Radosław Kurach

Radosław Kurach
Wroclaw University of Economics and Business | WUE · Institute of Economics

PhD

About

24
Publications
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Citations
Introduction

Publications

Publications (24)
Article
Full-text available
Companies that manage mandatory pension funds are frequently accused of excessive fee taking. International analyses have found that in countries with legal caps, commissions remain within these caps; hence, market competition does not function. Surprisingly, there are few international cases where local regulators implement mechanisms to facilitat...
Article
In the recent decade, there has been observed across the Central and Eastern European states the regulatory trend towards the increase of the non-financial (first) pension pillar size at the expense of the financial (second) pillar. It tends to question the consequences of this shift for the future retirement benefits. Applying the portfolio approa...
Article
In this study, we challenge the problem of inadequate voluntary pension savings by exploring the micro-dataset of the Luxembourg Wealth Study (LWS) for three countries: Italy, the United Kingdom and the United States. The existing empirical literature usually focuses on the role of socio-demographic factors to understand this phenomenon, and theore...
Article
The regulatory framework of the Polish pension system is far-removed from the optimal lifecycle portfolio approach, which recommends a time-varying asset mix to minimize portfolio risk. Nevertheless, a question emerges on how large diversification gains can grow under the existing rules. This study accounts for the current restrictions and estimate...
Article
In this paper, we present the results of financial knowledge assessment from a nationwide survey carried out in Poland in 2019. To measure this phenomenon, we use the well-grounded scale, the ‘Big Three’ financial literacy questions, proposed by Mitchell and Lusardi. The results are similar to those of studies in other countries. However, we find t...
Preprint
Full-text available
Economists are convinced that the financial knowledge of people affects their everyday economic choices. This knowledge has been typically measured by the questionnaires and in the recent years a BIG3 survey has become a dominant solution. In this article we focus on the methodological problems resulting from applying questionnaires and from interp...
Article
Purpose The article examines the interplay between welfare state regimes and the distribution of welfare between generations. Design/methodology/approach Using data from 2017 for 24 European countries on six standard of living dimensions, the authors investigate the intergenerational welfare distribution in a two-stage procedure: (1) the authors c...
Preprint
Full-text available
With the prospective decline of public pension benefits, private savings will become critical for maintaining the desired living standards, yet the majority of people undersave. There are several explanations of this phenomenon provided in the literature, but we focus on the one that has received little attention: trust in state. Using data from a...
Article
Full-text available
In this study, we attempt to verify if the funds constituting the (quasi)mandatory capital pillar of the Polish pension system outperformed the market in the 2014–2016 period. This research objective was raised a few times in the past, but nowadays it gains a new context. In our research the sample starts at the moment when a set of regulations was...
Preprint
Full-text available
The recent trend towards the reduction of the second pension pillar size across the Central and Eastern European states tends to question the consequences of this regulatory shift for the future retirement benefits. From a perspective of an individual saver, we try to address this issue by running a dynamic pension portfolio optimisation to minimis...
Article
In this study we present the method of portfolio selection suitable for long term investments and thus applicable to the pension funds industry. The choice of the portfolio is based on two stages. In the first one we identify the long-run co-movement using the cointegration analysis to eliminate the assets sharing common trends. Then, using the con...
Article
Full-text available
In this study, we identify the optimal hedge ratio for mandatory pension funds, defining the optimum as the value that minimizes the portfolio variance in accordance with the social objective of the mandatory pension system. Unlike most previous studies, we apply a dynamic framework to account for a regular inflow of contributions and impose specif...
Article
Equity markets of Central and Eastern Europe (CEE) have been traditionally perceived as more risky, hence offering more costly capital with respect to mature exchanges. However, during the last decade due to the European integration process we have observed accelerated development of these emerging markets in terms of their sophistication and depth...
Article
Full-text available
We examine the components of equity returns on the Polish capital market. To analyse the underlying complexity of returns we took into consideration the model designed by Leibowitz (1999). This model captures three factors: dividend yield, expected growth in earnings and expected change in price-to-earnings (PE) ratio. We applied this model to anal...
Article
Full-text available
In this study we explore the issue of foreign assets in mandatory pension funds portfolios. First we provide an overview of the regulatory policies regarding international assets and indicate the externalitieswhich may account for the observed differences among the CEE states. Then, taking the perspective of portfolio theory, we run a simulation st...
Article
The problem of proper beta (measure of systematic risk) estimation is crucial both for academic considerations and financial market practice purposes. There is a group of empirical studies that questioned the assumption of beta time-invariance, while only some of them tried to model the process of beta time-variation. Basing on previous research, w...
Article
Full-text available
The purpose of this study is to assess the diversification benefits resulting from international asset allocation. In this study, we examine Capital Asset Pricing Model (CAPM) in its international context (ICAPM) using the monthly equity returns for 26 countries (18 developed and 8 emerging markets) between July 1996 and June 2011 and adopting the...
Article
In this study we empirically verify the diversification potential of different commodity sectors for equity portfolios. We also try to find the explanation of varying cross-sectoral diversification benefits by verifying the relationship between macroeconomic variables and commodity indices. We employ correlation analysis for our purposes. The obtai...
Article
Full-text available
In this paper we assess the level of country risk vs industry risk for the Eurozone national stock markets and the measure of dispersion is used to deliver the desired estimates. We find a significant and permanent increase in the level of country risk since the beginning of the recent global financial crisis. This conclusion may be important both...
Article
Since financial system development is a necessary condition of the long-run economic growth, in this paper we address the question about the factors that may drive in particular the development of stock market segment. We propose a set of potential determinants and then empirically verify their importance, employing panel data methodology. We focus...
Article
Full-text available
Monetary union accession generates benefits and costs for the entering countries. According to the seminal paper by Mundell (1961), the possible costs are usually associated with the asymmetric shocks that might take place. Under the currency union regime, these asymmetric shocks can be no longer neutralized by the countryspecific monetary policy t...

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Projects

Projects (3)
Project
The research objective of the submitted project is to recommend the solutions consistent with the identified attitudes and expectations of Poles in the area of saving for retirement, which would result in more adequate pension benefits.
Archived project
In this project we take the research effort to evaluate some regulations regarding the asset management of the mandatory pension funds (MPF) and the market regulations, concerning the level of fees charged.