We investigate the dependence structure between Polish and foreign financial assets, including stocks, bonds and foreign exchange. Our interest is in the importance of global factors for asset valuation and on the strength of financial contagion. We work in the copula framework, which offers a...

We investigate the dependence structure between Polish and foreign financial assets, including stocks, bonds and foreign exchange. Our interest is in the importance of global factors for asset valuation and on the strength of financial contagion. We work in the copula framework, which offers a...

The significant depreciation of the Polish zloty in the second half of 2011, difficult to explain by fundamentals, was accompanied by a large increase in exchange rate volatility. The foreign exchange interventions carried out by the National Bank of Poland at that time were aimed at reducing...