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Autor
Burzała Milda Maria (Poznań University of Economics, Poland)
Tytuł
Did the Crisis in the Interbank Market Run Parallel to the Crisis in the Capital Market? : Cospectral Analysis
Źródło
Bezpieczny Bank, 2015, nr 2 (59), s. 96-112, rys., tab., bibliogr. 28 poz.
Słowa kluczowe
Kryzys finansowy, Rynek międzybankowy, Analiza widmowa, Rynek kapitałowy
Financial crisis, Interbank market, Spectral analysis, Capital market
Uwagi
summ.
Abstrakt
For analysts of the crisis it is important to find out whether financial market disturbances occurred simultaneously for different segments of this market. If certain lags are identified, this might form a basis to establish the direction of capital flows. The research hypothesis about the simultaneous occurrence of capital and interbank market disturbances was verified by using cospectral analysis. The results of empirical research that are presented in this article indicate that the covariance of the studied segments of the financial market in the U.S. was very low. This means that the capital market only showed a delayed reaction to single impulses coming from the interbank market in relation to certain crisis events.(original abstract)
Dostępne w
Biblioteka Główna Uniwersytetu Ekonomicznego w Krakowie
Biblioteka SGH im. Profesora Andrzeja Grodka
Biblioteka Główna Uniwersytetu Ekonomicznego w Katowicach
Biblioteka Główna Uniwersytetu Ekonomicznego w Poznaniu
Biblioteka Główna Uniwersytetu Ekonomicznego we Wrocławiu
Pełny tekst
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Bibliografia
Pokaż
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Cytowane przez
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ISSN
1429-2939
Język
eng
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