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

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...

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Bibliographic Details
Published inFinance a úvěr Vol. 65; no. 3; p. 254
Main Authors Adam, Michal, Banbula, Piotr, Markun, Michal
Format Journal Article
LanguageEnglish
Published Prague Charles University, Faculty of Social Sciences 01.01.2015
Subjects
Bonds
Discriminant analysis
Emerging markets
Foreign exchange
International finance
Prices
Securities markets
Stochastic models
Stock exchanges
Studies
Poland
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Summary: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.
ISSN:0015-1920
2464-7683