International Dependence and Contagion across Asset Classes: The Case of Poland
Journal Title: Finance a uver - Year 2015, Vol 65, Issue 3
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.
Authors and Affiliations
Michal Adam, Piotr Banbula
Keywords
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