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Detecting Shocks in The Economic Development Dynamics of Selected Countries

Author

Listed:
  • Janiga-Ćmiel Anna

    (University of Economics in Katowice Faculty of Management Department of Mathematics 1 Maja 50, 40-287 Katowice)

Abstract

The paper examines the development of the Polish economy as well as the economies of selected countries in the period from 2001 to 2012. For that purpose, models based on the GDP growth in particular countries were built. A comparative analysis of the development of economies in the countries concerned (the United Kingdom, Belgium, Denmark, France, Poland, the Netherlands), based on a specially built full-factor multivariate GARCH model, is presented. The theory of the construction of a full-factor multivariate GARCH model and its estimation method are discussed. In the paper, a multivariate GARCH model where the covariance matrix is always positive, definite and the number of parameters is relatively small compared to other multivariate models is proposed. The causality of the impact that economies exert on one another is examined and the occurrence of the contagion effect is verified by means of the Forbes and Rigobon test.

Suggested Citation

  • Janiga-Ćmiel Anna, 2014. "Detecting Shocks in The Economic Development Dynamics of Selected Countries," Folia Oeconomica Stetinensia, Sciendo, vol. 13(2), pages 120-133, July.
    • Handle: RePEc:vrs:foeste:v:13:y:2014:i:2:p:14:n:7
    DOI: 10.2478/foli-2013-0018
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    References listed on IDEAS

    as
    1. Kristin J. Forbes & Roberto Rigobon, 2002. "No Contagion, Only Interdependence: Measuring Stock Market Comovements," Journal of Finance, American Finance Association, vol. 57(5), pages 2223-2261, October.
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    More about this item

    Keywords

    GARCH model; contagion effect; economic development;
    All these keywords.

    JEL classification:

    • C01 - Mathematical and Quantitative Methods - - General - - - Econometrics
    • 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
    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation

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