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2016 | 129 | 5 | 908-912
Article title

Scaling of Dependence between Foreign Exchange Rates and Stock Markets in Central Europe

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EN
Abstracts
EN
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.
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EN
Year
Volume
129
Issue
5
Pages
908-912
Physical description
Dates
published
2016-05
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Document Type
Publication order reference
YADDA identifier
bwmeta1.element.bwnjournal-article-appv129n502kz
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