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Volume 65, Issue 3

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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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