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Measuring expected time to default under stress conditions for corporate loans (with Mariusz Górajski and Zuzanna Wośko), Empirical Economics, first online, [earlier version available as NBP Working Paper No. 237]
Pension funds, large capital inflows and stock returns in a thin market (with Janusz Brzeszczyński and Martin Bohl), Journal of Pension Economics and Finance, first online [earlier version available as NBP Working Paper No. 120]
Modeling Macro-Financial Linkages: Combined Impulse Response Functions in SVAR Models (with Piotr Wdowiński), Central European Journal of Economic Modelling and Econometrics 9, 2017, 323 - 357, [earlier version available as NBP Working Paper No. 246].
Pricing sovereign credit risk of Poland: Evidence from the CDS market (with Gonzalo Camba-Mendez, Konrad Kostrzewa, and Anna Marszal), Emerging Markets, Finance & Trade 52, 2016, 2687 - 2705, [earlier version available as National Bank of Poland Working Paper 189].
Market perception of sovereign credit risk in the euro area during the financial crisis (with Gonzalo Camba-Mendez), The North American Journal of Economics and Finance 37, 2016, 168 - 189, [earlier versions available as European Central Bank Working Paper 1710 and National Bank of Poland Working Paper 185].
Using Nonperforming Loan Ratios to Compute Loan Default Rates With Evidence From European Banking Sectors, Econometric Research in Finance 1, 2016, 47 - 65.
International Banking and Liquidity Risk Transmission: Lessons from Poland (with Małgorzata Pawłowska and Sławomir Zajączkowski), IMF Economic Review 63, 2015, 585 - 605, [earlier related studies available as National Bank of Poland Working Paper 172 and here].
The Elusive Nature of Motives to Trade: Evidence from International Stock Markets (with Bartosz Gębka), International Review of Financial Anylysis 39, 2015, 147 - 157, [earlier working paper version ].
Determinants of credit to households: An approach using the life-cycle model (with Michał Rubaszek), Economic Systems 38, 2014, 572 - 587, [earlier version available as European Central Bank Working Paper 1420].
Measuring non-performing loans during (and after) credit booms, Central Euorpean Journal of Economic Modelling and Econometrics 5, 2013, 163 - 183, [working paper version + GAUSS program to construct the boom-adjusted index of non-performing loans].
Identifying multiple regimes in the model of credit to households, International Review of Economics and Finance 27, 2013, 198 – 208, [working paper version]
Banking crises and nonlinear linkages between credit and output, Applied Economics 44, 2012, 1025 – 1040, [working paper version]
Intra- and Inter-regional Spillovers between Emerging Capital Markets around the
World,
Research in International
Business and Finance 21, 2007, 203 – 221 (with Bartosz Gębka).
Testing for Financial Spillovers in Calm and Turbulent Periods,
Quarterly Review of Economics and Finance
46, 2006, 397 – 412 (with Jędrzej
Białkowski and Martin T. Bohl).
Are Financial Spillovers Stable Across Regimes? Evidence from the 1997 Asian
Crisis,
Journal of International
Financial Markets, Institutions and Money 16, 2006, 301 – 317 (with Bartosz
Gębka).
Do Emerging Financial Markets React to Monetary Policy Announcements? Evidence
from
Financial Contagion and Resistance: Empirical Evidence on Emerging European
Capital Markets, Economic Systems
29, 2005, 344 – 362 (with Martin T. Bohl).
Financial Contagion, Spillovers, and Causality in the Markov Switching Framework, Quantitative Finance 5, 2005, 123 – 131 (with Jędrzej Białkowski).
Predicting currency crises –
early warning system for
Reaction of financial
markets to monetary policy changes, [Reakcje
rynków finansowych na szoki w polityce pieniężnej] Bank
i Kredyt (Bank & Credit) 6, 2004
(with Magdalena Szymańska [in Polish]).
Reactions of the foreign
exchange rate to interest rate changes – event study approach,[Reakcje
kursu walutowego na zmiany poziomu stóp procentowych. Analiza zdarzeń dla danych
dziennych]
Bank i Kredyt (Bank
& Credit) 1, 2004 (with Agnieszka Smolińska-Skarżyńska [in Polish]).
Two threshold models to
analyze financial markets, in: Waldemar Tarczyński (ed. [in Polish])
Capital Market, Effective Investing,
2002 (with Wanda Marcinkowska-Lewandowska [in Polish]).
Forecasting foreign exchange
rate. Risk-premium model, [Prognozowanie
kursu walutowego. Model nadzwyczajnej stopy zwrotu z inwestycji zagranicznych]
Bank i Kredyt
9, 2001 (with Michał Rubaszek [in
Polish]).
Analysis of the foreign
exchange rate [Analiza
kursu walutowego] (with Michał Rubaszek and Wanda Marcinkowska-Lewandowska
[in Polish]), C.H.Beck, 2009.
Autoregressive distributed
lag model. Cointegration. Error correction model [Model z rozkładem opóźnień.
Kointegracja. Model korekty błędem] (with Michał Rubaszek [in Polish]) Chapter 8
in: (ed. M. Gruszczyński et al. [in Polish]) Econometrics and operations
research [Ekonometria
i badania operacyjne. Podręcznik dla studiów licencjackich],
PWN, 2009.
New methods to analyse financial stability of the banking sector - the project is financed by the National Science Centre (grant OPUS 2012/07/B/HS4/00361) in Poland. In Polish: Nowe metody badania stabilności finansowej sektora bankowego - projekt finansowany przez Narodowe Centrum Nauki (grant OPUS 2012/07/B/HS4/00361), przeprowadzony w latach 2013-2015.