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Krzysztof Dmytrów and Sebastian Gnat

Abstract

It is believed that the ad valorem tax will increase fiscal burdens. In order to verify this statement, with the use of the Szczecin Algorithm of Real Estates Mass Appraisal, the land plots were appraised and the ad valorem tax was calculated. Next, a training set was sampled, for which the composite variable was calculated by means of three approaches: the TOPSIS method, the Generalised Distance Measure as the composite measure of development (GDM2), and the quasi-TOPSIS. They were the explanatory variables in the logistic regression model. Next, for the test set, changes of tax burden were forecasted. The aim of the research was to check the effectiveness of the presented approach for the estimation of the consequences of introducing the ad valorem tax. The results showed that all three approaches yielded similar results, but GDM2 was the best one. The main finding is that these approaches can be used in the prediction of changes in the tax burden of land plots.

Open access

Małgorzata Misztal

Abstract

The aim of the paper is to assess the potential for using some selected PCA-based methods to analyze the spatial diversity of crime in Poland during 2000-2017. Classical principal components analysis (PCA) deals with two-way matrices, usually taking into account objects and variables. In the case of data analyzed in the study, apart from two dimensions (objects – voivodships, variables criminal offences), there is also the dimension of time, so the dataset can be seen as data cube: objects × variables × time. Therefore, this type of data requires the use of methods handling three-way data structures. In the paper the variability of some selected categories of criminal offences in time (2000–2017) and space (according to voivodships) is analyzed using the between-class and the within-class principal component analysis. The advantage of these methods is, among others, the possibility of the graphical presentation of the results in two-dimensional space with the use of factorial maps.

Open access

Ewa Roszkowska and Tomasz Wachowicz

Abstract

The paper discusses the impact of the decision-making profiles on the consistency of rankings obtained by three multiple criteria methods, i.e. DR, AHP and TOPSIS. The online decision making experiment was organized, based on an electronic questionnaire which is a hybrid of the internet survey system and the decision support system. The participants of the experiment were 418 students of Polish universities. To describe the decision-making profile, the REI test was used which allows to distinguish two decision-making styles: rational and intuitive. The Kendall rank correlation coefficient was used to test the consistency of the rankings obtained by the considered methods. Using different grouping methods, the relationship between the decision profile and the ability to express one’s preferences by means of these methods, that differ in cognitive requirements, was examined. The results of the research may be helpful for supporting the decision-maker in decision processes by choosing the method that fits their profile best.

Open access

Ewa Wycinka

Abstract

One of the central tasks of credit institutions is credit risk assessment, in which the estimation of the probability of default is an important element. The size of an institution’s credit portfolio can decrease as a result of early repayments, which changes the probability of default over time. Prognosis of the probability of default should therefore also take into consideration the prognosis of early repayments. In this paper, methods of evaluating the probability of default over time, using competing risks regression models, are considered. Methods of evaluation for models of default over time are proposed. A sample of retail credits, provided by a Polish financial institution, was empirically examined.

Open access

Piotr Szczepocki

Abstract

The beta parameter is a popular tool for the evaluation of portfolio performance. The Sharpe single-index model is a simple regression model in which the stock’s returns are regressed against the returns of a broader index. The beta parameter is a measure of the strength of this relation. Extensive recent research has proved that the beta is not constant in time and should be modelled as a time-variant coefficient. One of the most popular methods of the estimation of a time-varying beta is the Kalman filter. As the output of the Kalman filter, one obtains a sequence of the estimates of a time-varying beta. This sequence shows the historical dynamics of sensitivity of a company’s returns to the variations of market returns. The article proposes a method of clustering companies listed on the Warsaw Stock Exchange according to time-varying betas.

Open access

Zdzisław Kes and Łukasz Kuźmiński

Abstract

This paper presents the methods for the evaluation of budget variance risk, i.e. the risk of a difference between the budgeted and actual figures. The postulated approach is based on extreme value analysis (EVA), to offer, among other things, the evaluation of maxima distribution parameters for studied phenomena. The proper recognition of these parameters yields potential for calculation of probabilities for budget variance to pass certain levels established as critical. This methodology can be used to evaluate deviation levels by time period, and to compare them against historical data. The main objective of this paper was to examine the utility of the theory of extreme values in the estimation of budget deviation risks. The study presents the results of probabilistic analyses of data obtained from a budgetary cost control unit of a production company located in eastern Poland, for the period of 2011-2012. The developed method of analysis and assessment of budget deviations is in line with the development of concepts and methods of management accounting.

Open access

Iwona Markowicz

Abstract

The aim of the research was an assessment of the relative risk of liquidation of a company depending on its age. The research covered economic entities established in Szczecin in the period 1990-2010. The analysis was carried out with the use of a logit model. The risk of company liquidation was examined depending on the entity’s age expressed both in months (continuous variable) and in grouped intervals (year, half-year). In this way, attention was drawn to the benefits of continuous variable coding (rank and 0-1 coding). The research covered companies established during 1990-2010 in total (over 120 thousand) and in time periods resulting from the cyclical character of liquidation of companies (in accordance with the earlier research findings). The research showed that the risk of company liquidation decreases as the company grows older (the use of a continuous variable and a rank variable). On the other hand, the risk of subsequent age groups (using the 0-1 variable) prevents the risk from being monotonous.

Open access

Ivan Huljak

Abstract

The view on banks as investments in Croatia is challenged by two phenomena: dual holdings (owners are intensely involved in bank balance sheet as, apart from equity, they provide a significant portion of deposits and loans) and the impediments to determining the cost of equity (as only a handful of banks are traded and with questionable liquidity in the capital market). The paper contributes to the literature by applying the panel regression on the translog cost function in order to calculate the shadow cost of equity for banks in Croatia for the period from 1994 to 2016. In the next step, the Economic Value Added was calculated by taking into account the dual holding role of bank owners. The results suggest that the shareholders economic value is significantly different from the accounting value. In addition, it seems that the standard view that domestic banks are less profitable than foreign banks is only valid from the accounting perspective.

Open access

Davor Galinec, Jadranka Vuglar and Dario Cvrtila

Abstract

The official statistics framework is based on internationally agreed standards, taking into account the core principles of impartiality, objectivity, professional independence, cost effectiveness, statistical confidentiality, minimisation of the reporting burden and high output quality. Since the latest 2007 global economic crisis, a growing demand for more, better and timelier data under limited resources for compilers and reporting agents has been observed. The concept of experimental statistics becomes more relevant, despite the lower quality in terms of coverage, data sources and harmonised definitions. The main aim of this paper is to present the methodological development of the residential property price index in Croatia from experimental to official statistics, as well as to show corresponding changes in time, which occurred due to the changes in methodological framework, institutional responsibility for compilation, coverage and data sources. A general conclusion of the paper is that publication of non-harmonized experimental statistics results, together with explanatory metadata, is better from the point of view of users than having nothing produced by official statistics.

Open access

Nikolina Bošnjak and Vesna Prorok

Abstract

This article provides an upgraded model for actuarial projection of the dependency ratio of the pension fund in the Republic of Srpska. The nonexistence of complete upto-date life tables presents a huge problem of the pension system and life insurance industry modelling in the Republic of Srpska. Therefore, this article tries to encompass the problem by using the life tables of the Republic of Croatia as a starting point for adjustment of age-grouped life tables available for population of the Republic of Srpska. The actuarial projection model for the Pension and Disability Insurance Fund of the Republic of Srpska is upgraded by using these adjusted life tables and the best estimate mortality trend for mortality forecasting. The results of the Republic of Srpska pension fund dependency ratio projections obtained using a forecast of adjusted life tables are compared to the previous research on this topic which used the life tables of the Republic of Serbia for 2013 for the same model. This way we can observe the effect of life expectancy growth on pension fund’s dependency ratio estimates as one of the measures of pension fund’s sustainability.