Vulnerability of the Czech and Slovak Economies to the Transmission of Crises - the Case of the Hungarian and Greek Turmoil
Agata Kliber , Piotr Płuciennik
AbstractThe aim of this research is to verify vulnerability of the Czech and Slovak economies to transmission of financial crises based upon the behaviour of their sovereign bond spreads. The bond spreads are constructed through subtracting the yield of the least risky bond in the region (in our case: the German one) from the yield of sovereign bond of the same maturity. We investigate the impact of the Greek and Hungarian crises to the dynamics of the bond spreads of the countries. We analyse the period from January 2009 to the end of 2012. We construct four-dimensional copula-GARCH model. The dynamics of the crises are approximated through bond spreads of Greek and Hungarian bonds, approximately. We attribute the differences in the dynamics to differences in the economies, inter alia to the fact of retaining the own currency (the Czech Republic) or adopting euro (the Slovak Republic).
|Publication size in sheets||0.55|
|Book||Paleckova Iveta, Szarowska Irena (eds.): Proceedings of the 15th International Conference on Finance and Banking, 2016, Silesian University, ISBN 978-80-7510-186-0, 430 p.|
|Keywords in English||bond spread, copula-GARCH, debt crisis|
|Score|| = 15.0, 20-12-2019, BookChapterMatConfByIndicator|
= 15.0, 20-12-2019, BookChapterMatConfByIndicator
|Publication indicators||= 0|
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