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

Michal Adam, Piotr Banbula () and Michal Markun
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Michal Adam: Narodowy Bank Polski
Piotr Banbula: Narodowy Bank Polski
Michal Markun: Narodowy Bank Polski

Czech Journal of Economics and Finance (Finance a uver), 2015, vol. 65, issue 3, 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.

Keywords: copulas; dependence; tail dependence; contagion (search for similar items in EconPapers)
JEL-codes: C58 G15 (search for similar items in EconPapers)
Date: 2015
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Handle: RePEc:fau:fauart:v:65:y:2015:i:3:p:254-270