PL EN


Preferencje help
Widoczny [Schowaj] Abstrakt
Liczba wyników
2012 | 12 | nr 2 | 19--30
Tytuł artykułu

Influence of the American Financial Market on Other Markets During the Subprime Crisis

Treść / Zawartość
Warianty tytułu
Języki publikacji
EN
Abstrakty
EN
Subprime crisis which started in the USA in 2007 was the cause of the most significant economic disturbances since the Great Depression in 1930s. Soon it transmitted to other countries, including those in which banks were not engaged in the subprime mortgage market. The crisis hit various sectors of national economies and led to changing of the trends on the stock markets, which are connected to American capital market. In the following article we researched the influence of the American market on the other markets in the context of the financial crisis. Our analysis is based on the results obtained from the multivariate parametric models. Seeing that the data space is high-dimensional, we used GO-GARCH models introduced by van der Weide (2005) and Boswijk and van der Weide (2006). (original abstract)
Rocznik
Tom
12
Numer
Strony
19--30
Opis fizyczny
Twórcy
  • Adam Mickiewicz University in Poznań, Poland
Bibliografia
  • Alexander, C.O. (2000). Orthogonal Methods for generating Large Positive Semidefinite CovarianceMatrices. ISMA Centre Disscussion Papers in Finance 2000-2006, University of Reading, UK.
  • Alexander, C.O. (2001). Orthogonal GARCH in C.O. Alexander (Ed.) Mastering Risk, 2, Financial Times Prentice Hall.
  • Alexander, C.O. & Chibumba, A. (1996), Multivariate orthogonal factor GARCH. University of Sussex Discussion Paper in Mathematics.
  • Blackburn, R. (2008). The Subprime Crisis. New Left Review, 50, March, April.
  • Bollerslev, T. (1990), Modelling the Coherence in Short-Run Nominal Exchange Rate: A Multivariate Generalized ARCH Approach. Review of Economics and Statistic, 72, 498-505.
  • Boswijk, H. & van der Weide R. (2006). Wake me up before you GO-GARCH. UvA-Econometrics Discussion Paper 2006/03.
  • Engle, R. (2002). Dynamic Conditional Correlation - a simple class of Multivariate GARCH models. Journal of Business and Economic Statistic, 20, 339-350.
  • Engle, R. & Kroner, F. (1995). Multivariate simultaneous generalized ARCH. Econometric Theory, 11, 122-150.
  • Financial Services Authority (2009). The Turner Review. A regulatory response to the global banking crisis, March, www.fsa.gov.uk (31.01.2011).
  • Haffner, C.M. & Herwartz, H. (1998). Volatility Impulse Response Functions for Multivariate GARCH Models. Core Discussion Paper 9847.
  • Johansen, S. (1991). Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models. Econometrica, 59 (6), 1551-1580.
  • Klassen, F. (2000), Have Exchange Rates Become Mode Closely Tied? Evidence from a new Multivariate GARCH model. Centre for Economic Research discussion paper, University of Tilburg.
  • Kliber, A., Kliber, P. & Płuciennik, P. (2012), Dependencies between interbank interest rates in Poland (in Polish). Przegląd Statystyczny, 2012-II, 151-164.
  • Konopczak, M., Sieradzki, R. & Wiernicki, M. (2010). Global financial markets crisis - impact on the Polish financial market and implications for the real sector of the economy (in Polish). Bank i Kredyt, 41 (6), 45-70.
  • Laurent, S. (2009), G@RCH 6, Estimating and Forecasting ARCH Models. London: Timberlake Consultants Press.
  • Mishkin, F. (2011), Over the Cliff: From the Subprime to the Global Financial Crisis. Journal of Economic Perspectives 25 (1), Winter 2011, 49-70.
  • Schwarz, K. (2009), Mind the gap: disentangling credit and liquidity in risk spreads, working paper of University of Pennsylvania Wharton School of Business.
  • Sengupta, R. & Yu, M.T. (2008). The LIBOR-OIS Spread as a Summary Indicator. Economic Synopses, 25, Federal Reserve Bank of St. Louis.
  • The World Bank (2010). Growth through Innovations. Malaysia Economic Monitor.
  • Thornton, D.L. (2009), What the Libor-OIS Spread Says. Economic Synopses, 24, Federal Reserve Bank of St. Louis.
  • Tudor, C. (2009), Understanding the Roots of the US Subprime Crisis and its Subsequent Effects. The Romanian Economic Journal, Year XII, 31 (1).
  • Vojtek, M. (2003). Calibration of interest rate models - transition markets case. CERGE-EI Discussion Paper Series.
  • van der Weide R. (2002). GO-GARCH: A Multivariate Generalized Orthogonal GARCH Model. Journal of Applied Econometrics, 17, 549-564.
Typ dokumentu
Bibliografia
Identyfikatory
Identyfikator YADDA
bwmeta1.element.ekon-element-000171234887

Zgłoszenie zostało wysłane

Zgłoszenie zostało wysłane

Musisz być zalogowany aby pisać komentarze.
JavaScript jest wyłączony w Twojej przeglądarce internetowej. Włącz go, a następnie odśwież stronę, aby móc w pełni z niej korzystać.