Phd Student At Faculty Of Economic Sciences And Management

Universities and Institutes of Poland

Poland

June 28, 2021

Description

  • Organisation/Company: Nicolaus Copernicus University in Toruń
  • Research Field: Economics Management sciences
  • Researcher Profile: First Stage Researcher (R1)
  • Application Deadline: 28/06/2021 23:00 - Europe/Brussels
  • Location: Poland › Toruń
  • Type Of Contract: Permanent
  • Job Status: Full-time
  • Hours Per Week: 40
  • Offer Starting Date: 01/10/2021
  • The admission process to the Academia Copernicana Interdisciplinary Doctoral School has begun!

    The Internet Registration of Candidates is open between May 25th and June 28th, 2021.

    See the list of required documents here

    You can find more information about the recruitment procedure on the RECRUITMENT 2021/2022 website.

    See the scientific description of the project below:

    Title of the research project: Wavelet-based forecasting of business activity and assessment of stabilization policies

    1. Introduction: The project aims at applying and also further developing a new econometric methodology for macroeconomic studies, namely one based on the nondecimated discrete wavelet analysis of multivariate spectra, advocated by Whitcher and Craigmile (2004) (Whitcher B. J., Craigmile P. F., 2004, Multivariate Spectral Analysis Using Hilbert Wavelet Pairs,International Journal of Wavelets, Multiresolution and Information Processing, 27) and Bruzda (2013), (2019) (Bruzda J., 2013, Wavelet Analysis in Economic Applications, Toruń University Press, Toruń; Bruzda J., 2019, Complex Analytic Wavelets in the Measurement of Macroeconomic Risks, North American Journal of Economics and Finance, 50).

    2. The main goals of the project:

    The goals of the project are twofold: methodological developments and empirical inquiries into monetary and financial stability and future growth trajectories of chosen(mainlyEuropean)economies. In the methodological part, we will design a wavelet strategy of constructing econometric models for forecasting business activity. The novelty of thisapproach will consist in utilizing information provided by multivariate wavelet spectrasuch as, e.g., partial time delays. The second aim of the methodological considerations is to develop tests of constancy of the wavelet variance based on the complex-valued discrete analytic wavelet transform and the concept of instantaneous amplitudes. Initial simulation studies point out that complex-valued counterparts of existing wavelet-based tests for variance changes have better power properties. In the empirical part of this project, we plan to undertake several studies. The first is a large forecasting exercise, encompassing wavelet forecasting of growth rates of the GDP andwaveletprediction of business cycles turning points of apanel of Europeaneconomies. In our second study, we will apply the tests for variance changes developed in the project to examine changes in the cyclical variance of inflation in a panel of inflation targeting economies to answer questions about reliability of their monetary stability policies. Finally, in the third empirical study, we willuse the concepts of partial phase-locking values and partial amplitude correlations to shed more light on the influence of the conventional and nonconventional monetary policy of chosen (mainly European)economies on financial cycles, taking into account globalization factors and potential policy coordination.

    Contact Information
  • Organisation/Company: Nicolaus Copernicus University in Toruń
  • Department: Academia Copernicana
  • Organisation Type: Higher Education Institute
  • Website: https: // www. ac.umk.pl/
  • Country: Poland
  • City: Toruń
  • State/Province: kujawsko-pomorskie
  • Postal Code: 87-100
  • Street: Lwowska 1
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