Detecting Shocks in The Economic Development Dynamics of Selected Countries

• Authors: Anna Janiga-Ćmiel
• Languages of publication: EN

Abstracts

EN

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.

Keywords

EN

GARCH model; contagion effect; economic development; C01; C32; C51

• Publisher: Sciendo
• Journal: Folia Oeconomica Stetinensia
• Year: 2014
• Volume: 13
• Issue: 2
• Pages: 120-133

Dates

received

2013-10-25

accepted

2013-12-22

online

2014-07-08

Contributors

author

Anna Janiga-Ćmiel

• University of Economics in Katowice Faculty of Management Department of Mathematics 1 Maja 50, 40-287 Katowice

References

• 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 GRACH model. The Journal of Ecomometrics, 6, 311–333. DOI: 10.1111/1368-423X.t01-1-00111.[Crossref]

Identifiers

DOI

10.2478/foli-2013-0018