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International Dependence and Contagion across Asset Classes: The Case of Poland

Author

Listed:
  • Michal Adam

    (Narodowy Bank Polski)

  • Piotr Banbula

    (Narodowy Bank Polski
    Warsaw School of Economics)

  • Michal Markun

    (Narodowy Bank Polski
    Cardinal Stefan Wyszyñski University in Warsaw)

Abstract

We investigate the linkages between international financial markets and Poland, including stocks, bonds and foreign exchange. We work in a static copula framework, allow for asymmetry of tail behavior and use tail dependence as a measure of contagion. Even though we find the overall dependence to be strong, Polish assets are to a certain extent immune to contagion from global and emerging markets. Equities are prone to only mild contagion, foreign exchange and long-term bonds are even less affected, and short-term bonds appear insulated.

Suggested Citation

  • Michal Adam & Piotr Banbula & Michal Markun, 2015. "International Dependence and Contagion across Asset Classes: The Case of Poland," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 65(3), pages 254-270, May.
    • Handle: RePEc:fau:fauart:v:65:y:2015:i:3:p:254-270
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    References listed on IDEAS

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    Cited by:

    1. Agata Kliber & Blanka Let & Aleksandra Rutkowska, 2016. "Socio-demographic characteristics of investors in the Warsaw Stock Exchange – How they influence the investment decision," Bank i Kredyt, Narodowy Bank Polski, vol. 47(2), pages 91-118.
    2. Harald Schmidbauer & Angi Rösch & Erhan Uluceviz & Narod Erkol, 2016. "The Russian Stock Market during the Ukrainian Crisis: A Network Perspective," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 66(6), pages 478-509, December.
    3. Jovan Njegic & Milica Stankovic & Dejan Živkov, 2019. "What Wavelet-Based Quantiles Can Suggest about the Stocks-Bond Interaction in the Emerging East Asian Economies?," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 69(1), pages 95-119, February.

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    More about this item

    Keywords

    copulas; dependence; tail dependence; contagion;
    All these keywords.

    JEL classification:

    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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