Sovereign spreads and financial market behavior before and during the crisis

JEL: C23, E43, E62, F34, G01, G12, H60This paper aims at shedding some light on the mechanisms of pricing the EMU countries’ sovereign bonds in financial markets. Employing the Augmented Mean Group (AMG) estimator, we find that major changes have occurred in terms of variables underlying sovereign risk. Since 2009, macroeconomic and fiscal fundamentals has started to play a more important role, but only those that capture domestic demand evolution. In contrast, price competitiveness seems less important. The second conclusion lies in reversed attitude towards banking sector imbalances, as compares to earlier period. One of the problems addressed concerns the horizon of projected macroeconomic and fiscal variables taken into account. The paper presents some evidence that financial markets have become more myopic and started to rely on short-term forecasts, whilst they had tended to encompass longer-term forecast horizon before the crisis

Monetary policy stress in EMU during the moderation and the global crisis

JEL:C22, E52, E58This paper re-examines the problem of monetary policy stress in the EMU, both prior to the crisis as well as after its outbreak. It aims to (firstly) reconfirm that monetary policy during the great moderation (i.e. until late 2008) was responsible for fuelling the process of imbalance accumulation in the EMU, and (secondly) to determine to what extent the stress was caused by macroeconomic divergences. We employ a forward-looking Taylor-type monetary policy reaction function with realtime forecasted data to mimic the ECB monetary policy during the great moderation. The estimated coefficients are subsequently used to create counterfactual series of ruleconsistent country-specific interest rates and compute monetary policy stress in EMU individual member states. The results confirm that peripheral countries were exposed to risks emerging from excessively low interest rates, while the “core” countries had to live with too-high interest rates, and the stress was generally stronger in the former case. Interestingly, the bulk of it was non-fundamental, i.e. not caused by inflation and output gap differentials between countries. There are several potential sources of this stress and we show that missed forecasts were making an important contribution and they were mainly responsible for pushing the interest rate below its rule-consistent level

The Birth of Pictoriality in Computer Media

The aim of the paper is to follow some milestones of the story of computer media as far as the notion of pictoriality is concerned. I am going to describe in the most general way how it happens that two quite separate technologies as computer machine and pictorial representation met and since then became almost inseparable

Key courses of academic curriculum uncovered by data mining of students' grades

Learning is a complex cognitive process that depends not only on an individual capability of knowledge absorption but it can be also influenced by various group interactions and by the structure of an academic curriculum. We have applied methods of statistical analyses and data mining (Principal Component Analysis and Maximal Spanning Tree) for anonymized students' scores at Faculty of Physics, Warsaw University of Technology. A slight negative linear correlation exists between mean and variance of course grades, i.e. courses with higher mean scores tend to possess a lower scores variance. There are courses playing a central role, e.g. their scores are highly correlated to other scores and they are in the centre of corresponding Maximal Spanning Trees. Other courses contribute significantly to students' score variance as well to the first principal component and they are responsible for differentiation of students' scores. Correlations of the first principal component to courses' mean scores and scores variance suggest that this component can be used for assigning ECTS points to a given course. The analyse is independent from declared curricula of considered courses. The proposed methodology is universal and can be applied for analysis of student's scores and academic curriculum at any faculty

Conditions of generation and methods of damping the inlet vortex of a turbojet engine

An aeromechanical analysis of the generation of an inlet vortex in a turbojet engine is presented. Methods for the prevention of vortex generation and methods of vortex damping are described

Patterns of regional inflation persistence in a CEE country. The case of Poland

This paper investigates patterns of regional inflation persistence in Poland, a representative CEE country. We first argue that the CEE perspective is relevant in the context of this study due to the recent transitions, incomplete processes of forming forward-looking inflation expectations and pronounced spatial inequalities. Using individual and panel regressions on disaggregate data we provide evidence of the aggregation bias and marked differences in inflation persistence across product categories. Furthermore, we show that cross-regional differences in inflation persistence remain, even after controlling for the product category. While we generally confirm the earlier finding of Vaona and Ascari (2012) that more backward regions exhibit higher CPI inflation persistence, we also show that the picture is more nuanced at the product category level

Policies Supporting Innovation In The European Union In The Context Of The Lisbon Strategy And The Europe 2020 Strategy

In the context of increasing globalization, global competition and rapid change the EU sees innovation and its commercialization as an effective way to build long-term global competitive advantage. Innovation policy is a link between research and technological development policy and industrial policy and makes it possible to create conditions conducive to bringing ideas to the market. It is also closely linked to other EU policies regarding e.g. employment, competitiveness, environment, industry and energy. This paper presents the evolution, conditions and objectives of the innovation policy of the European, and describes the main assumptions of the Lisbon and Europe 2020 strategies. Additionally it indicates possible ways of assessing the measures undertaken within the above-mentioned policies and of determining the tools necessary to implement the strategies

Nowcasting Quarterly GDP Dynamics in the Euro Area – The Role of Sentiment Indicators

The paper compares the most closely watched sentiment indicators with respect to their ability to nowcast quarterly GDP dynamics in the Euro Area and its biggest economies. We analyse cross-correlations and out-of-sample forecast errors generated from equations estimated by rolling regressions in fixed-length window. The results show that models employing PMI Composite perform best in the cases of the Euro Area, Germany, France and Italy, whilst Spanish GDP dynamics is best nowcasted using ESI-based models. PMI-based models generate the most accurate nowcasts at the beginning of the quarter, as well as during periods of high volatility of GDP growth ratesW artykule porównane zostały zdolności najpilniej obserwowanych wskaźników obrazujących nastroje gospodarcze do bieżącego prognozowania kwartalnej dynamiki PKB w strefie euro i jej największych państwach członkowskich. Analizowane są korelacje krzyżowe oraz błędy prognoz poza próbę, wygenerowane z równań szacowanych w oparciu o regresję kroczącą w oknie stałej długości. Wyniki wskazują, że modele wykorzystujące wskaźnik PMI Composite dają na ogół najlepsze wyniki w strefie euro, Niemczech, Francji i Włoszech, podczas gdy bieżąca dynamika hiszpańskiego PKB jest najprecyzyjniej prognozowana przez modele oparte na wskaźniku ESI. Modele oparte na PMI generują relatywnie najlepsze prognozy na początku kwartału, a także w okresach wysokiej zmienności stóp wzrostu PKB

Centralised order books versus hybrid order books: a paired comparison of trading costs on NSC (Euronext Paris) and SETS (London Stock Exchange).

This article compares the cost of trading large capitalisation equities on the hybrid order-driven segment of the London Stock Exchange and the centralised electronic order book of Euronext. Using samples of stocks matched according to economic sector, free float capitalisation, and trading volume, our study shows that transaction costs are lower on the centralised order book than on the hybrid order book. The presence of dealers outside the electronic order book favours the frequency of large trades, but is associated with higher execution costs for all other trades and higher adverse selection and inventory costs inside the order book.Centralised market; Hybrid market; Order book; Transaction costs; Microstructure;