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Morfologia cyklu indeksu WIG oraz jego współzależność z cyklem sfery realnej gospodarki w Polsce

Author

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  • Arkadiusz Semczak

    (Uniwersytet Marii Curie-Skłodowskiej w Lublinie)

Abstract

W niniejszym opracowaniu podjęta została próba opisania zarówno faz wzrostowych, jak i spadkowych na polskim rynku kapitałowym w latach 1995−2017. Zostały także wskazane i scharakteryzowane cykle w sferze realnej gospodarki, które umożliwiły zbadanie synchronizacji pomiędzy powyższymi rynkami. Uzyskane wyniki wskazują na podobny przebieg cyklu indeksu WIG i rynku gospodarki realnej oraz ich silną współzależność. Zaobserwowano także wyraźną cykliczność o długości wynoszącej około 3,5 roku. Indeks WIG dodatkowo posiada zauważalną tendencję wyprzedzającą względem sfery realnej oraz charakteryzuje się większą zmiennością.

Suggested Citation

  • Arkadiusz Semczak, 2018. "Morfologia cyklu indeksu WIG oraz jego współzależność z cyklem sfery realnej gospodarki w Polsce," Bank i Kredyt, Narodowy Bank Polski, vol. 49(6), pages 557-594.
    • Handle: RePEc:nbp:nbpbik:v:49:y:2018:i:6:p:557-594
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    More about this item

    Keywords

    cykl koniunkturalny; rynki kapitałowe; punkty zwrotne; analiza spektralna; model z przełączaniem typu Markowa;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions

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