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The extreme risk problem for monetary policies of the Euro-candidates
Gabrisch, Hubert; Orłowski, Lucjan T. - 2010
We argue that monetary policies in euro-candidate countries should also aim at mitigating excessive instability of the key target and instrument variables of monetary policy during turbulent market periods. Our empirical tests show a significant degree of leptokurtosis, thus prevalence of...
Persistent link: https://www.econbiz.de/10003969864
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The Extreme Risk Problem for Monetary Policies of the Euro-Candidates
Gabrisch, Hubert; Orlowski, Lucjan T. - 2010
We argue that monetary policies in euro-candidate countries should also aim at mitigating excessive instability of the key target and instrument variables of monetary policy during turbulent market periods. Our empirical tests show a significant degree of leptokurtosis, thus prevalence of...
Persistent link: https://www.econbiz.de/10010271402
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Optymalne strategie polityki pieniężnej dla Polski uwzględniające wrażliwość banku na ryzyko nieosiągnięcia założonego celu
Bogusz, Dominika; Górajski, Mariusz; Ulrichs, Magdalena - 2015
Persistent link: https://www.econbiz.de/10010532015
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Obcia̜żenia gospodarstw domowych spłatami długu: rozkłady i stress testy : na podstawie badań budżetów gospodarstw domowych GUS
Zaja̜czkowski, Sałwomir; Żochowski, Dawid - 2007
Persistent link: https://www.econbiz.de/10003547983
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The impact of macroeconomic news on Polish and Czech government bond markets
Hausenblas, Václav; Pištora, Vojtěch - 2015
We study the impact of news embedded in scheduled macroeconomic announcements on the government bond market in Poland and the Czech Republic. We conduct an event study on intraday data and time-series regressions using daily data over an eight-year period, distinguishing between effects under...
Persistent link: https://www.econbiz.de/10010529892
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Intra-market commonality in liquidity : new evidencefrom the Polish stock exchange
Olbryś, Joanna - In: Equilibrium : quarterly journal of economics and … 14 (2019) 2, pp. 251-275
Persistent link: https://www.econbiz.de/10012232051
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Volatility and co-movements of the equity markets in Central Europe : evidence from Poland and Hungary
Chmielewska, Anna - In: Economic and environmental studies : a journal for … 18 (2018) 2, pp. 499-513
positive signal for future system stability, it also evidences that the widely used GARCH and DCC specifications turn to be …
Persistent link: https://www.econbiz.de/10011874650
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Effects of fiscal policy and monetary policy on the stock market in Poland
Hsing, Yu - In: Economies : open access journal 1 (2013) 3, pp. 19-25
Poland. Applying the GARCH model and based on a sample during 1999.Q2 to 2012.Q4, this paper finds that Poland’s stock market …
Persistent link: https://www.econbiz.de/10010227857
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Assessing commonality in liquidity with principal component analysis : the case of the Warsaw Stock Exchange
Olbryś, Joanna; Majewska, Elżbieta - In: Journal of risk and financial management : JRFM 13 (2020) 12/328, pp. 1-13
The studies concerning commonality in liquidity on emerging markets in Central and Eastern Europe are scarce and, in particular, they do not utilize the Principal Component Analysis (PCA) to identify latent factors in liquidity. Therefore, the main aim of this research is to assess commonality...
Persistent link: https://www.econbiz.de/10012403992
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Volatility regimes of selected central European stock returns : a Markov switching GARCH approach
Chocholatá, Michaela - In: Journal of business economics and management 23 (2022) 4, pp. 876-894
traditional GARCH-type models (GARCH and GJR-GARCH) the two-regime Markov Switching GARCHtype models (MS-GARCH and MS-GJR-GARCH … persistence of individual markets which substantially differed across the both regimes. Furthermore, the GJR-GARCH and MS-GJR-GARCH … models clearly confirmed the presence of the leverage effect. Consideration of the MS-GARCH-type models enabled to capture …
Persistent link: https://www.econbiz.de/10013499116