Krzysztof Beck | Lazarski University (original) (raw)

Papers by Krzysztof Beck

Journal of Statistical Software, 2015

This paper presents a software package that implements Bayesian model averaging for gretl, the GN... more This paper presents a software package that implements Bayesian model averaging for gretl, the GNU regression, econometrics and time-series library. Bayesian model averaging is a model-building strategy that takes account of model uncertainty in conclusions about estimated parameters. It is an efficient tool for discovering the most probable models and obtaining estimates of their posterior characteristics. In recent years we have observed an increasing number of software packages devoted to Bayesian model averaging for different statistical and econometric software. In this paper, we propose the BMA package for gretl, which is an increasingly popular free, open-source software for econometric analysis with an easy-to-use graphical user interface. We introduce the BMA package for linear regression models with jointness measures proposed by Ley and Steel (2007) and Doppelhofer and Weeks (2009).

Weed Technology, Sep 1, 1990

Chlorsulfuron, metsulfuron, clopyralid, 2,4-D, picloram, and dicamba plus 2,4-D were spring-appli... more Chlorsulfuron, metsulfuron, clopyralid, 2,4-D, picloram, and dicamba plus 2,4-D were spring-applied to musk thistle in rosette, bolting, bud, and early flower growth stages. All treatments reduced viable achene production at all musk thistle growth stages at Mcgrew, NE, and Longmont, CO. However, differences occurred at Evergreen, CO, among treatments and growth stages. No achenes developed at Evergreen when herbicides were applied during the rosette stage with dicamba plus 2,4-D, picloram, or metsulfuron at 21 g ai/ha or during bolting with chlorsulfuron or metsulfuron at 21 g/ha. Chlorsulfuron applied during early bloom reduced viable achene production over 99% compared to untreated plants and the picloram treatment.

Social Science Research Network, 2023

Social Science Research Network, 2022

SSRN Electronic Journal

We examine 22 determinants of stock market correlations in a panel setting with 651 country pairs... more We examine 22 determinants of stock market correlations in a panel setting with 651 country pairs of developed economies over the 2001-2018 period, while accounting for model uncertainty and reverse causality. On the one hand, we find, that a number of determinants, well established in the literature, e.g. trade, institutional distance, and exchange rate volatility fail the robustness test. On the other hand, we find strong evidence supporting several others: (1) inertia, with current correlation being the best single predictor of the future stock market correlation (2) positive impact of the market size (3) imperative role of the interconnected financial factors: capital mobility, financial development, and portfolio equity flows. With the expected future growth of economies and their capital markets as well as deepening financial liberalization, this paper brings strong support to the hypothesis of diminishing international diversification potential.

SSRN Electronic Journal

We consider a new dataset that provides a description of the population of financial equity flows... more We consider a new dataset that provides a description of the population of financial equity flows between developed countries from 2001 to 2018. We follow the standard practice of controlling for pull and push factors as well as gravity-style variables, while also accounting for the business cycle, public debt and sovereign ratings. Our key findings are as follows: (i) equity flows are more intense between countries at the same stage of the business cycle (ii) increased equity flows to countries with a relatively lower public debt deficit as a ratio of GDP (iii) financial and macroeconomic variables are important for big equity flows, while institutional variables are important for the small flows. Overall, this new dataset provides novel evidence on the importance of the business cycle, government debt and sovereign ratings scores.

The dataset contains a measure of structural similarity/convergence (pairwise Krugman specializat... more The dataset contains a measure of structural similarity/convergence (pairwise Krugman specialization index) along with 54 potential determinants of structural similarity.

Open economies review, Mar 6, 2024

Social Science Research Network, 2022

Economic Change and Restructuring

Journal of Statistical Software, 2015

Weed Technology, Sep 1, 1990

Social Science Research Network, 2023

Social Science Research Network, 2022

SSRN Electronic Journal

Open economies review, Mar 6, 2024

Social Science Research Network, 2022

Economic Change and Restructuring

Determinanty synchronizacji cykli koniunkturalnych w krajach Unii Europejskiej, 2019

During the past 8 years, the global economy has experienced significant disturbances. The financi... more During the past 8 years, the global economy has experienced significant disturbances. The financial and economic crisis, which had started in 2007 in the USA, turned into a financial and debt crisis in Europe. Greece is the country that experienced the adverse consequences of the crisis the most, and even today can be considered to be on the verge of collapse. The group of countries that have experienced the crisis the most is called PIGS and besides Greece contains Ireland, Italy, Portugal and Spain. Other European Union countries were able to deal with the crisis more efficiently. And finally Poland was the only country in Europe that did not experience negative growth of nominal GDP during the crisis and ever since.
The experiences of the last crisis led many economists to different conclusions about the ongoing globalization and the dangers of crisis contagion. However, this is not the only one notable conclusion that should be drawn from the crisis experience. It has shown the diversity of the economies of different countries - variation of consequences of the crisis, as well as time of recovery and used economic policy remedy used.
This problem is extremely important in the context of economic integration in Europe, especially for countries that are either members or candidates for membership in the euro area. The participation in the monetary union dictates submission to common monetary policy and changes in exchange rate in tact with the behavior of the entire currency area. Successful implementation of common monetary policy hinges upon all currency union members being struck by the crisis roughly at the same time. Otherwise, monetary authorities have to put the interest of some member countries above others. This indicates that the future of European integration is strongly dependent on business cycle correlation. As mentioned above, the questions of appropriate determination of correlation of business activity along with the list of its incentives, both stimuli and inhibitors are of crucial importance.
Answers to these questions are the subject of this dissertation – how to measure the degree of business cycle synchronization and what is the state and impact of its determinants.
On the basis of the Optimum Currency Areas Theory and business cycle synchronization, literature review research has been conducted on the sample of 20 European Union countries over the period between 1990 and 2007. Burns and Mitchell, as well as Lucas definitions of business cycle were used to create business cycle synchronization (BCS) measures based on the results from the Baxter-King and Hodrick-Prescott filters. The next step was the construction and analysis of the BCS determinants: bilateral trade, structural similarity, correlation of fiscal and monetary policy, membership in the European Union and The Euro Area, GDP per capita distance, and the degree of BCS with the USA over the same period of time. Additional analysis has covered gravity variables: real GDP product, geographical distance, common border and cultural differences. In examination, both static and dynamic approaches have been used along with the nonparametric estimation of the impact of the determinants on business cycle synchronization. Research has been conducted from the perspective of the entire sample, the euro area and Poland. In order to obtain the most robust results possible, the Bayesian Model Averaging along with measures of Jointness has been performed on the data set.
Analysis has shown an ongoing increase in the degree of business cycle synchronization in the entire sample, in the euro area countries, as well as in Poland with the rest of the examined countries. All stimuli of BCS have been experiencing growing tendencies over the analyzed period. The results obtained give strong support to the ‘European Committee View’ and the ‘Endogeneity of Optimum Currency Area Criteria Hypothesis’. Bayesian Model Averaging has led to identification six robust determinants of business cycle synchronization, namely: correlation of monetary policy, structural similarity, membership in the European Union and The Euro Area, the degree of BCS with the USA and GDP per capita distance. More detailed analysis has also given strong support for the impact of bilateral trade and fiscal policy correlation on the degree of business cycle synchronization.

Resolving International Economic Problems with the Tools of Contemporary Econometrics, 2019

The present book shows the results of the work undertaken by the research group made of students ... more The present book shows the results of the work undertaken by the research group made of students of the Lazarski University in collaboration with the students of the Cracow University of Economics. The research group has been working since 2015 till 2018 under the patronage of Applied Economics Institute, and since 2019 under the patronage of the Department of Econometrics both led by doctor Krzysztof Beck. The main aim of the research group revolved around attempts of resolving problems of international economics with the use of the most modern econometrics tolls available. Nowadays, we live in the world characterized by intensifying path of globalization and close links between social, political, and economic factors. This fact, with no doubts, contributes to the complexity of economic environment, posing new questions to answer and new tasks to resolve. Among others, the policy makers need to address issues such as international trade strategic policy under the condition of military conflicts and political instability, increasing inequality on the global and national scale, the threats of political populism, the consequences of supply-side shocks, and the way migration transforms national labor markets. Form this perspective, the role of the researcher cannot be limited to one discipline or area or interest; instead, one should be able to see the cross-dependencies between political, economic, and social environment in order to derive senseful conclusions and propose proper policy. At the same time, the reader would probably agree that modern economists should recognise their responsibility towards the society, which lies mainly in producing reliable results based on solid analysis. Unfortunately, the majority of contemporary research papers do not show any attempt to combine flexibility in terms of inter-disciplinary approach with uncompromisingly solid-based quantitative analysis. The problem discussed above is not a new issue. For instance, Leontief (1982) concerns the tendency towards “formalization” of economic science, which implies deriving reasonable, yet inapplicable conclusions from the economic analysis. Page after page of professional economic journals are filled with mathematical formulas leading the reader from sets of more or less plausible but entirely arbitrary assumptions to precisely stated but irrelevant theoretical conclusions...Year after year economic theorists continue to produce scores of mathematical models and to explore in great detail their formal properties; and the econometricians fit algebraic functions of all possible shapes to essentially the same sets of data without being able to advance, in any perceptible way, a systematic understanding of the structure and the operations of a real economic system (Leontief, 1982, p. 104). Rubinstein (1995) also highlights the inconsistency between economic theories and reality. The very basic definition of economics states that it is the field of science dealing with efficient utilization of resources under the condition of their scarcity. Nevertheless, such an optimization is commonly analyzed from the purely theorical perspective and neglecting real-life aspects of economics. Albeit theoretical analysis is crucial at some stages of policy formulation, the primary aim of economics is still “achieving practical goals”. The issue of interpreting economic theory is, in my opinion, the most serious problem now facing economic theorists. The feeling among many of us can be summarized as follows. Economic theory should deal with the real world. It is not a branch of abstract mathematics even though it utilizes abstract tools. Since it is about the real world, people expect the theory to prove useful in achieving practical goals. But economic theory has not delivered the goods. Predictions from economic theory are not nearly as accurate as those by the natural sciences, and the link between economic theory and practical problems, such as how to bargain, is tenuous at best. Although I have never heard an economist seriously claim that the Nash bargaining solution is a good predictor of bargaining in real markets, this solution is a standard tool in modelling interactions among negotiators. Economic theory lacks a consensus as to its purpose and interpretation. Again and again, we find ourselves asking the question ‘Where does it lead?’ (Rubinstein, 1995, p. 12). Lawson (2001) suggests that one of the ways to resolve this problem of modern economics is to apply the approach of instrumentationalism described by Karl Popper (1963). The latter author argues that any theory “should be interpreted as an instrument, and nothing but an instrument, for the deduction of predictions of future events (especially measurements) and for other practical applications (p. 111). The discussion presented above under no condition attempts to criticize the practice of applying sophisticated statistical/mathematical tools in the field of economic analysis. Nevertheless, it is crucial to account for the complexity of social and economic environment instead of ignoring them for the sake of obtaining more elegant solutions. What is more, although theoretical analysis is crucial for economics, one should not forget this science had been developed for the sake of resolving practical problems. The papers presented in this issue are related to different topics. Nevertheless, they have something in common: all the authors attempt to resolve the crucial international economics problem from the perspective of inter-disciplinary approach and using sophisticated statistical methods. Although these researchers can be referred as the first serious studies conducted by the university students, all of them maintain high standards of academic honesty and quality of the analysis.