- Tytuł:
- Scaling of Dependence between Foreign Exchange Rates and Stock Markets in Central Europe
- Autorzy:
- Kristoufek, L.
- Powiązania:
- https://bibliotekanauki.pl/articles/1398833.pdf
- Data publikacji:
- 2016-05
- Wydawca:
- Polska Akademia Nauk. Instytut Fizyki PAN
- Tematy:
-
05.45.Tp
89.75.Da
89.65.Gh - Opis:
- We propose two novel methodological approaches - the detrending moving average based regression coefficient estimator and the scale-dependent instrumental variable estimator - and show their utility on a specific case of dependence between stock markets and connected foreign exchange rates in the Central European region - the Czech Republic, Hungary, and Poland. The methodology has proven useful as we uncovered several interesting findings such as scale dependence of the shock transmission and differences between the Euro and U.S. dollar currency pairs. The Polish currency is also the most sensitive of the three with respect to the stock market shocks. The proposed methodology can be applied to any system with potential endogeneity issues if one is interested in the scale variability of the effect of interest.
- Źródło:
-
Acta Physica Polonica A; 2016, 129, 5; 908-912
0587-4246
1898-794X - Pojawia się w:
- Acta Physica Polonica A
- Dostawca treści:
- Biblioteka Nauki
Artykuł