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1

Influence of the American Financial Market on Other Markets During the Subprime Crisis

100%
Płuciennik P.
Folia Oeconomica Stetinensia
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2012
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vol. 12
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issue 2
19-30
EN
Subprime crisis which started in the USA in 2007 was the cause of the most significant economic disturbances since the Great Depression in 1930s. Soon it transmitted to other countries, including those in which banks were not engaged in the subprime mortgage market. The crisis hit various sectors of national economies and led to changing of the trends on the stock markets, which are connected to American capital market. In the following article we researched the influence of the American market on the other markets in the context of the financial crisis. Our analysis is based on the results obtained from the multivariate parametric models. Seeing that the data space is high-dimensional, we used GO-GARCH models introduced by van der Weide (2005) and Boswijk and van der Weide (2006).
2
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Assessment of interpersonal trust of Poles by the principal components analysis and log-linear modeling

100%
Grześkowiak A.
Econometrics. Ekonometria. Advances in Applied Data Analytics
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2014
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issue 1(43)
74-86
EN
Interpersonal trust in Poland is found to be at a very low level. This paper aims at the analysis of this phenomenon on the basis of European Social Survey data. Principal components analysis was applied to examine the degree of interpersonal trust in Poland in relation to other countries. Associations of three dimensions of trust, i.e. trustfulness, fairness and helpfulness, were analyzed by log-linear modeling as well as an agreement measure relevant for categorical variables. A composite indicator based on the first principal component scores confirmed the relatively poor social trust of Poles. A moderate agreement on any two of the three facets of this phenomenon was uncovered and in most cases no interactions among all three aspects of interpersonal trust were detected.
3
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System szkolnictwa wyższego a kapitał intelektualny regionu w wybranych krajach europejskich

100%
Rószkiewicz M.
Econometrics. Ekonometria. Advances in Applied Data Analytics
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2013
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issue 2(40)
9-21
EN
This paper analyzes the relation between intellectual capital and development of higher education system. The measurement was executed for the set of 16 UE countries, including Poland. Applied approach into the measurement of intellectual capital was regarded as the extension of the proposals presented by the author in the Report of Intellectual Capital of Poland (www.innowacyjnosc.gpw.pl/kip). The paper focuses on crucial features of the higher education system which was extracted in the procedure of principal components. Using these components a comparative analysis of Polish higher education system in Poland was examined and collated with systems of other UE countries. The study also examined the influence of these crucial factors on the level of intellectual capital. A regression model describing dependence of intellectual capital on these core components was estimated. The results show a big disproportion between quality and range of the Polish higher education system. That means that the prevalent development of Polish higher education system focuses on the scale of functioning but extensive development does not follow development of quality. However, the model of the relation estimated for a set of UE countries shows that the qualitative features of the higher education system play a crucial role in shaping the level of intellectual capital.
4
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Socio-economic transformation of Poland’s largest cities over the years 1998–2008: A multivariate approach

88%
Mierzejewska L.
Rozwój Regionalny i Polityka Regionalna
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2013
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issue 24
83-98
EN
This article seeks to show changes in the socio-economic structure of the thirty largest Polish cities, in topological relations, and in the type of socio-economic differences among them. The research was carried out at three analytical levels: of the unitary variables chosen, principal components, and in a synthetic approach (cluster analysis). To assess structural changes, use was made of comparative statics involving an analysis of the 1998 and 2008 situations. The period analysed was one of dynamic changes in the determinants of the socio-economic development of Polish cities, with four reforms of key significance being introduced, not all of them crowned with success, but also a period marking the start of a decline in demographic dynamics and of suburbanisation processes. It is also treated as a time of transition from a quantitative to a qualitative type of urban development, as indicated by improving services in the sphere of municipal infrastructure. Those processes are connected with the restructuring of the economy, in particular with its distinctly post-industrial orientation, which is especially readily visible in the case of the Upper Silesian Industrial District (a mining and heavy-industry region). The research corroborated the highly specific type of development of the towns of this region as well as the unique position of the Polish capital city. It also showed that the changes which determined the tendencies of transformation of the Polish cities were mainly those in demography, housing situation, level of health care, and level of entrepreneurship.
5
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Macroeconomic Risk of Investment Portfolios at the Warsaw Stock Exchange

88%
Jaguś F., ING Bank Śląski S.A
Acta Universitatis Lodziensis. Folia Oeconomica
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2009
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vol. 225
EN
The essay presents the attempt to examine selected macroeconomic risk factors of portfolio Investments in Polish capital market as well as to build investment portfolios sensitive to particular risk profiles. With this objective in view, quoted companies at WSE were classified in accordance lo selected macroeconomic risk factor, applying the multidimensional statistic analysis. On the basis of the classification the shares portfolios of different risk profiles were built. The principal components analysis was applied to specify the main macroeconomic risk factors. Next, for all assets individually multifactor regression models were built to describe relations between the return rates of the assets and the macroeconomic risk factors. As a result of the regression analysis the sensitivity risk measures were received. The clustering analysis was applied in order to classify the assets in accordance to the sensitivity risk measures. The result of classification was used to build the portfolios that are sensitive to specific of macroeconomic risks. Finally the influence of the specific macroeconomic risks on total investment risk was examined.
PL
W pracy podjęto próbę oceny wybranych czynników ryzyka makroekonomicznego inwestycji portfel owej na polskim rynku kapitałowym. W tym celu przeprowadzono analizę klasyfikacji spółek ze względu na wybrane czynniki ryzyka makroekonomicznego, a następnie budowano portfele akcji o określonych profilach tego ryzyka. Badanie przeprowadzono na miesięcznych danych makroekonomicznych oraz miesięcznych stopach zwrotu spółek notowanych na GPW w Warszawie w okresie od stycznia 1999 do sierpnia 2005 r. Do specyfikacji ryzyka wykorzystano analizę głównych składowych. Wyznaczone składowe główne potraktowano jako czynniki ryzyka makroekonomicznego. Następnie oszacowano funkcje regresji opisujące stopy zwrotu akcji z wyznaczonymi czynnikami ryzyka. W wyniku analizy n presji otrzymano miary ryzyka wrażliwości stóp zwrotu spółek na poszczególne czynniki ryzyka makroekonomicznego. Następnie wykorzystano analizę skupień i dokonano klasyfikacji spółek ze względu na wyznaczone miary wrażliwości. Na podstawie wyników klasyfikacji zbudowano portfele akcji o określonych profilach makroekonomicznego ryzyka a następnie przeprowadzono analizę dywersyfikacji ryzyka portfeli. Ostatecznie zbadano wpływ poszczególnych czynników ryzyka na całkowite ryzyko inwestycji.
6
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Propozycja prostego, wyprzedzającego wskaźnika koniunktury w przemyśle

75%
Olesiński B.
Prace i Materiały Instytutu Rozwoju Gospodarczego SGH
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2012
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vol. 90: Badania koniunktury - zwierciadło gospodarki. Część I
215-227
PL
W artykule podejmuje się próbę opracowania prostego, wyprzedzającego barometru koniunktury dla produkcji przemysłu przetwórczego w Polsce na podstawie danych z badań koniunktury z lat 1997-2012 i zbadania jego zdolności prognostycznej. Przy doborze wag dla poszczególnych komponentów wskaźnika wykorzystano metodę głównych składowych. Proponowany wskaźnik trafnie prognozuje niedalekie wystąpienie punktów zwrotnych w przebiegu indeksu produkcji sprzedanej przemysłu przetwórczego i barometru koniunktury IRG SGH. Pomimo pewnych zastrzeżeń, przeprowadzona analiza wykazała użyteczność metody głównych składowych w konstruowaniu tego typu wskaźników.
EN
The paper proposes a simple leading indicator for manufacturing in Poland based on business survey data data of 1997-2012 and tests for its forecasting capability. Principal components analysis (PCA) was used to compute weights for series to compose the indicator which proved to be efficient in forecasting forthcoming turning points of the sold manufacturing production index, as well as the RIED WSE composite indicator for the Polish economy. Our analysis has proved that, in spite of some drawbacks, PCA might be useful for further construction of this type of indicators.
7
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Ocena zróżnicowania poziomu życia mieszkańców województw w latach 2003–2013 za pomocą składowych głównych dla wielowymiarowych danych funkcjonalnych oraz analizy skupień

75%
Krzyśko M., Majka A., Wołyński W.
Przegląd Statystyczny
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2016
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vol. 63
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issue 1
81-98
EN
The paper presents an estimation of life standard diversity for residents of Polish voivodships in 2003–2013. The principal component analysis was applied for multidimensional functional data and the dendrite method was used for cluster analysis. These methods made it possible to isolate relatively homogeneous groups of voivodships that had similar values of characteristics under consideration, for the whole period at issue.
PL
W artykule przedstawiono ocenę zróżnicowania poziomu życia mieszkańców województw w latach 2003–2013. Do oceny zastosowano analizę składowych głównych dla wielowymiarowych danych funkcjonalnych oraz dendrytową analizę skupień. Metody te pozwoliły na wyodrębnienie względnie jednorodnych grup województw o zbliżonym poziomie rozpatrywanych cech dla całego rozpatrywanego okresu łącznie.
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