<abstract xmlns="http://www.w3.org/1999/xhtml"><p>The paper examines the development of the Polish economy as well as the economies of selected countries in the period from 2001 to 2012. For that purpose, models based on the GDP growth in particular countries were built. A comparative analysis of the development of economies in the countries concerned (the United Kingdom, Belgium, Denmark, France, Poland, the Netherlands), based on a specially built full-factor multivariate GARCH model, is presented. The theory of the construction of a full-factor multivariate GARCH model and its estimation method are discussed. In the paper, a multivariate GARCH model where the covariance matrix is always positive, deﬁnite and the number of parameters is relatively small compared to other multivariate models is proposed. The causality of the impact that economies exert on one another is examined and the occurrence of the contagion effect is verified by means of the Forbes and Rigobon test.</p></abstract>

The paper examines the development of the Polish economy as well as the economies of selected countries in the period from 2001 to 2012. For that purpose, models based on the GDP growth in particular countries were built. A comparative analysis of the development of economies in the countries concerned (the United Kingdom, Belgium, Denmark, France, Poland, the Netherlands), based on a specially built full-factor multivariate GARCH model, is presented. The theory of the construction of a full-factor multivariate GARCH model and its estimation method are discussed. In the paper, a multivariate GARCH model where the covariance matrix is always positive, deﬁnite and the number of parameters is relatively small compared to other multivariate models is proposed. The causality of the impact that economies exert on one another is examined and the occurrence of the contagion effect is verified by means of the Forbes and Rigobon test.

Detecting Shocks in The Economic Development Dynamics of Selected Countries

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

Folia Oeconomica Stetinensia

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

{"article-title":"Detecting Shocks in The Economic Development Dynamics of Selected Countries"}

The paper examines the development of the Polish economy as well as the economies of selected countries in the period from 2001 to 2012. For that purpose,...

Detecting Shocks in The Economic Development Dynamics of Selected Countries

Publié en ligne: 08 juil. 2014

Pages: 120 - 133

Reçu: 25 oct. 2013

Accepté: 22 déc. 2013

DOI: https://doi.org/10.2478/foli-2013-0018

Mots clés
GARCH model, contagion effect, economic development

© 2013 University of Szczecin

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

Detecting Shocks in The Economic Development Dynamics of Selected Countries

Publié en ligne: 08 juil. 2014

Pages: 120 - 133

Reçu: 25 oct. 2013

Accepté: 22 déc. 2013

DOI: https://doi.org/10.2478/foli-2013-0018

Mots clésGARCH model, contagion effect, economic development

© 2013 University of Szczecin

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

Mots clés
GARCH model, contagion effect, economic development