International Dependence and Contagion across Asset Classes: The Case of Poland
Adam, Michal; Banbula, Piotr; Markun, Michal
Year: 2015 Volume: 65 Issue: 3 Pages: 254-270
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.
JEL classification: C58, G15
Keywords: copulas, dependence, tail dependence, contagion
RePEc: http://ideas.repec.org/a/fau/fauart/v65y2015i3p254-270.html
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