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1

Influence of the American Financial Market on Other Markets During the Subprime Crisis

100%

Płuciennik P.

Folia Oeconomica Stetinensia

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2012

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vol. 12

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issue 2

19-30

EN

Subprime crisis which started in the USA in 2007 was the cause of the most significant economic disturbances since the Great Depression in 1930s. Soon it transmitted to other countries, including those in which banks were not engaged in the subprime mortgage market. The crisis hit various sectors of national economies and led to changing of the trends on the stock markets, which are connected to American capital market. In the following article we researched the influence of the American market on the other markets in the context of the financial crisis. Our analysis is based on the results obtained from the multivariate parametric models. Seeing that the data space is high-dimensional, we used GO-GARCH models introduced by van der Weide (2005) and Boswijk and van der Weide (2006).

2

Euro, dollar or Swiss franc: which currency had the greatest impact on the Hungarian, Polish and Czech economies during the global financial crisis?

63%

Kliber A., Płuciennik P.

Przegląd Statystyczny

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2020

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vol. 67

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issue 4

247-273

EN

The article presents an analysis of the impact of foreign currency dynamics on the fundamentals (basic indices of the economic performance) of the Czech Republic, Hungary and Poland during the financial crisis of 2007/2008 and its aftermath until 2017. The subject of the analysis are three currencies: the US dollar, the euro and the Swiss franc. The assessment of their impact on the fundamentals of the three above-mentioned economies is based on the joint volatilities of bond spreads and currencies. A series of copula-GARCH models was estimated. The research demonstrates that the impact of foreign currencies was the strongest in the case of Poland and Hungary, as these two countries were more dependent on loans in foreign currencies than the Czech Republic. Another finding shows that the impact decreased significantly in Hungary after its government introduced loan conversion.

3

Zależności pomiędzy stopami procentowymi rynku międzybankowego w Polsce

51%

Kliber A., Kliber P., Płuciennik P.

Przegląd Statystyczny

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2012

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vol. 59

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issue 2

149-162

PL

W artykule badamy kierunki przenoszenia się zmienności pomiędzy stawką POLONIA oraz stopami procentowymi rynku międzybankowego o dłuższym czasie zapadalności. Szczególny nacisk został położony na określenie siły impulsów wysyłanych przez stawkę POLONIA oraz stopę WIBOR SW. Ta pierwsza jest stopą kontrolowaną przez Narodowy Bank Polski począwszy od 2008 roku, natomiast na druga była nią wcześniej. Ponieważ warunkowa zmienność stóp procentowych jest nieobserwowalna, a brak dostępności danych śróddziennych uniemożliwia szacowania zmienności zrealizowanej, wyznaczamy zmienność warunkową wykorzystując w tym celu wprowadzony przez Van der Weide (2002) model GO-GARCH. Do identyfikacji impulsów w szeregach wariancji warunkowej wykorzystaliśmy model VAR.

EN

In the article we verify the direction of impulse response between volatility of POLONIA rate and interbank interest rates. The authors concentrate especially on the power of POLONIA and WIBOR SW volatility impulses. POLONIA rate is controlled by Polish Central Bank since the beginning of 2008. As the conditional volatility of interest rates is unobservable, and the absence of intraday quotations prevent from estimation of realized volatility, we determine volatility using the GO-GARCH model introduced by Van der Weide (2002). To identify impulses in variance series we use VAR model.

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2 Przegląd Statystyczny

1 Folia Oeconomica Stetinensia

3 Płuciennik P.

2 Kliber A.

1 Kliber P.

1 2021

2 2012

Influence of the American Financial Market on Other Markets During the Subprime Crisis

Euro, dollar or Swiss franc: which currency had the greatest impact on the Hungarian, Polish and Czech economies during the global financial crisis?

Zależności pomiędzy stopami procentowymi rynku międzybankowego w Polsce