An Analysis of Conditional Dependencies of Covariance Matrices for Economic Processes in Selected EU Countries

• Autorzy: Anna Janiga-Ćmiel
• Języki publikacji: EN

Abstrakty

EN

The paper looks at the issues related to the research on and assessment of the contagion effect. Based on several examinations of two selected EU countries, Poland paired with one of the EU member states; it presents the interaction between their economic development. A DCC-GARCH model constructed for the purpose of the study was used to generate a covariance matrix Ht, which enabled the calculation of correlation matrices Rt. The resulting variance vectors were used to present a linear correlation model on which a further analysis of the contagion effect was based. The aim of the study was to test a contagion effect among selected EU countries in the years 2000-2014. The transmission channel under study was the GDP of a selected country. The empirical studies confirmed the existence of the contagion effect between the economic development of the Polish and selected EU economies.(original abstract)

Słowa kluczowe

EN

GARCH model; Contagion effect; Economic development

PL

Model GARCH; Efekt zarażania; Rozwój gospodarczy

• Czasopismo: Folia Oeconomica Stetinensia
• Rocznik: 2016
• Numer: vol. 16, iss. 2
• Strony: 119--134

Twórcy

autor

Anna Janiga-Ćmiel

• University of Economics in Katowice, Poland

Bibliografia

• Alvarez, F., Barlevy, G. (2015). Mandatory Disclosure and Financial Contagion, NBER Working Paper, 21328, Cambridge, MA 02138.
• Azevedo, J. (2002). Business Cycles: Cyclical Comovement Within the European Union in the Period 1960-1999. A frequency domain approach. Working Paper. Banco de Portugal.
• Bauwens, L., Laurent, S. (2006). Multivariate GARCH models: A survey. Journal of Applied Econometrics, 21, 79-107. DOI: 10.1002/jae.842.
• Bergman, M. (2004). How Similar Are European Business Cycles? Working Paper. Lund, Lund University.
• Cai, Y., Chou, R., Li, D. (2009). Explaining international Stock correlations with CPI fluctuations and market volatility. Journal of Banking and Finance, 33 (11), 2026-2035. DOI: 10.1016/j.jbankfin.2009.05.013.
• Contagion of Financial Crises (2012). World Bank. Retrieved from http://www.worldbank.org.
• Dach, Z. (2011). Polityka makroekonomiczna w warunkach kryzysu i jej wpływ na gospodarkę. Warszawa: Wolters Kluwer.
• Dickerson, A.P., Gibson, H.D., Tsakalotos, E. (1998). Business Cycle Correspondence in the European Union. Empirica, 25.
• Drozdowić-Bieć, M. (2006). Wskaźniki wyprzedzające. Prace i materiały Instytutu Rozwoju Gospodarczego. Warszawa: Wydawnictwo SGH.
• Fiszeder, P. (2009). Modele klasy GARCH w empirycznych badaniach finansowych. Toruń: Wydawnictwo Naukowe Uniwersytetu Mikołaja Kopernika.
• Fiszeder, P., Razik, W. (2003). Analiza efektu zarażania na przykładzie zależności pomiędzy indeksem WIG a indeksami wybranych rynków akcji na świecie. Toruń: AUNC - UMK.
• Fratzscher, M. (2003). On Crises and Contagion. International Journal of Finance and Economics, 8 (2), 109-129. DOI: 10.1002/ijfe.203.
• Hellwig, Z. (1997). Ekspansja gospodarcza Polski końca XX wieku. Poznań: Wydawnictwo Wyższej Szkoły Bankowej.
• Janiga-Ćmiel, A. (2013). Detecting Shocks in The Economic Development Dynamics of Selected Countries. Folia Oeconomica Stetinensia, 13 (2). DOI: 10.2478/foli-2013-0018.
• Kaiser, M. (2010). Euro zone: uncompleted convergence. BNP PARIBAS Conjoncture.
• Kaminsky, G.L., Reinhart, C. (2003). The center and the periphery: The globalization of financial turmoil. NBER Working Paper 9479, Cambridge, MA.
• Naoui, K., Khemiri, S., Liouane, N. (2010). Crises and Financial Contagion: The Subprime Crisis. Journal of Business Studies Quaterly, 2 (1), 15-28.
• Wyciślak, S. (2013). Efekt zarażania a działalność organizacji. Kraków: Wydawnictwo Uniwersytetu Jagiellońskiego.
• Wynne, M.A., Koo, J. (2000). Business Cycles under Monetary Union. A Comparison of the EU and US. Economica, 67 (267), 347-374. DOI: 10.1111/1468-0335.00213.

Identyfikatory

DOI

10.1515/foli-2016-0029