Dependence and contagion between asset prices in Poland and abroad. A copula approach

Michał Adam, Piotr Bańbuła and Michał Markun
Additional contact information
Michał Adam: Narodowy Bank Polski, https://nbp.pl
Piotr Bańbuła: Narodowy Bank Polski and Warsaw School of Economics, https://nbp.pl
Michał Markun: Narodowy Bank Polski and Cardinal Stefan Wyszyński University in Warsaw, https://nbp.pl

No 169, NBP Working Papers from Narodowy Bank Polski

Abstract: We investigate the dependence structure between Polish and foreign financial assets, including stocks, bonds and foreign exchange. Our interest is in the importance of global factors for asset valuation and on the strength of financial contagion. We work in the copula framework, which offers a full description of the dependence structure. Importantly, we assess many copula families and pay special attention to the testing procedure thereof. Polish equities, currency and to some extent long-term sovereign bonds exhibit economically significant tail dependence, while short-term bonds appear relatively unaffected. Symmetric tail behaviour characterises the majority of asset pairs, though we also find significant asymmetries in a number of cases, with assets more likely to post large losses when global conditions significantly deteriorate, rather than to gain when they improve.

Keywords: Copulas; Dependence; Tail dependence coefficients; Contagion; Asset classes (search for similar items in EconPapers)
JEL-codes: C58 G15 (search for similar items in EconPapers)
Pages: 38
Date: 2013
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

Downloads: (external link)
https://static.nbp.pl/publikacje/materialy-i-studia/169_en.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:nbp:nbpmis:169

Access Statistics for this paper

More papers in NBP Working Papers from Narodowy Bank Polski Contact information at EDIRC.
Bibliographic data for series maintained by Jakub Growiec ().