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An Analysis of Conditional Dependencies of Covariance Matrices for Economic Processes in Selected EU Countries

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  • Janiga-Ćmiel Anna

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

Abstract

The paper looks at the issues related to the research on and assessment of the contagion effect. Based on several examinations of two selected EU countries, Poland paired with one of the EU member states; it presents the interaction between their economic development. A DCC-GARCH model constructed for the purpose of the study was used to generate a covariance matrix Ht, which enabled the calculation of correlation matrices Rt. The resulting variance vectors were used to present a linear correlation model on which a further analysis of the contagion effect was based. The aim of the study was to test a contagion effect among selected EU countries in the years 2000–2014. The transmission channel under study was the GDP of a selected country. The empirical studies confirmed the existence of the contagion effect between the economic development of the Polish and selected EU economies.

Suggested Citation

  • Janiga-Ćmiel Anna, 2016. "An Analysis of Conditional Dependencies of Covariance Matrices for Economic Processes in Selected EU Countries," Folia Oeconomica Stetinensia, Sciendo, vol. 16(2), pages 119-134, December.
    • Handle: RePEc:vrs:foeste:v:16:y:2016:i:2:p:119-134:n:9
    DOI: 10.1515/foli-2016-0029
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    References listed on IDEAS

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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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