In this paper, we investigated changes in the linkages between capital markets by applying the threshold vector autoregressive (TVAR) models to the stock returns of the US and of four East-South Asian markets. We employed the estimating and testing procedures proposed by Tsay (1998) and Hansen...

We estimated a structural vector autoregressive (SVAR) model describing the links between a banking sector and a real economy. We proposed a new method to verify robustness of impulse-response functions in a SVAR model. This method applies permutations of the variable ordering in a structural...

The aim of this paper is to estimate the costs of banking sector restructuring in Poland, borne by the government and the central bank in the years 1993-2006. The authors focused mainly on the assistance measures that directly contributed to generating costs. Aggregated costs of the banking...

This paper investigates contagion to European capital markets associated with seven big financial shocks between 1997 and 2002. We apply a technique using heteroscedasticity adjustedcorrelation coefficients to discriminate between contagion and interdependence. The analysis focuses on a...

This paper provides evidence on the short-run reactions of an emerging financial market to monetary policy announcements. We employ an instrumental variable estimation approach based on the quot;identification through heteroscedasticityquot; technique to estimate the impact of nominal and...

Using unique data about capital flows to private pension funds in Poland, we find that their impact, as a group of large institutional investors, on stock returns is statistically significant in short-term but no such effect exists in the long-run. We analyze the capital transfers, in form of...