Scaling of dependence between foreign exchange rates and stock markets in Central Europe

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F67985556%3A_____%2F16%3A00472032" target="_blank" >RIV/67985556:_____/16:00472032 - isvavai.cz</a>

Nalezeny alternativní kódy

RIV/00216208:11230/16:10324560

Výsledek na webu

<a href="http://dx.doi.org/10.12693/APhysPolA.129.908" target="_blank" >http://dx.doi.org/10.12693/APhysPolA.129.908</a>

DOI - Digital Object Identifier

<a href="http://dx.doi.org/10.12693/APhysPolA.129.908" target="_blank" >10.12693/APhysPolA.129.908</a>

Jazyk výsledku

angličtina

Název v původním jazyce

Scaling of dependence between foreign exchange rates and stock markets in Central Europe

Popis výsledku v původním jazyce

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.

Název v anglickém jazyce

Scaling of dependence between foreign exchange rates and stock markets in Central Europe

Popis výsledku anglicky

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.

Druh

D - Stať ve sborníku

CEP obor

AH - Ekonomie

OECD FORD obor

—

Projekt

<a href="/cs/project/GP14-11402P" target="_blank" >GP14-11402P: Analýza dvoudimenzionální dlouhé paměti ve finančních časových řadách</a><br>

Návaznosti

I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Rok uplatnění

2016

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název statě ve sborníku

Acta Physica Polonica A. Vol 129, n. 5 (2016) - Proceedings of the 8th Polish Symposium of Physics in Economy and Social Sciences FENS

ISBN

—

ISSN

0587-4246

e-ISSN

—

Počet stran výsledku

5

Strana od-do

908-912

Název nakladatele

Polish Academy of Science, Institute of Physics

Místo vydání

Warszawa

Místo konání akce

Rzeszów

Datum konání akce

4. 11. 2015

Typ akce podle státní příslušnosti

WRD - Celosvětová akce

Kód UT WoS článku

000378613400003