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Author
Jaworski Krystian (Szkoła Główna Handlowa w Warszawie)
Title
Modelowanie cykli gospodarczych na podstawie ankietowych badań koniunktury : analiza na przykładzie USA
Business Cycles Modelling Using Survey Sentiment Analysis : Case of the USA
Source
Bank i Kredyt, 2016, nr 1, s. 33-59, aneks, bibliogr. 15 poz.
Bank & Credit
Keyword
Koniunktura gospodarcza, Cykl koniunkturalny, Badania koniunktury, Badania ankietowe, Model logitowy
Business trends, Business cycles, Business surveys, Questionnaire survey, Logit model
Note
streszcz., summ.
Country
Stany Zjednoczone Ameryki
United States of America (USA)
Abstract
Przedmiotem pracy jest zagadnienie modelowania cyklu gospodarczego. Przedstawiono w niej dotychczasowy dorobek naukowy w tej dziedzinie oraz podjęto próbę zbudowania autorskiego modelu, traktującego cykle koniunkturalne jako połączenie dwóch odmiennych faz - ożywienia oraz recesji. Szczególny nacisk położono na analizę cykli gospodarczych za pomocą wskaźników koniunkturalnych opartych na badaniach ankietowych. Za pomocą metody głównych składowych dokonano redukcji wymiaru problemu badawczego, a następnie z użyciem modelu logitowego estymowano prawdopodobieństwo wystąpienia recesji w wybranym momencie. Jakość stworzonego modelu w porównaniu z innymi metodami zaprezentowanymi w literaturze przedmiotu jest satysfakcjonująca. Analizę przeprowadzono na przykładzie USA. (abstrakt oryginalny)

This paper covers the area of business cycle modelling. It presents previous academic achievements in this field and attempts a construction of a new, original model, which treats business cycles as consisting of two distinct phases - contractions and expansions. The study focuses on business cycle modelling with the use of sentiment indicators obtained via surveys. The principal component analysis is used to reduce the dimensions of the analysed problem and then, using the logit model, to estimate the probability of recession occurring in a particular time period. The quality of the new, original model is promising compared to other methods presented in the literature. The conducted analysis is based on the case of the USA.(original abstract)
Accessibility
The Main Library of the Cracow University of Economics
The Library of Warsaw School of Economics
The Library of University of Economics in Katowice
The Main Library of Poznań University of Economics and Business
The Main Library of the Wroclaw University of Economics
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Bibliography
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Cited by
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ISSN
0137-5520
Language
pol
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