Vulnerability of the Czech and Slovak Economies to the Transmission of Crises - the Case of the Hungarian and Greek Turmoil

Agata Kliber , Piotr Płuciennik


The 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).
Author Agata Kliber (WIiGE / KMS)
Agata Kliber,,
- Department of Applied Mathematics
, Piotr Płuciennik - Adam Mickiewicz University (UAM)
Piotr Płuciennik,,
Publication size in sheets0.55
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 Englishbond spread, copula-GARCH, debt crisis
Languageen angielski
Score (nominal)15
Score sourceconferenceIndex
ScoreMinisterial score = 15.0, 20-12-2019, BookChapterMatConfByIndicator
Ministerial score (2013-2016) = 15.0, 20-12-2019, BookChapterMatConfByIndicator
Publication indicators WoS Citations = 0
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