– This paper aims to present a framework enriching currency risk analyses based on information theory.
Abstract
Purpose
This paper aims to present a framework enriching currency risk analyses based on information theory.
Design/methodology/approach
Information-theoretic measures of predictability (entropy rate) and co-dependence (mutual information) are used to enhance existing methods of analysing and measuring currency risk.
Findings
The currency exchange rates have varying degrees of predictability, which should be accounted for in currency risk analyses. In case of baskets of currencies, a network approach rooted in portfolio theory may be useful.
Research limitations/implications
The currency exchange rate time series must be discretised for the information-theoretic analysis (although the results are robust). An agent-based simulation may be a necessary further study to show what the impact of accounting for predictability in managing currency risk is.
Practical implications
Practical analyses measuring currency risk should take predictability of currency rate changes into account wherever the currency exposure is actively managed.
Originality/value
The paper introduces predictability into measuring currency risk, which has previously been ignored, despite the nature of the risk being inherently tied to uncertainty of the currency rate changes. The paper also introduces a portfolio theory-based approach to quantifying currency risk, which accounts for non-linear co-dependence in the currency markets.
Details
Keywords
The paper surveys selected standpoints in the Polish humanities that are visibly critical toward neoliberal assumptions and claims of economics. The resources used in the text…
Abstract
Purpose
The paper surveys selected standpoints in the Polish humanities that are visibly critical toward neoliberal assumptions and claims of economics. The resources used in the text are: Andrzej Szahaj’s philosophical postulates and assertions; Tadeusz Kowalik’s view; criticism and postulates of social economics articulated by the quarterly magazine Nowy Obywatel (The New Citizen). The purpose of this paper is to construct a possibly cohesive picture of this type of criticism by indicating important similarities between the approaches mentioned above, its strongest arguments, philosophical premises and political inclinations.
Design/methodology/approach
A conceptual synthesis and interpretation of theoretical standpoints and its philosophical premises, a comparative analysis of the text/content of the magazine (The New Citizen).
Findings
Each of the three standpoints discussed in the paper proves to be an interesting example of social economics. It is also symptomatic that they share a similar, critical attitude toward the way in which the transformation of the Polish economy from a socialist to a capitalist system had been carried out. The transformation is thereby interpreted as a process that is not accomplished at all from the point of view of the ideals of social justice and integrity.
Practical implications
The popularization of Polish normative views of economics taking into account the problem of social justice, and the possible transformation of the way in which economic problems are publicly understood in Poland.
Originality/value
The discussion of non-standard interpretations of Polish transformation and its effects that undermine and challenge neoliberal ideology in economics.