- Author
- Janiga-Ćmiel Anna (University of Economics in Katowice, Poland)
- Title
- Detecting Shocks in The Economic Development Dynamics of Selected Countries
- Source
- Folia Oeconomica Stetinensia, 2013, vol. 13, nr 2, s. 120-133, tab., bibliogr. 11 poz.
- Keyword
- Model GARCH, Rozwój gospodarczy, Terapia szokowa gospodarki
GARCH model, Economic development, Economic shock therapy - Note
- summ.
- Abstract
- The paper examines the development of the Polish economy as well as the economies of selected countries in the period from 2001 to 2012. For that purpose, models based on the GDP growth in particular countries were built. A comparative analysis of the development of economies in the countries concerned (the United Kingdom, Belgium, Denmark, France, Poland, the Netherlands), based on a specially built full-factor multivariate GARCH model, is presented. The theory of the construction of a full-factor multivariate GARCH model and its estimation method are discussed. In the paper, a multivariate GARCH model where the covariance matrix is always positive, definite and the number of parameters is relatively small compared to other multivariate models is proposed. The causality of the impact that economies exert on one another is examined and the occurrence of the contagion effect is verified by means of the Forbes and Rigobon test.(original abstract)
- Accessibility
- The Library of University of Economics in Katowice
The Main Library of Poznań University of Economics and Business
The Main Library of the Wroclaw University of Economics - Full text
- Show
- Bibliography
-
- Czech-Rogosz, J. (2009). Koniunktura gospodarcza po składzie. Warszawa: Wydawnictwo C.H. Beck.
- 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. Ekonomia XXXIII. Acta Universitatis Nicolai Copernici. Toruń: UMK.
- Forbes, K., Rigobon, R. (2002). No Contagion, Only Interdependence: Measuring Stock Market Co-movements. The Journal of Finance, 57, 2223-2261. DOI: 10.1111/0022-1082.00494. [CrossRef]
- Francq, C., Zakoïan, J. (2010). GARCH models: structure, statistical inference, and financial applications. John Wiley & Sons.
- Hellwig, Z. (1997). Ekspansja gospodarcza Polski końca XX wieku. Poznań: Wydawnictwo Wyższej Szkoły Bankowej.
- Hosking, J. (1980). The Multivariate Portmanteau Statistic, The Journal of American Statistical Association, 75, 602-608. DOI: 10.1080/01621459.1980.10477520. [CrossRef]
- Huerta de Soto, J. (2009). Pieniądz, kredyt bankowy i cykle koniunkturalne. Warszawa: Instytut Ludwiga von Milesa.
- Janiga-Ćmiel, A. (2013). Analiza zależności przyczynowych rozwoju gospodarczego Polski i wybranych państw Unii Europejskiej. Studia Ekonomiczne - Zeszyty Naukowe 159, 51-72. University of Economics in Katowice, Katowice: Wydawnictwo Uniwersytetu Ekonomicznego w Katowicach.
- Vrontos, I.D., Dellaportas, P.& Politis, D.N. (2003). A full-factor Miltivariate GARCH model. The Journal of Ecomometrics, 6, 311-333. DOI: 10.1111/1368-423X.t01-1-00111. [CrossRef]
- Yamarone, R. (2006). wskaźniki ekonomiczne: przewodnik dla inwestora. Gliwice: Wydawnictwo Helion
- Cited by
- ISSN
- 1730-4237
- Language
- eng
- URI / DOI
- http://dx.doi.org/10.2478/foli-2013-0018
