be awarded with a credit for a class.

Results: The experiment showed that while the outcome distribution is negatively skewed, people are less risk-loving, and when it is positively skewed people tend to take more risk (i.e. take part in a lottery).It is important to underline that each of the proposed lotteries was characterized by the same expected value. Moreover, the result of the game might have been positive or negative.

Keywords: experiment, skewness of outcome distribution, risk

JEL: D110; D810


Vol.16, No 4 (2016), page 19

Depreciation as a Tax Optimisation Tool

Author: Sonia Agnieszka Kozub-Skalska

Article: PDF download >>

ABSTRACT: The main goal of people conducting tax policy in an enterprise should be tax optimisation. It is commonly known that entrepreneurs can legally pay lower taxes using the possibilities offered by tax regulations. The use of tax optimisation allows reduction of tax burdens, and hence leads to improvements in financial results. The key, in this case, is to draw up an appropriate analysis and to create, on its basis, a tax strategy that will allow minimization of the debt burdens owned to the treasury, in a legal way. It is also important to minimize the risk associated with the use of certain approaches – the interpretation of existing laws needs to be verified by tax authorities, the judiciary of administrative courts (both WSA [Voivodship Administrative Court] and NSA [Supreme Administrative Court]) and the Constitutional Tribunal. The present article shows, in a practical way, how tax risk managers  can take advantage of depreciation as a tax optimisation tool. Depreciation generates tax-deductible costs which are usually equal to depreciation deductions. Tax advantages arising from the use of depreciation are the result of shaping the level of the taxable income. Therefore, the condition for an efficient tax costs management of an enterprise is tax depreciation planning.

Keywords: tax optimisation, tax risks, tax planning, depreciation, tax strategy

JEL: H24; H21


Vol.16, No 3 (2016), page 41-64

Forecasting economic dynamics of Germany using conditional models (1992-2014)

Author: Wiesław Edward Łuczyński

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ABSTRACT: A great diversity characterizes economic dynamics of Germany over a long period of time. This refers to many time series: in some periods, they show large volatility which then moves into stability and stagnation phase, generating specific difficulties in a long-term forecasting of economic dynamics. The aim of the research is the attempt to determine the prognostic efficiency of conditional modelling and to answer the question whether or not conditional errors are significantly smaller than the unconditional ones in long-term forecasting.
The research showed that conditional errors (root mean square errors RMSE) of an ex- post forecast did not differ significantly from the unconditional RMSE. The decreasing RMSE of the ex-post forecast for Germany’s individual economic processes (with the assumption that an intercept occurs in the ARMA procedure) was correlated more strongly with the procedure of filtering economic time series than with the application of the conditional maximum likelihood method (ML) and robust procedures. The relationship between a decreasing RMSE of the ex-post forecast and the application of conditional ML methods occurs in ARMAX forecasts (with exogenous processes) for data filtered with Hodrick – Prescott (HP) filter. It is worth pointing out that a relatively high prognostic efficiency of the robust (resistant) estimation of quantile regression occurs for the economic series linearized with the help of the TRAMO/SEATS method.

Keywords: robust procedures, quantile regression, ARMA, ARMAX, Hodrick – Prescott filter, TRAMO/SEATS.

JEL: C32, E32


Vol.16, No 3 (2016), page 65-72

Some reflections on predicting socio-economic future

Author: Stanisława Bartosiewicz

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ABSTRACT: The reflections included in this paper show the imperfections of human knowledge when it comes to predicting the socio-economic situation of a modern democratic state, and their consequences resulting in that those who develop the forecast have to direct their attention to the following issues in their exploration:

  • list of important features characterizing well-being of the state and its citizens’ condition;
  • credibility of the information on the value of the selected characteristics (data);
  • adequate methods outlining the history of how those characteristics were shaped in the past (trends);
  • methods of shaping causal relationships between these characteristics;
  • effective methods of forecasting socio-economic situation in future.

Keywords: the state’s socio-economic situation, state of knowledge, risk of errors, the role of subjectivity, modeling, forecasting

JEL:C53


Vol.16, No 3 (2016), page 73-90

Aggregate size measures of merger market: empirical evidence from Poland, 2002-2013

Author: Aleksander Buczek

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ABSTRACT: Merger and acquisition activity is very important economic phenomenon often leading to a permanent organizational changes of single industries or even entire economies. Theoretical part of this article is an attempt to define aggregate size measures which allow gaining quantitative view on its dimensions. Four measures are proposed to assess the size of a merger and acquisition market, namely: announced, backlog, completed and withdrawn volumes. Relationship between these measures is introduced. Their accuracy is dependent on assumed transaction and registration announcement definitions. Limitations of the research based on the commercial vendors’
datasets (for example Thomson Reuters) are presented. In order to overcome these limitations, alternative data collection methodology for merger transactions is derived from legal consolidation procedure defined in The Code of Commercial Partnerships and Companies. This approach allows collecting the information about 3870 merger transactions which have taken place in the period between 1st January 2002 and 31st December 2013 in Poland. Announced, backlog and completed volumes are calculated quarterly. All these quantitative measure exhibit strong seasonality. Besides, their stable growth on Polish market was observed from 2002 till 2011. After 2011 this trend has reverted, but rebound of the backlog volume in the second quarter of 2013 suggests that at least completed volume levels should be higher in the upcoming quarters.

Keywords: Merger and acquisition process; Legal merger procedure; Market size measurement; Polish merger market; Volumes analysis.

JEL: C81, G34, K20


Vol.16, No 4 (2016), page 91-110

Demographic Threats Facing Poland on the Basis of a Poll of Students of Poznań University of Economics and Business

Authors: Magdalena Popek, Leszek Wanat

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ABSTRACT: This paper makes an attempt to identify demographic threats facing Poland based on the polls taken among students of a higher education institution specialized in economics. For the purpose of the study conducted among the students of the Poznań University of Economics and Business on young people’s attitudes, including their system of values, the empirical data obtained using a questionnaire were gathered and aggregated. As the result, factors exerting influence on the demographic attitudes of academic youth were assessed. This provided the basis for formulating recommendations with respect to the state’s demographic policy.

Keywords: demography, family policy, value system, university students’ attitudes, Poznań University of Economics and Business, Poland.

JEL: A14, J11


Vol.16, No 3 (2016), page 111-122

Boundary Effect Reduction in Kernel Estimation of
Chosen Functional Characteristics of Random Variable

Author: Aleksandra Baszczyńska

Article: PDF download >>

ABSTRACT: For a random variable with bounded support, the kernel estimation of functional characteristics may lead to the occurrence of the so-called boundary effect. In the case of the kernel density estimation it can mean an increase of the estimator bias in the areas near the ends of the support, and can lead to a situation where the estimator is not a density function in the support of a random variable. In the paper the procedures for reducing boundary effect for kernel estimators of density function, distribution function and regression function are analyzed. Modifications of the classical kernel estimators and examples of applications of these procedures in the analysis of the functional characteristics relating to gross national product per capita are presented. The advantages of procedures are indicated taking into account
the reduction of the bias in the boundary region of the support of the random variable considered.

Keywords: kernel estimation, boundary effect, reflection method, gross national product per capita

JEL:C13, C14


Vol.16, No 3 (2016), page 123-132

Bootstrap Estimation Methods of Value at Risk

Author: Dorota Pekasiewicz

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ABSTRACT: Interval bootstrap methods can be used to estimate Value at Risk, defined as a quantile of fixed order of random variable being the value of losses from investments. These methods are applied when there is no information about the distribution class of the variable considered, which is the advantage of bootstrap methods compared with parametric methods. Semiparametric estimation procedures are of particular importance. They can be used in the estimation of high-order quantiles. They guarantee the occurrence of large values in the generated bootstrap samples. The paper presents nonparametric and semiparametric bootstrap estimation methods and the results of simulation studies for higher-order quantiles of a heavy-tailed distribution. The application of the methods analysed provide confidence intervals with greater accuracy compared to the nonparametric classical method. The procedures under discussion are used in VaR estimation of daily returns of selected shares at Warsaw Stock Exchange.

Keywords: bootstrap estimation, accuracy of estimation, Value at Risk

JEL: C13, C14, C15


Vol.16, No 4 (2016), page 133-146

An Analysis of Differentiated Levels of Knowledge
of Junior High School Graduates in 2002-2013

Author: Anna Błaczkowska

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ABSTRACT: The aim of the article is to apply selected methods of econometrics (dynamic and spatial) for analysis and assessment of knowledge and skills of junior high schools graduates in the years 2002-2013. In particular, the objective of the analyses was to answer the following questions:

• How did junior high school students cope with the tasks and issues contained  in the exam in the part concerned with mathematics and natural sciences as well as in the humanities part in subsequent years?
• Are there any differences in the results obtained in the exams in the sub-periods of the twelve years under discussion?
• Are there any differences in the exam results in the individual sub-periods between voivodships and the parts of the exam?
In the analyses, data were used obtained from Student Achievement Analysis Team operating at the Institute for Educational Research1 which made it possible not only to assess the dynamic changes in the graduates’ exam scores but also to conduct their spatial analysis by voivodships. Linear trend was used for the dynamics analysis, whereas for the studies of spatial changes, the k-means classification method was employed.
The analysis showed certain regularities present in the scores achieved by the junior high school graduates:

• There was a systematic decline in the graduates’ performance in mathematics and natural sciences in all voivodships in the period under study.
• The division of the years 2002-2013 into three periods – good, medium and poor results of junior high school graduates – had no clear impact on the diversification amongst voivodships.
• Students from the voivodships of south-eastern Poland achieved better exam scores in mathematics and natural sciences, and humanities.
The analysis has cognitive and applicative value. It can be used by local governments in their decision-making process relating to the improvement of the quality of educational services at the junior high school level.

Keywords: knowledge of junior high schools graduates, trend, classification, k-means

JEL: C190


Vol.16, No 3 (2016), page 147-158

What qualities of the boss motivate employees? An Analysis of Motivation Factors on the Example of Employees of the Financial Sector Companies

Author: Katarzyna Czesak-Woytala

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ABSTRACT: The goal of this paper is to find out what qualities of the manager have influence on the employee’s motivation level. For the purpose of this article the survey was conducted on employees of the financial sector companies. Statistical tests and logistic regression were used to verify the hypothesis about the importance of specific factors connected with professional work and employees’ motivation. In particular, it has been shown that the most important factors include, among others, atmosphere at work and the level of managerial and technical competence of the immediate superior. The limited availability of respondents did not allow an extensive analysis of the superior’s
qualities, hence it is necessary to deepen this study.

Keywords: motivation to work, survey, transformational leadership, exchange

JEL: E24, J28, J53


Vol.16, No 3 (2016), page 159-180

Application of Selected Methods of Grouping Data in the Study on Spatial Differentiation of Socio-Economic Phenomena on the Example of Outward Mobility in Poland in 1989-2002

Author: Katarzyna Maruszewska

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ABSTRACT: The aim of the paper is to demonstrate the usefulness of some methods of  grouping data in a spatial analysis of socio-economic phenomena on the example of the analysis of temporary emigration from Poland in the years 1989-2002. The study aimed at assessing spatial differentiation at a high level of detail, i.e. accounting for local differences. For temporary emigration, this kind of assessment was made possible by the results gathered by the National Census of Population in 2002. The paper shows examples of analyses of mobility territorial differentiation, where selected optimization-iterative and hierarchical methods of grouping were applied. The elements in the grouping space were units of territorial division covering the following breakdowns: gmina (municipality), poviat (district)
and sub-region. During the socio-economic transition period following the year 1989 temporary emigration in Poland was a phenomenon which varied considerably in regional and local dimension, as has been confirmed by the findings of the studies conducted.
A pronounced spatial dispersion was found not only in terms of its level and intensity, but also in terms of diversification of the demographic and social structure of the phenomenon. The application of the adopted methods of data classification made it possible to assess in detail the spatial differentiation of temporary emigration in Poland according to the breakdowns covering the minor, yet numerous, territorial units, as well as to visualize the results using map charts. The temporal scope of the study was limited to the years 1989-2002 because of
the nature of the source material used and a lack of comparable statistical data on the post-accession and contemporary emigration.

Keywords: spatial differentiation, cluster analysis, international migration, emigration

JEL: F22, C38, C49


Vol.16, No 3 (2016), page 181-190

On Axiomatization of Plurality Decisions with Veto

Author: Jacek Mercik

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ABSTRACT: The article presents an analysis of the axioms associated with the plurality method of aggregation of individual preferences, both when it is necessary to select one of many alternatives and when it is necessary to approve a single alternative. Also, we investigate the impact of the introduction of a new attribute, being the right of veto (absolute and relative), on the axioms given. In the conclusion, the emphasis is that the commonly used method of aggregation, i.e. the plurality method is not, in this sense, the best method,

Keywords: aggregation of preferences, axioms, power indices.emigration

JEL: C71, D71, D72


Vol.16, No 3 (2016), page 191-202

DEMATEL-based Ranking Approaches

Authors: Mirosław Dytczak, Grzegorz Ginda

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ABSTRACT: DEMATEL is an efficient tool for the identification of cause-effect relationswhich link the objects considered. A dynamical development of its popularity in recent years has resulted in numerous efforts to eliminate its weaknesses and to extend its application potential. For example, one of the attempts involved transforming it into a universal decision-making support tool aimed at weighting and ranking objects seamlessly. A critical review of the existing weighting and ranking extensions in DEMATEL is, therefore, presented in the paper. Conclusions about the usefulness of the available extensions have been drawn based on the results of an exemplary analysis.

Keywords: DEMATEL, development, application, weighting, ranking

JEL: C650, C630.


Vol.16, No 3 (2016), page 203-210

Extreme Statistics in the Analysis of the Exchange Rate Volatility of CHF/PLN

Authors: Agnieszka Bukietyńska, Mariusz Czekała

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ABSTRACT: The article presents the analysis of the exchange volatility of the Swiss franc against the Polish złoty (CHF/PLN). This issue has a significant practical relevance. Owing to its considerable volatility, the exchange rate of this currency pair has had a significant impact on the situation of several hundred thousand of borrowers. In the first decade of this century there were numerous loans (predominantly housing loans) granted which were denominated in Swiss francs. This often causes serious difficulties in debt servicing and can have significant social and economic implications. Therefore, those in power have been seeking to solve this problem in a variety of ways although no solutions has been implemented at the time of sending this paper for publishing.

Keywords: Swiss franc, Polish zloty, order statistics, domain of attraction, fat tails, distribution of maximum

JEL: C13; F31


Vol.16, No 3 (2016), page 211-228

Changes in Spatial Diversity of the Standard of Living of Poland’s Population in 2003-2012

Authors: Aleksandra Dudek, Ilona Gosztyła, Paulina Kalert, Tomasz Sowiński

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ABSTRACT: Objective The standardof living of individual countries and their regions is largely conditional  on the level of socio-economic development represented by the country concerned. For the majority of developed and developing countries the general standard of living has been improving. At the same time, the distance between the countries and regions with the lowest and highest level of economic development has been growing. In Poland, the standard of living varies across different regions (voivodships) due to, for example, cultural,
historical, social and economic reasons. Like the other EU Member States, Poland has been taking measures aimed at eliminating the disparities in the standard of living amongst the country’s population, and has been striving for its improvement. Those measures are taken, inter alia, within the framework of the EU cohesion policy.1 The focus of the study, whose results are presented in this paper, was to verify
the hypothesis on the improvement of the standard of living and the decline of disparities in this respect across different voivodships at the time before and after Poland’s accession to the European Union. Moreover, the study was also concerned with the assessment of interrelations existing between the location of a given voivodship and its standard of living. Research method In the study, statistical and econometric methods were applied. In order to compare the standard of living in the voivodships across Poland in the years 2003-2012, a modified version of Hellwig’s measure of development was used. To determine the nature and degree of spatial dependencies of the standard of living across the country, global Moran’s spatial autocorrelation statistic was employed. Next, based on the original set of diagnostic features, an analysis of similarity was conducted and homogenous groups of voivodships were determined. For this, Ward’s method was used based on a variance analysis to estimate the distances between individual clusters. Data of the Central Statistical Office in Warsaw, covering the year 2003 and 2012, provided the basis for the analyses. Conclusions The studies presented in the paper suggest that in the period under discussion there was an improvement in the standard of living of the population across all voivodships, and simultaneously their polarization occurred in terms of the category investigated. What also emerged was a new growth pole – Dolnośląskie
(Lower Silesian) voivodship. The rejection of the hypothesis on the declining disparities amongst Poland’s population across individual voivodships implies that the measures our country have been implementing have not met their objectives entirely, thus providing the need for discussing their relevance and efficiency. Originality/ value of the paper, contribution to science development The paper employs the tools of spatial econometrics which enhance the analysis of the spatial diversity of people’s standard of living, and facilitate the drawing of correct and important conclusions as regards the issue under discussion.

Keywords: the level of living, spatial diversity, econometric analysis

JEL:


Vol.16, No 3 (2016), page 229-244

Young People’s Vision of Professional Future – Author’s Own Research Analysis by Gender

Authors: Agata Strzelczyk, Katarzyna Kulig-Moskwa

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ABSTRACT: A vision of the future is an expression of strategic approach to life in relation to the organization as well as people. The ability to predict and manage oneself in the professional area is defined as career path planning. The objective of the article is to present and analyse the author’s own research on the identification of the state and determinants of career paths planned by young people by gender who live in Lower Silesia. The measurement was conducted by a company Ogólnopolski Panel Badawczy Sp. z o.o. [a limited liability company] using the nationwide survey panel Ariadna in June 2015. The research method was representative for a specific population, that is inhabitants of the voivodship of Lower Silesia, aged 18-28. 643 people participated in the survey. The study did not find any statistically
significant differences in the attitudes towards professional future as presented by women and men in the age bracket between 18 and 28 years old. The female vision of the future relates more to the job security need. Women more frequently hold pro-social attitudes and take up social activities. In the assessment of their own competences, women judged themselves more favourably on coping with stress, while men were more likely to report here effective communication skills. It should be mentioned that surveys have their limitations, as they may reflect attitudes which are merely declarative and not real. It would be advisable to carry out a more in-depth research by developing a method based on qualitative research methods.

Keywords: career path, young people, vision of future, professional future.

JEL:I20; C00