Wyniki wyszukiwania - BazEkon

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Currency Demand and MIMIC Models: Towards a Structured Hybrid Model-Based Estimation of the Shadow Economy Size

100%

Dybka P., Kowalczuk M., Olesiński B., Rozkrut M., Torój A.

Collegium of Economic Analysis SGH - Working Papers

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2017

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nr 30

48

Model-based econometric techniques of the shadow economy estimation have been increasingly popular, but a systematic approach to getting the best of their complementarities has so far been missing. We review the dominant approaches in the literature currency demand analysis (CDA) and MIMIC model and propose a novel hybrid procedure that addressess their previous critique, in particular the misspecification issues in CDA equations and the vague transformation of the latent variable obtained via MIMIC model into interpretable levels and paths of the shadow economy. Our proposal is based on a new identification scheme for the MIMIC model, referred to as 'reverse standarizaton'. It supplies the MIMIC model with the panel-structured information on the latent variable's mean and variance obtained from the CDA estimates, treating this information as given in the restricted full information maximum likelihood function. This approach allows us to avoid some controversial steps, such as choosing an externally estimated reference point for benchmarking or adopting other ad hoc identifying assumptions. We estimate the shadow economy for up to 43 countries, with the results obtained in the range of 2.8% to 29.9% of GDP. Various versions of our models remain robust as regards changes in the level of the shadow economy over time and the relative position of the analysed countries. We also find that the contribution of (a correctly specified) MIMIC model to the measurement of trends in the shadow economy is marginal as compared to the contribution of the CDA model. (original abstract)

2

Measuring the uncertainty of shadow economy estimates using Bayesian and frequentist model averaging

84%

Dybka P., Olesiński B., Rozkrut M., Torój A.

Collegium of Economic Analysis SGH - Working Papers

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2020

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nr 46

31

Economic literature provides little discussion on the uncertainty around the macroeconometric shadow economy estimates. We fill this gap by deriving the measurement error of the shadow economy estimates stemming from the model uncertainty by using frequentist and Bayesian model averaging techniques. This allows us to make useful insights into the optimal selection of regressors within the Currency Demand Analysis (CDA) framework, basing on the marginal probabilities that the selected variables are included in the "true" model. Hence, we provide the CDA researchers with an additional guidance with respect to the selection of shadow economy determinants that makes CDA-based shadow economy measurements less arbitrary. Our results show that the selection of regressors can have a material and highly country-specific impact on the estimated level of the shadow economy. In consequence, one cannot attribute the same level of uncertainty to every country across the panel. We use our results to demonstrate the average shadow economy estimates as of 2014 for 64 countries, along with the confidence intervals. (original abstract)

3

Is panel Currency Demand equation homogeneous, why not, and what it means for shadow economy measurement

84%

Król M., Torój A.

Collegium of Economic Analysis SGH - Working Papers

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2025

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nr 106

31

Currency Demand Analysis - one of the most popular macroeconometric techniques of shadow economy (SE) measurement - builds on equation explaining the share of cash in circulation in broader monetary aggregates, estimated as time series or panel regression. In the latter case, the homogeneity of slopes between panel units is usually assumed. We demonstrate that the data clearly reject this assumption with Pesaran-Yamagata test, and the resulting peril is using estimates obtained from inconsistent estimation for SE calculation. Due to an adverse T/N ratio, we refrain from using random coefficient or mean group estimators and propose the application of Regression Clustering and Classifier-Lasso procedures, splitting the sample in cross- sectional dimension into a limited number of homogeneous-coefficient groups, considerably smaller than N, whose number or composition remain unknown in advance. For both 2-group and 3-group partitioning, we find substantial differences between the relevant slopes, including the slopes of SE determinants impactful for SE measurement. Notably, a group dominated by Sub-Saharian and Central Asian economies exhibits higher sensitivity to all potential SE determinants: unemployment & inactivity rate, self-employment frequency and government effectiveness(original abstract)

4

Shadow Economy and Its Relations with Tax System and State Budget in Poland

84%

Cichocki S.

Ekonomia / Uniwersytet Warszawski

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2009

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nr 24

94-111

There are controversies regarding existing estimates of the size of shadow economy in Poland. Therefore this paper focuses on the measurement of shadow economy in Poland over the period 1995-2007. On the basis of monetary methods, an econometric model for currency demand is built. Using estimation results, the size of shadow economy is assessed. According to the estimates shadow economy declined in the period 1995-2007 starting from 40% of GDP in 1995 and reaching about 10% of GDP in 2007. The paper also analyses relations between shadow economy, state budget and tax system. A Vector Autoregressive model is estimated and Impulse Reaction Functions are drown, showing that an increase in indirect tax burden enlarges shadow economy. A contrary effect arises due to an increase in: a) direct tax burden; b) budget balance. (original abstract)

5

Foreign Currency Exchange Risk Management in a Service Enterprise

84%

Orylski O.

Zeszyty Naukowe Uniwersytetu Szczecińskiego. Scientific Journal. Service Management

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2010

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6

93-102

Każda działalność gospodarcza niesie ze sobą różnego rodzaju ryzyko. Jednym z nich jest ryzyko kursowe. Celem niniejszego opracowania jest ukazanie mechanizmów funkcjonowania globalnego rynku walutowego oraz zaproponowanie sposobów zarządzania ryzykiem wiążącym się z funkcjonowaniem na nim. W pierwszej części autor ukazuje w ujęciu mikroekonomicznym, na przykładzie biura turystycznego, jak funkcjonuje globalny rynek walutowy oraz jak globalnie podaż i popyt na waluty określają ich ceny. Następnie prezentuje elementy analizy technicznej oraz fundamentalnej jako sposób prognozowania przyszłych kursów walutowych w celu optymalnego zarządzania bieżącą pozycją walutową w przedsiębiorstwie usługowym. Na koniec opisuje, jak za pomocą transakcji typu FX forward przedsiębiorstwo usługowe może zabezpieczyć swoje przyszłe przepływy pieniężne, eliminując ryzyko kursowe(abstrakt autora)

6

A Statistical Approach to Modeling the Underground Economy in South Africa

84%

Koloane C. T., Bodhlyera O.

Journal of Economics & Management / University of Economics in Katowice

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2022

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nr 44

64-95

Aim/purpose - The underground economy is a major challenge across the world affecting both developed and developing economies. South Africa is no exception to this phenomenon and has lost billions of rands due to the underground economy. The aim of this study is to estimate the size of the underground economy in South Africa. Design/methodology/approach - The study used quarterly time series data from 2000 to 2020 and employed the Currency Demand Approach (CDA) for modeling the underground economy. Findings - The model results revealed that the underground economy is positively influenced by unemployment rate, tax burden, and social benefits granted by the government, however it is negatively influenced by Nominal Gross Domestic Product (NGDP), deposit interest rate, and self-employment rate. Furthermore, the study showed that there was a distinct growth of the underground economy, from 23.9% of GDP in 2003 to 34.5% of GDP in 2019. On average, the underground economy represented 28.8% of GDP for the period 2003 to 2020. Research implications/limitations - This model can be used in conjunction with other models to observe the trend in the South African underground economic activities. The South African government should take note of the spiraling growth of this economy and come up with measures to curb this growth to protect the formal economy. Originality/value/contribution - This study makes a significant contribution to the body of knowledge in this research area and provides much needed insights into the magnitude of the underground economy and the extent of tax evasion in South Africa. (original abstract)

7

Operacje pieniężno-kredytowe realizowane przez Narodowy Bank Republiki Białoruskiej

84%

Abramchik L.

Roczniki Naukowe Wyższej Szkoły Bankowej w Toruniu

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2008

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nr 7

15-22

Narodowy Bank Republiki Białoruskiej realizuje politykę pieniężną i kredytową Białorusi. Podstawowe założenia obydwu polityk opracowywane są w porozumieniu z rządem i prezydentem. Co kwartał bank obowiązany jest do sporządzania raportów dotyczących podaży pieniądza i wielkości rezerw walutowych. Poza tym zadania Banku Narodowego obejmują również działania typowe dla banków centralnych - emisja pieniądza, operacje walutowe, rozliczenia międzybankowe i międzynarodowe, a także działania w zakresie polityki celnej. Podstawowe elementy polityki pieniężnej to: polityka dyskontowa, polityka rezerw minimalnych oraz polityka otwartego rynku realizowane w oparciu o obowiązujące w Białorusi normy prawne. (oryginalne streszczenie)