Influence of the American Financial Market on Other Markets During the Subprime Crisis

Płuciennik Piotr ()
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Płuciennik Piotr: Adam Mickiewicz University Faculty of Mathematics and Computer Science Laboratory of Financial Econometrics Umultowska 87, 61-614 Poznań, Poland

Folia Oeconomica Stetinensia, 2012, vol. 12, issue 2, 19-30

Abstract: Subprime crisis which started in the USA in 2007 was the cause of the most significant economic disturbances since the Great Depression in 1930s. Soon it transmitted to other countries, including those in which banks were not engaged in the subprime mortgage market. The crisis hit various sectors of national economies and led to changing of the trends on the stock markets, which are connected to American capital market. In the following article we researched the influence of the American market on the other markets in the context of the financial crisis. Our analysis is based on the results obtained from the multivariate parametric models. Seeing that the data space is high-dimensional, we used GO-GARCH models introduced by van der Weide (2005) and Boswijk and van der Weide (2006).

Keywords: principal components analysis; impulse response function; stock index; multi dimensional models of conditional variance (search for similar items in EconPapers)
Date: 2012
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Persistent link: https://EconPapers.repec.org/RePEc:vrs:foeste:v:12:y:2012:i:2:p:19-30:n:7

DOI: 10.2478/v10031-012-0031-8

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