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1

Detecting Shocks in The Economic Development Dynamics of Selected Countries

100%
Janiga-Ćmiel A.
Folia Oeconomica Stetinensia
|
2014
|
vol. 13
|
issue 2
120-133
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.
2

Impact Of Financial Crisis On Hedging Effectiveness Of Futures Contracts: Evidence From The National Stock Exchange Of India

67%
Gupta K., Kaur M.
South East European Journal of Economics and Business
|
2015
|
vol. 10
|
issue 2
69-88
EN
The present study examines the impact of the 2008 financial crisis on the hedging effectiveness of three index futures contracts traded on the National Stock Exchange of India for near, next and far month contracts over the sample period of January 2000 – June 2014. The hedge ratios were calculated using eight methods; Naive hedging, Ederington’s Model, Autoregressive Integrated Moving Average, Vector Autoregressive, Vector Error Correction Methodology, Generalized Autoregressive Conditional Heteroskedasticity, Exponential Generalized Autoregressive Conditional Heteroscedasticity and Threshold Generalized Autoregressive Conditional Heteroskedasticity. The study finds an improvement in hedging effectiveness during the post-crisis period, which implies that during the high-volatility period hedging effectiveness also improves. It was also found that near month futures contracts are a more effective tool for hedging as compared to next and far month contracts, which imply that liquidity is a more important determinant of hedging effectiveness than hedge horizons. The study also finds that a time-invariant hedge ratio is more efficient than time-variant hedging. Therefore, knowledge of sophisticated econometrical tools does not help to improve hedge effectiveness.
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