Details about Mateusz Pipień
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Short-id: ppi193
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Working Papers
2023
- Monetary policy transmission mechanism in Poland What do we know in 2023?
NBP Working Papers, Narodowy Bank Polski View citations (1)
2019
- Optimal level of capital in the Polish banking sector
NBP Working Papers, Narodowy Bank Polski
2017
- The Heterogeneity of Convergence in Transition Countries
Lodz Economics Working Papers, University of Lodz, Faculty of Economics and Sociology 
See also Journal Article The heterogeneity of convergence in transition countries, Post-Communist Economies, Taylor & Francis Journals (2019) View citations (5) (2019)
2015
- Do regulations and supervision shape the capital crunch effect of large banks in the EU?
Faculty of Management Working Paper Series, University of Warsaw, Faculty of Management
- Quarterly estimates of regional GDP in Poland – application of statistical inference of functions of parameters
NBP Working Papers, Narodowy Bank Polski
- Returns to skills in Europe – same or different? The empirical importance of the systems of regressions approach
NBP Working Papers, Narodowy Bank Polski
- Statistical analysis of business cycle fluctuations in Poland before and after the crisis
Working Papers, Institute of Economic Research 
See also Journal Article STATISTICAL ANALYSIS OF BUSINESS CYCLE FLUCTUATIONS IN POLAND BEFORE AND AFTER THE CRISIS, Equilibrium. Quarterly Journal of Economics and Economic Policy, Institute of Economic Research (2016) View citations (2) (2016)
- THE IMPACT OF CAPITAL ON LENDING IN ECONOMIC DOWNTURNS AND INVESTOR PROTECTION – THE CASE OF LARGE EU BANKS
Faculty of Management Working Paper Series, University of Warsaw, Faculty of Management 
See also Journal Article The Impact of Capital on Lending in Economic Downturns and Investor Protection – the Case of Large EU Banks, Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics (2018) (2018)
- The impact of capital on lending in publicly-traded and privately- held banks in the EU
Faculty of Management Working Paper Series, University of Warsaw, Faculty of Management View citations (1)
- The impact of capital ratio on lending of EU banks – the role of bank specialization and capitalization
Working Papers, Institute of Economic Research 
See also Journal Article THE IMPACT OF CAPITAL RATIO ON LENDING OF EU BANKS – THE ROLE OF BANK SPECIALIZATION AND CAPITALIZATION, Equilibrium. Quarterly Journal of Economics and Economic Policy, Institute of Economic Research (2016) (2016)
2014
- The effects of capital on bank lending in large EU banks – the role of procyclicality, income smoothing, regulations and supervision
Faculty of Management Working Paper Series, University of Warsaw, Faculty of Management View citations (12)
- What drives heterogeneity of loan loss provisions’ procyclicality in the EU?
MPRA Paper, University Library of Munich, Germany View citations (1)
- What drives heterogeneity of procyclicality of loan loss provisions in the EU?
Faculty of Management Working Paper Series, University of Warsaw, Faculty of Management View citations (5)
2013
- Cross Country Linkages as Determinants of Procyclicality of Loan Loss Provisions – Empirical Importance of SURE Specification
MPRA Paper, University Library of Munich, Germany 
Also in Faculty of Management Working Paper Series, University of Warsaw, Faculty of Management (2013) View citations (1)
- Orthogonal Transformation of Coordinates in Copula M-GARCH Models – Bayesian analysis for WIG20 spot and futures returns
NBP Working Papers, Narodowy Bank Polski
2012
- Almost periodically correlated time series in business fluctuations analysis
NBP Working Papers, Narodowy Bank Polski View citations (1)
- On the empirical importance of periodicity in the volatility of financial time series
NBP Working Papers, Narodowy Bank Polski View citations (21)
Journal Articles
2024
- Does the credit cycle exist? Policy recommendations based on empirical analyses of the Polish banking sector
Bank i Kredyt, 2024, 55, (1), 1-20
2022
- On the Role of Portfolio Indicators of the Capital Flows in the Convergence Processes – An Application of Systems of Regression Equations in the Case of Selected CEE Countries
Central European Journal of Economic Modelling and Econometrics, 2022, 14, (3), 303-333
2019
- The heterogeneity of convergence in transition countries
Post-Communist Economies, 2019, 31, (1), 75-105 View citations (5)
See also Working Paper The Heterogeneity of Convergence in Transition Countries, Lodz Economics Working Papers (2017) (2017)
2018
- Returns to skills and work experience in Europe. Same or different?
Bank i Kredyt, 2018, 49, (5), 433-460
- The Impact of Capital on Lending in Economic Downturns and Investor Protection – the Case of Large EU Banks
Central European Journal of Economic Modelling and Econometrics, 2018, 10, (2), 133-167 
See also Working Paper THE IMPACT OF CAPITAL ON LENDING IN ECONOMIC DOWNTURNS AND INVESTOR PROTECTION – THE CASE OF LARGE EU BANKS, Faculty of Management Working Paper Series (2015) (2015)
- Time-varying asymmetry and tail thickness in long series of daily financial returns
Studies in Nonlinear Dynamics & Econometrics, 2018, 22, (5), 21 View citations (3)
2017
- Forecasting EUR/PLN Exchange Rate: the Role of Purchasing Power Parity Hypothesis in ESTVEC Models
Dynamic Econometric Models, 2017, 17, 97-114
- Non-Parametric Test for the Existence of the Common Deterministic Cycle: The Case of the Selected European Countries
Central European Journal of Economic Modelling and Econometrics, 2017, 9, (3), 201-241 View citations (1)
- What Drives Heterogeneity of Cyclicality of Loan-Loss Provisions in the EU?
Journal of Financial Services Research, 2017, 51, (1), 55-96 View citations (42)
2016
- Cross-country linkages as determinants of procyclicality of loan loss provisions
The European Journal of Finance, 2016, 22, (11), 965-984 View citations (5)
- STATISTICAL ANALYSIS OF BUSINESS CYCLE FLUCTUATIONS IN POLAND BEFORE AND AFTER THE CRISIS
Equilibrium. Quarterly Journal of Economics and Economic Policy, 2016, 11, (4), 769-783 View citations (2)
See also Working Paper Statistical analysis of business cycle fluctuations in Poland before and after the crisis, Working Papers (2015) (2015)
- THE IMPACT OF CAPITAL RATIO ON LENDING OF EU BANKS – THE ROLE OF BANK SPECIALIZATION AND CAPITALIZATION
Equilibrium. Quarterly Journal of Economics and Economic Policy, 2016, 11, (1), 43-59 
See also Working Paper The impact of capital ratio on lending of EU banks – the role of bank specialization and capitalization, Working Papers (2015) (2015)
2015
- Empirical Properties of the Credit and Equity Cycle within Almost Periodically Correlated Stochastic Processes - the Case of Poland, UK and USA
Central European Journal of Economic Modelling and Econometrics, 2015, 7, (3), 169-186
- Szacunki kwartalnego PKB w polskich województwach
Gospodarka Narodowa. The Polish Journal of Economics, 2015, (5), 145-169 View citations (2)
2013
- Seasonality Revisited - Statistical Testing for Almost Periodically Correlated Stochastic Processes
Central European Journal of Economic Modelling and Econometrics, 2013, 5, (2), 85-102 View citations (7)
2012
- On the Empirical Importance of Periodicity in the Volatility of Financial Returns - Time Varying GARCH as a Second Order APC(2) Process
Central European Journal of Economic Modelling and Econometrics, 2012, 4, (2), 95-116 View citations (22)
2008
- On the Use of the Family of Beta Distribution in Testing Tradeoff Between Risk and Return. Bayesian Analysis for WIG Excess Returns
Dynamic Econometric Models, 2008, 8, 61-66
2006
- Bayesian Analysis of Main Bivariate GARCH and SV Models for PLN/USD and PLN/DEM (1966-2001)
Dynamic Econometric Models, 2006, 7, 25-36 View citations (1)
- The Predictive Value at Risk and Capital Requirements for Market Risk. The case of PLN/USD Exchange Rate
Dynamic Econometric Models, 2006, 7, 179-188
2004
- Bayesian Comparison of Bivariate GARCH Processes in the Presence of an Exogenous Variable
Dynamic Econometric Models, 2004, 6, 25-36 View citations (1)
- Bayesian comparison of bivariate ARCH-type models for the main exchange rates in Poland
Journal of Econometrics, 2004, 123, (2), 371-391 View citations (28)
Chapters
2010
- A Coordinate Free Conditional Distributions in Multivariate GARCH Models
Chapter 7 in FindEcon Monograph Series: Advances in Financial Market Analysis, 2010, vol. 8, pp 99-111
2009
- The Impact of Conditional Skewness Assumption on the Relation between Risk and Return. Bayesian Analysis for WIG Data
Chapter 3 in FindEcon Monograph Series: Advances in Financial Market Analysis, 2009, vol. 7, pp 41-58
2007
- Bayesian Comparison of GARCH Processes with Asymmetric and Heavy Tailed Conditional Distributions
Chapter 8 in FindEcon Monograph Series: Advances in Financial Market Analysis, 2007, vol. 3, pp 123-140
2006
- Application of Bayesian Inference in Value-at-Risk Forecasting with the Use of Conditionally Asymmetric and Fat-Tailed GARCH Models
Chapter 4 in FindEcon Monograph Series: Advances in Financial Market Analysis, 2006, vol. 2, pp 67-80
- Bayes Factors for Bivariate GARCH and SV Models
Chapter 1 in FindEcon Monograph Series: Advances in Financial Market Analysis, 2006, vol. 2, pp 15-35 View citations (1)
2005
- Bayesian Analysis of Dynamic Conditional Correlation Using Bivariate GARCH Models
Chapter 13 in Acta Universitatis Lodziensis. Folia Oeconomica nr 192/2005 - Issues in Modeling, Forecasting and Decision-Making in Financial Markets, 2005, vol. 192, pp 213-227
- Dynamic Bayesian Inference in GARCH Processes with Skewed-t and Stable Conditional Distributions
Chapter 15 in Acta Universitatis Lodziensis. Folia Oeconomica nr 192/2005 - Issues in Modeling, Forecasting and Decision-Making in Financial Markets, 2005, vol. 192, pp 251-269
2004
- Bayesian Pricing of an European Call Option Using a GARCH Model with Asymmetries
Chapter 14 in Acta Universitatis Lodziensis. Folia Oeconomica nr 177/2004 - Forecasting and Decision-Making in Financial Markets, 2004, vol. 177, pp 219-238
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