- Author
- Geise Andrzej (Nicolaus Copernicus University in Toruń, Poland), Piłatowska Mariola (Nicolaus Copernicus University in Toruń, Poland)
- Title
- Synchronization of Crude Oil Prices Cycle and Business Cycle for the Central Eastern European Economies
Analiza zbieżności cykli cenowych rynku ropy naftowej z cyklami koniunkturalnymi gospodarek Europy Środkowo-Wschodniej - Source
- Dynamic Econometric Models, 2013, vol. 13, s. 175-194, rys., tab., schem., bibliogr. 33 poz.
- Keyword
- Sytuacja gospodarcza, Ceny ropy naftowej, Cykl koniunkturalny
Economic situation, Oil prices, Business cycles - Note
- summ., streszcz.
- Country
- Europa Środkowo-Wschodnia
Central and Eastern Europe - Abstract
- Głównym celem artykułu jest zbadanie, w jakim stopniu cenowe cykle ropy naftowej (Brent) są skorelowane i zsynchronizowane z cyklem koniunkturalnym dla wybranych gospodarek państw Europy Środkowo-Wschodniej (EŚW). W celu identyfikacji cyklu cenowego ropy naftowej i cyklu koniunkturalnego został zastosowany przełącznikowy model Markowa (MS-AR). Określenie wygładzonych prawdopodobieństw w zależności od reżimu umożliwiło wyznaczenie korelacji tych prawdopodobieństw oraz obliczenie indeksu konkordancji dla oceny stopnia synchronizacji cyklu cenowego ropy naftowej i cyklu koniunkturalnego w badanych państwach EŚW. (abstrakt oryginalny)
The main purpose of the paper is to study the degree to which the Brent crude oil price cycle is correlated and synchronized with business cycle in a set of chosen Central Eastern European (CEE) economies. To indentify the oil price cycle and business cycles for chosen individual countries the Markov-switching autoregressive model (MS-AR) is used. The identification of the smoothed probabilities of being in regime 1 and regime 2 enables the calculation of correlation coefficients between those probabilities and the concordance index to evaluate the synchronization of oil price cycle and business cycles for the CEE economies. (original abstract) - Accessibility
- The Library of Warsaw School of Economics
The Main Library of Poznań University of Economics and Business - Full text
- Show
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- Cited by
- ISSN
- 1234-3862
- Language
- eng
- URI / DOI
- http://dx.doi.org/10.12775/DEM.2013.010