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Przydatność ukrytych modeli Markowa do oceny podobieństwa krajów w zakresie synchronizacji wahań cyklicznych i wyrównywania się poziomów dochodu

Author

Listed:
  • Michał Bernardelli

    (Szkoła Główna Handlowa w Warszawie, Kolegium Analiz Ekonomicznych)

  • Mariusz Próchniak

    (Szkoła Główna Handlowa w Warszawie, Kolegium Gospodarki Światowej)

  • Bartosz Witkowski

    (Szkoła Główna Handlowa w Warszawie, Kolegium Analiz Ekonomicznych)

Abstract

W analizie zastosowano ukryte modele Markowa i ścieżki Viterbiego do oceny podobieństwa Polski w stosunku do pozostałych 27 krajów UE, biorąc pod uwagę 12 zmiennych makroekonomicznych. Wykorzystano m.in. poziom PKB per capita wg PSN oraz stopę wzrostu realnego PKB ogółem do oceny stopnia konwergencji cyklicznej oraz stopnia wyrównywania się poziomów dochodu. Jednym z elementów świadczących o nowości i oryginalności niniejszego badania jest uwzględnienie średnich ważonych, za pomocą których dokonano agregacji poszczególnych stanów ze ścieżek Viterbiego, co daje bardziej miarodajne pod względem ekonomicznym wyniki niż uśrednianie z wykorzystaniem średniej arytmetycznej. Badanie potwierdziło m.in. występowanie dywergencji gospodarczej w okresie globalnego kryzysu oraz silną konwergencję nominalną stóp inflacji między Polską a grupą UE-27.

Suggested Citation

  • Michał Bernardelli & Mariusz Próchniak & Bartosz Witkowski, 2018. "Przydatność ukrytych modeli Markowa do oceny podobieństwa krajów w zakresie synchronizacji wahań cyklicznych i wyrównywania się poziomów dochodu," Collegium of Economic Analysis Annals, Warsaw School of Economics, Collegium of Economic Analysis, issue 53, pages 77-96.
    • Handle: RePEc:sgh:annals:i:53:y:2018:p:77-96
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    References listed on IDEAS

    as
    1. Michał Bernardelli & Mariusz Próchniak & Bartosz Witkowski, 2017. "Cycle and Income-Level Convergence in the EU Countries: An Identification of Turning Points Based on the Hidden Markov Models," Collegium of Economic Analysis Annals, Warsaw School of Economics, Collegium of Economic Analysis, issue 47, pages 27-42.
    2. Zarnowitz, Victor & Ozyildirim, Ataman, 2006. "Time series decomposition and measurement of business cycles, trends and growth cycles," Journal of Monetary Economics, Elsevier, vol. 53(7), pages 1717-1739, October.
    3. Matkowski, Zbigniew & Prochniak, Mariusz & Rapacki, Ryszard, 2016. "Income Convergence in Poland vis-à-vis the EU: Major Trends and Prospects," EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, pages 37-55.
    4. Michal Bernardelli & Mariusz Prochniak & Bartosz Witkowski, 2017. "The application of hidden Markov models to the analysis of real convergence," Dynamic Econometric Models, Uniwersytet Mikolaja Kopernika, vol. 17, pages 59-80.
    5. Lars-Erik Öller & Lasse Koskinen, 2004. "A classifying procedure for signalling turning points," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 23(3), pages 197-214.
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    8. Matkowski, Zbigniew & Prochniak, Mariusz & Rapacki, Ryszard, 2016. "Real Income Convergence between Central Eastern and Western Europe: Past, Present, and Prospects," EconStor Conference Papers 146992, ZBW - Leibniz Information Centre for Economics.
    9. Nazrul Islam, 2003. "What have We Learnt from the Convergence Debate?," Journal of Economic Surveys, Wiley Blackwell, vol. 17(3), pages 309-362, July.
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    More about this item

    Keywords

    konwergencja; zbieżność; ukryte modele Markowa; Unia Europejska; ścieżka Viterbiego;
    All these keywords.

    JEL classification:

    • C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • O47 - Economic Development, Innovation, Technological Change, and Growth - - Economic Growth and Aggregate Productivity - - - Empirical Studies of Economic Growth; Aggregate Productivity; Cross-Country Output Convergence
    • O52 - Economic Development, Innovation, Technological Change, and Growth - - Economywide Country Studies - - - Europe

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