[Economics] Professor Wojciech W. Charemza



Prof. W.W. Charemza

Contact Details


Building: New Building, Room 312
Email: wch@le.ac.uk
Telephone: +44 (0)116 252 2899
Fax: +44 (0)116 252 2908
Address: The University of Leicester, University Road, Leicester, England, LE1 7RH.


Background Information

Wojciech Charemza, studied economics at the University of Gdansk, Poland, where he received his degrees: Master (1972), Doctor (1975) and Doctor Habilitatus (1981). Prior to moving to Leicester in 1987 he worked at the Centre for Russian and East European Studies at the University of Birmingham (1983-1987) and the University of Gdansk, Poland (1971-1983). He is the Managing Editor of Economics of Planning and Associate Editor of Economic Modelling. He is also a Member of the International Advisory Board for the European University at St. Petersburg , Russia, Member of the Advisory Committee to the Gdansk Institute for Market Economies and a Resource Person to the Economics Education and Research Consortium, Russia. In 2003 he was awarded the Leverhulme Trust Study Abroad Fellowship.

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Research Interests

Wojciech Charemza's current and former research interests include


Research Projects

Current externally funded research project:


Downloadable papers

W.W. Charemza, M. Lifshits and S. Makarova, Conditional testing for unit-root bilinearity in financial time series: some theoretical and empirical results , paper presented at the conference Computing in Economics and Finance , Aix-en Provence, June 27-29, 2002.


Selected Publications (English language only)

Published and forthcoming papers

With M. Lifshits and S. Makarova: 'Conditional testing for unit root bilinearity in financial time series: some theoretical and empirical results', Journal of Economic Dynamics and Control, forthcoming.

With K. K. Shields and A. Zalewska: 'Predictability of stock markets with disequilibrium trading', European Journal of Finance, forthcoming.

With Z. Kominek: 'Speculative processes and stable distributions: some simulation results', Applied Economics Letters, 10, 2003, pp. 69-72.

'Guesstimation', Journal of Forecasting 21, 2002, pp. 417-433.

With M. Blangiewicz: 'East European economic reform: some simulations on a structural VAR model', Journal of Policy Modelling 23, 2001, pp. 147-160.

With E. Majerowska: 'Regulation of the Warsaw Stock Exchange: The portfolio allocation problem', Journal of Banking and Finance 24, 2000, pp. 555-526.

With E.M. Syczewska: 'Joint application of the Dickey-Fuller and KPSS tests', Economics Letters 61, 1998, pp. 17-21.

'Detecting explosive bubbles on an East European foreign exchange market: an estimation/simulation approach', Structural Change and Economic Dynamics 7, 1996, pp. 35-53.

'Unit root econometrics and economic nonlinearities', Journal of Statistical Planning and Inference 49, 1996, pp. 105-126.

With D.F. Deadman: 'Bubbles with stochastic explosive roots: the failure of unit root testing', Journal of Empirical Finance 2, 1995, pp. 153-163.

With D.F. Deadman: 'Rational and intrinsic bubbles: a reinterpretation of empirical results', Applied Financial Economics 5, 1995, pp. 199-202.

'Rational bubbles during Poland's hyperinflation: implications and empirical results. A comment', European Economic Review 38, 1994, pp. 1277-1281.

With M. Blangiewicz and T.W. Bolt: 'Alternative data for the dynamic modelling of the East European transformation', Journal of Economic and Social Measurement 20, 1994, pp. 1-23.

'Market failure and stagflation: Some aspects of privatisation in Poland', Economics of Planning 25, 1992, pp. 21-35.

'Alternative paths for macroeconomic stabilisation in Czechoslovakia', European Economy, Special Edition No. 2, 1991, pp. 41-56.

'Large econometric models of the centrally planned economy: A critique of the methodology', Economic Modelling 8, 1991, pp. 45-62.

With S. Ghatak: 'Demand for money in a dual-currency, quantity-constrained economy', The Economic Journal 100, 1990, pp. 1159-1172.

With R. E. Quandt: 'The housing market in a centrally planned economy: An empirical analysis', Kyklos 43, 1990, pp. 411-436.

With M. Blangiewicz: 'Cointegration in small samples: Empirical percentiles, drifting moments and customised testing', Oxford Bulletin of Economics and Statistics , 52, 1990, pp. 303-305.

'A quantity-constrained expenditure system: A comment on the Podkaminer's disequilibrium computations', Journal of Comparative Economics 14, 1990, pp. 327-339.

With J. Király: 'Plans and exogeneity: The genetic-teleological dispute revisited', Oxford Economic Papers 42, 1990, pp. 562-573.

'Parallel markets, excess demand and virtual prices: An empirical approach', European Economic Review 34, 1990, pp. 331-339.

'Computational controversies in disequilibrium and shortage modelling of centrally planned economies', Journal of Economic Surveys 3, 1989, pp. 305-324.

With M. Gronicki and R.E. Quandt: 'Modelling parallel markets in centrally planned economies: The case of automobile market in Poland', European Economic Review, 38, 1988, pp. 861-883.

'Maximum likelihood estimation methods for disequilibrium models in a centrally planned economy', Economics of Planning 21, 1987, pp. 1-13, (Slovak translation published in Informacne Systemy 5, 1987, pp. 449-467).

'Plans, disequilibria and macroeconomic policy simulations', International Review of Applied Economics 1, 1987, pp. 190-208.

With M. Gronicki: 'A model for investment in Poland: A disequilibrium econometrics approach', Economic Modelling 3, 1986, pp. 106-116.

With M. Gronicki: 'Rational expectations and disequilibria in a model of foreign trade behaviour: The case of Poland', Economics of Planning 18, 1982 (appeared in 1985), pp. 53-64.

With R.E. Quandt: 'Models and estimation for centrally planned markets in disequilibrium', Review of Economic Studies 49, 1982, pp. 109-116.

With J. Domsta: 'Estimation of supply and demand functions from univariate sample with known separation', Economic Letters 8, 1982, pp. 163-168.

With M. Gronicki: 'An econometric model of world shipping and shipbuilding', Maritime Policy and Management 8, 1981, pp. 21-30.

'Some spectral definitions for disequilibrium analysis', Economics Letters 2, 1979, pp. 33-35.

'A simulation model of the tanker charter market with the assumption of disequilibrium', Rostocker Betriebswirtschaftliche Manuskripte, Rostock, 1975, pp. 75-83.

Books and edited volumes

With K. Strzala (editors): East European transition and EU enlargement: a quantitative approach, edited volume, Physica-Verlag, Heidelberg, 2002.

With D.F. Deadman: New directions in econometric practice: General to specific modelling, cointegration and vector autoregression,

First Edition: Edward Elgar, Cheltenham, 1992,

Second Edition: Edward Elgar, Cheltenham, 1997,

First Polish Edition: Nowa ekonometria, Polskie Wydawnictwo Ekonomiczne, Warszawa, 1997.

With C.M. Davis (editors): Disequilibrium and shortage models in centrally planned economies, edited volume, Chapman and Hall, Cambridge, 1989 (series: International Studies in Economic Modelling).

With M. Gronicki: Plans and disequilibria in centrally planned economies (Empirical investigation for Poland), North-Holland, Amsterdam, 1988 (series: Contributions to economic analysis, No. 159).

 

Chapters in edited volumes

With M. Blangiewicz: 'Evolutionary economic reform and policy issues: a structural VAR approach', in (K. Poznanski, ed.) The evolutionary transition to capitalism, Westview Press, Boulder, 1995.

'Exchange rates, inflation and purchasing power parity in Eastern Europe', in (S. Lombardini, and P. C. Padoan, eds.) Europe between East and South, Kluwer Academic Publishers, Dordrecht, 1994.

With G. Norman: 'Mobile sellers and oligopoly: An empirical analysis of the foreign exchange market in Poland, 1988-1989', in (T. Url and A. Wörgötter, ed.) Econometrics of short and unreliable time series (Series Studies in Empirical Economics), Physica Verlag, Heidelberg, 1995.

'East European transformation: the supply side', in (K. Poznanski, ed.) Economic stabilization in Poland, Kluwer Academic Publishers, Dordrecht, 1993.

With V. Dlouhý: 'Two alternative disequilibrium models for a planned economy', in (L. Bergman, D. Jorgenson and E. Zalai, eds.) General equilibrium modelling and economic policy analysis, Basil Blackwell, New York, 1990.

With C.M. Davis: 'Introduction to disequilibrium and shortage models of the centrally planned economy', a chapter in the book Disequilibrium and shortage models in the centrally planned economy, above, 1989, Russian translation in Sociologicheskyie Issledovanyia 1990, No.1, pp. 20-33.

'Disequilibrium modelling of consumption in the centrally planned economy', a chapter in the book Disequilibrium and shortage models in centrally planned economies, above, 1989.


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Last updated: 29 October 2003 18:07
Prof W.W. Charemza

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