<abstract xmlns="http://www.w3.org/1999/xhtml">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 <italic>Ht</italic>, which enabled the calculation of correlation matrices <italic>Rt</italic>. 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.</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.

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

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

Folia Oeconomica Stetinensia

This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 3.0 License.

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,...

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

Published Online: Apr 04, 2017

Page range: 119 - 134

Received: Dec 05, 2015

Accepted: Oct 06, 2016

DOI: https://doi.org/10.1515/foli-2016-0029

Keywords
GARCH model, contagion effect, economic development

© 2016 University of Szczecin

This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 3.0 License.

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

Published Online: Apr 04, 2017

Page range: 119 - 134

Received: Dec 05, 2015

Accepted: Oct 06, 2016

DOI: https://doi.org/10.1515/foli-2016-0029

KeywordsGARCH model, contagion effect, economic development

© 2016 University of Szczecin

This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 3.0 License.

Keywords
GARCH model, contagion effect, economic development