Aleksandra Ewa Rutkowska

• PhD
• Professor (Assistant) at Poznań University of Economics and Business

This study compares consumer and professional inflation expectations in Ukraine before and during the Russian invasion of Ukraine. We apply entropy-based measures to tackle co-movements of expectations and macro variables (inflation, food inflation, exchange rate and production) and dynamic time warping to assess their forward and backward orientat...

Inflation expectations are a crucial variable for central banks. However, empirically examining their properties is challenging. This paper juxtaposes the properties of consumer and professional expectations. It also assesses the degree of forward- and backward-lookingness and the information content of expectations. We apply entropy-based measures...

In this study, we discuss central bank communication sentiments assessed using different dictionaries. Policy communication by monetary authorities is considered an essential additional policy tool. Various text-mining techniques could evaluate its sentiment. Dictionary methods are a prominent example here because they offer simplicity and are a st...

We seek to investigate the effects of communication by central banks on professional and consumer inflation expectations. Accordingly, we investigate 12 small open economies implementing inflation targeting. The communication tone of the central banks is determined based on their post‐decision releases. We use computational linguistics to quantify...

The question underlying the research problem addressed by this study concerns various factors, including uncertainty, that could affect forecast errors. Previous works, focusing mainly on world-leading economies, are inconclusive on how economic agents form inflation forecasts or why forecast errors occur. There is a gap in the empirical literature...

Life expectancy is an essential indicator of economic development and health status. However, the related databases describing the overall life expectancy are relatively large and created under conditions of uncertainty, particularly regarding adjustments related to redistributing deaths of unknown age or splitting data into finer age categories. I...

In this paper, we sought to investigate the effect of communication by central banks on consumer inflation expectations. To this end, we ran investigations into six European economies that, between 2010 and mid-2019, implemented inflation targeting: the Czech Republic, Hungary, Poland, Romania, Sweden, and the UK. Consumer inflation expectations we...

Although inflation expectations are pivotal variables for central banks, they are not directly observable. Therefore, central banks use qualitative survey results to proxy consumer expectations, and their quantification in this manner is often criticized. In this study, we investigate and identify an optimal quantification procedure for survey resu...

Consumer inflation expectations for selected 19 EU Member States over the period of January 2002 to June 2019

The sample covers 19 member states of the European Union: ten economies that adopted the euro when the currency union had been launched (including Greece) and nine economies that have not adopted euro yet , from the 2002–mid-2019 period. Data are provided by Eurostat.

Research background: This study investigates central banks' (CB) intentions as reflected in their minutes and their relationship with policy decisions. Although CB communication is an inherent part of their inflation targeting (IT) strategy, their communication does not necessarily result in actions. Purpose of the article: This study aims to extra...

This study provides an application of dynamic time warping algorithm with a new window constraint to assess consumer expectations' information content regarding current and future inflation. Our study's contribution is the novel application of DTW for testing expectations' forward-lookingness. Additionally, we modify the algorithm to adjust it for...

We try to establish the commonalities and leadership in the cryptocurrency markets by examining the mutual information and lead-lag relationships between Bitcoin and other cryptocurrencies from January 2019 to June 2021. We examine the transfer entropy between volatility and liquidity of seven highly capitalized cryptocurrencies in order to determi...

In this paper, we focus on the influence of attention from investors on the dynamics of different financial assets. Investor attention is measured by the number of Google searches for three types of assets: stocks, gold and cryptocurrencies. We analyse the daily price of: the Standard & Poor’s 500 (S&P 500), the Russell 2000 Index (RUT), Bitcoin an...

The inflation expectations of economic agents are one of the most important variables for central banks and monetary policy conduct, but such expectations are not directly observable. Consumers' expectations are examined in qualitative surveys. The key task is to transform consumers' survey responses into quantitative proxies of expectations. In th...

Participatory Budget (PB) is a process that distributes part of the city budgets among projects submitted and selected by the dwellers. The key challenge for IT-supported e-PB is the projects’ comparison and ranking. This paper focuses on an empirical test of a hybrid method for comparing BP projects. In this study, we investigate two difficult to...

The article aims to show the opportunities for the formation of new FinTech startups in Poland and further development of the sector, as well as to identify the most critical threats. The study offers the descriptive and deductive analysis based on the literature review. The empirical part relies on the data from external databases as well as the d...

The goal of the reportis to present the situation of the FinTech sector in Poland, review its recent development (based on the comparison of the current situation and the situation presented in the previous reports), investigate its specific problems and show its main challenges and opportunities.This report is based on the survey run in January 20...

In a real market, the quantity of information and recommendations is constantly increasing. However, recommendations are often in linguistic form and no one recommendation is based on a single piece of information. Predictions of individuals and their confidence can vary greatly. Thus, a problem arises concerning different (disjointed or partially...

In the light of the research which proves that inflation expectations cannot be fully explained by inflation itself, a question about the possible drivers of expectations arises. In this paper, we look for such drivers with the use of the cointegration analysis. We assume that some economic information is incorporated into a mechanism that explains...

This paper presents many expert fuzzy extensions of the Black-Litterman portfolio selection model. Black and Litterman identified two sources of information regarding the expected returns, and they combined these two sources of information in one expected return formula. The first source of information is the expected returns from the Capital Asset...

We examine central banks’ involvement in inflation forecast targeting by means of an index-basedanalysis and ordered logistic regression. The research encompasses the Bank of England, the CzechNational Bank, the National Bank of Poland and the Sveriges Riksbank. They produce conditionalor unconditional macroeconomic forecasts. Hence, two paths have...

In this paper we investigate whether consumer inflation expectations in the E.U. Member States (M.S.) were more forward-looking after the onset of the financial crisis (October 2008-2016) and after the most turbulent times (2013-2016). We compare the results with pre-crisis forward-lookingness (2002-September 2008). Our examination covers the euro...

Since there are different ways of revealing central banks’ intentions, a simple research question, which we address in this study, arises. Is the forward-looking (FL) component of consumers’ expectations related to the way in which the forecast is revealed and used by central banks? The research covers six countries: The Czech Republic, Hungary, Ro...

In a market reality, the quantity of information and recommendations is constantly increasing. However, recommendations are often in linguistic form and no one is based on a single piece of information. Predictions of individuals and their confidence can greatly vary. Thus, the problem arises considering different (disjointed or partially coherent)...

This article examines the relationship between consumer expectations and macro variables. The research covers five EU member states: Croatia, the Czech Republic, Hungary, Poland, and Romania in the period from 2011 to 2015. Its aim is to find long-run dependence of expectations and financial and real sphere variables in the post-crisis era. No prev...

As the empirical studies show, investor sentiment is a significant factor in financial markets. The large-scale development of the technology has led to widespread access to information in real time also to individual investors, which in turn has also led to the inflow of Big Data to market analysis. One of the sources of such data is the ability t...

In the paper we focus on the influence of the investors' attention on the dynamics of selected financial assets. The attention is measured by the number of Google searches for three types of assets: stocks, gold and cryptocurrencies. We analyze daily price of: the Standard & Poor's 500, Russell 2000 Index, Bitcoin, Gold Spot US Dollar. The study pe...

Fundamental issues in the study of mortality rate modelling are goodness of fit and the quality of forecasts. These are still open questions despite the fact that dozens of mortality models have been formulated. Capturing all mortality patterns remains elusive for the proposed models. Nevertheless, there are models with better and worse abilities t...

The fundamental goal of every financial investment is to maximize profit. A sharp increase of turnover in the financial markets led to the rapid development of studies in the field of investment portfolio optimization. These studies focus mainly on measuring the risk associated with an investment, and the maximization of profits. Nowadays, individu...

Research background: Modern monetary policy should be expectations-oriented. The best way to influence expectations operationally is to use inflation forecasts. As different ways of revealing central bank's intentions exist, a simple research question arises. Does the forward-looking (FL) component of consumers' expectations depend on the way in wh...

We examine the central banks' involvement in inflation forecast targeting (IFT) by means of an index-based analysis and ordered logistic regression. The research encompasses the National Bank of Poland (2004-2016) and the Sveriges Riksbank (2006-2016). They produce their macroeconomic forecasts under different interest rate assumptions. Hence, two...

We examine central banks' involvement in inflation forecast targeting (IFT) by means of an index-based analysis and ordered logistic regression. They produce macroeconomic forecasts: conditional in the case of the BoE and the NBP and unconditional in Czechia and Sweden. Hence, two paths have been used to examine them. We assume that the four centra...

This paper presents fuzzy extensions of the Black-Litterman portfolio selection model. Black and Litterman identified two sources of information about expected returns and combined these two sources of information into one expected return formula. The first source of information is the expected returns that follow from the Capital Asset Pricing Mod...

In this study, a fuzzy technique is proposed for order preference based on the similarity to an ideal solution for the personalized ranking of projects in a participatory budget (PB). A PB is a group decision-making process where citizens distribute public resources among a set of city investment proposals. The dynamic growth in the popularity of P...

The aim of the study was to investigate how age, gender, experience and education influence the investment decisions of individual investors in the Warsaw Stock Exchange. The source of data were two surveys sent to individual investors through the Polish Association of Individual Investors. In order to assess the significance of the given character...

Portfolio optimization, one of the most rapidly growing field of modern finance, is selection process, by which investor chooses the proportion of different securities and other assets to held. This paper studies the influence of membership function’s shape on the result of fuzzy portfolio optimization and focused on portfolio selection problem bas...

Value at risk (VaR) and conditional value at risk (CVaR) are widely used risk assessment technique. The traditional measures are proposed under random environment, however analogous measures of risk were also presented in fuzzy environment. The VaR and CVaR definitions based on credibility theory are different proposed by different authors. This p...

Empirical studies show that individual investors do not always behave rationally and do not use standard investment portfolio selection tasks. In this paper we focus on investor choices and the basic elements affecting them. The paper presents optimization model based on a measure of investor satisfaction. The model is created on the basis of surve...