This paper documents a large cross-bank and cross-country variation in the relationship between loan loss provisions and the business cycle and explores bank management specific, bank-activity specific and country specific (institutional and regulatory) features that explain this diversity in...

Procyclicality in banking may result in financial instability and therefore be destructive to economic growth. The sensitivity of different banking balance sheet and income statement variables to the business cycle is diversified and may be prone to increasing integration of financial markets....

We discuss the empirical importance of long term cyclical effects in the volatility of financial returns. Following Amado and Terasvirta (2009), Cizek and Spokoiny (2009) and others, we consider a general conditionally heteroscedastic process with stationarity property distorted by a...

This article aims at constructing a new method for testing the statistical significance of seasonal fluctuations for non-stationary processes. The constructed test is based on a method of subsampling and on the spectral theory of Almost Periodically Correlated (APC) time series. In the article...

We discuss the empirical importance of long term cyclical effects in the volatility of financial returns. Following ˘Ci˘zek and Spokoiny (2009), Amado and Teräsvirta (2012) and others, we consider a general conditionally heteroscedastic process with stationarity property distorted by a...

We propose a non-standard subsampling procedure to make formal statistical inference about the business cycle, one of the most important unobserved feature characterising fluctuations of economic growth. We show that some characteristics of business cycle can be modelled in a non-parametric way...

We check the empirical importance of some generalisations of the conditional distribution in M-GARCH case. A copula M-GARCH model with coordinate free conditional distribution is considered, as a continuation of research concerning specification of the conditional distribution in multivariate...

This paper documents a large cross-bank and cross-country variation in the relationship between loan loss provisions and the business cycle and explores bank management specific, bank-activity specific and country specific (institutional and regulatory) features that explain this diversity in...

In this paper we aim to find out whether bank specialization and bank capitalization affect the relationship between bank loan growth and bank capital ratio, both in expansions and in contractions. We hypothesize that the impact of bank capital on lending is relatively strong in cooperative...

W opracowaniu dokonano reestymacji parametrów równania opisującego zależności pomiędzy umiejętnościami i kwalifikacjami pracowników a ich wynagrodzeniem w gospodarce polskiej. Punktem wyjścia prowadzonych analiz jest równanie płac Mincera z modyfikacjami uwzględniającymi...