Agata Kliber , Piotr Płuciennik

(English) PDF


The article presents an analysis of the impact of foreign currency dynamics on the fundamentals (basic indices of the economic performance) of the Czech Republic, Hungary and Poland during the financial crisis of 2007/2008 and its aftermath until 2017. The subject of the analysis are three currencies: the US dollar, the euro and the Swiss franc. The assessment of their impact on the fundamentals of the three above-mentioned economies is based on the joint volatilities of bond spreads and currencies. A series of copula-GARCH models was estimated. The research demonstrates that the impact of foreign currencies was the strongest in the case of Poland and Hungary, as these two countries were more dependent on loans in foreign currencies than the Czech Republic. Another finding shows that the impact decreased significantly in Hungary after its government introduced loan conversion.


bond spread, copula-GARCH model, debt crisis, Central Europe


C32, C51, G01, G15


Agabekian, G. (2013, August 14). Foreign Exchange Loan Challenges in Hungary.

Baldacci, E., & Kumar, M. S. (2010). Fiscal Deficits, Public Debt, and Sovereign Bond Yields (IMF Working Paper No. 10/184).

Bank Gospodarstwa Krajowego. (2013). Report on Activities of Bank Gospodarstwa Krajowego in 2012. Warszawa.

Blox. (n.d.). Admiral Markets. Retrieved December 6, 2018, from

Bollerslev, T. (1986). Generalized Autoregressive Conditional Heteroskedasticity. Journal of Econometrics, 31(3), 307–327.

Brown, M., Peter, M., & Wehrmüeller, S. (2009). Swiss Franc Lending in Europe. Aussenwitschaft, 64(2), 167–181. %20Europe.pdf.

Cifter, A., & Ozun, A. (2007). The Monetary Transmission Mechanism in the New Economy: Evidence from Turkey (1997–2006). South East European Journal of Economics and Business, 2(1), 15–24.

Claeys, P., & Vašiček, B. (2014). Measuring Bilateral Spillover and Testing Contagion on Sovereign Bond Markets in Europe. Journal of Banking and Finance, 46, 151–165. /10.1016/j.jbankfin.2014.05.011.

Doman, M. (2009). Interdependencies in the European Currency Market. In M. Matłoka (Eds.), Quantitive Methods in Economics (pp. 34–53). Poznań: Poznan University of Economics Press.

Doman, M., & Doman, R. (2013). The Dynamics and Strength of Linkages between the Stock Markets in the Czech Republic, Hungary and Poland after their EU Accession. Dynamic Econometric Models, 13, 5–31.

Doman, R. (2009). Modeling Conditional Dependence in the Polish Stock Market Using Copulas. In E. Panek (Ed.), Mathematics in Economics (pp. 68–81). Poznań: Wydawnictwo Uniwersytetu Ekonomicznego.

Doman, R. (2010). Modelling the Dependencies Between the Returns on the Warsaw Stock Indices Using Time Varying Copulas. In W. Milo, P. Wdowiński & P. Szafrański (Eds.), Financial Markets, Principles of Modelling, Forecasting, and Decision-Making (edition 8th) (pp. 83–97). Łódź: University Press.

Engel, C., & West, K. D. (2005). Exchange Rates and Fundamentals. Journal of Political Economy, 113(3), 485–517.

Engle, R. F. (2002). Dynamic Conditional Correlation: A Simple Class of Multivariate Generalized Autoregressive Conditional Heteroskedasticity Models. Journal of Business & Economic Statistics, 20(3), 339–350.

Engle, R. F., & Bollerslev, T. (1986). Modeling the persistence of conditional variances. Econometric Review, 5(1), 1–50.

Engle, R. F., & Sheppard, K. (2001). Theoretical and Empirical properties of Dynamic Conditional Correlation Multivariate GARCH (UCSD Working Paper No. 2001–15). /~rengle/Dcc-Sheppard.pdf.

Gereben, Á., Karvalits, F., & Kocsis, Z. (2011). Monetary Policy Challenges during the Crisis in a Small Open Dollarised Economy: The Case of Hungary (BIS Papers No 57). /publ/bppdf/bispap57l.pdf.

Glosten, L. R., Jagannathan, R., & Runkle, D. E. (1993). On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks. Journal of Finance, 48(5), 1779–1801.

Hafner, C. M., & Manner, H. (2012). Dynamic Stochastic Copula Models: Estimation, Inference and Applications. Journal of Applied Econometrics, 27(2), 269–295. /jae.1197.

Harris, D., Leybourne, S. J., & McCabe, B. P. M. (2006, January 30). Modified KPSS Tests for Near Integration.

International Monetary Fund (2011–2014). Annual Report on Exchange Rate Arrangements and Exchange Rate Restrictions. Washington. -on-Exchange-Arrangements-and-Exchange-Restrictions/Issues/2020/08/10/Annual-Report-on -Exchange-Arrangements-and-Exchange-Restrictions-2019-47102.

Jaramillo, L., & Weber, A. (2013). Bond yields in emerging economies: It matters what state you are in. Emerging Markets Review, 17, 169–185.

Jondeau, E., & Rockinger, M. (2002). Conditional Dependency of Financial Series: The Copula- GARCH Model (FAME Research Paper No. 69).

Jondeau, E., & Rockinger, M. (2006). The Copula-GARCH Model of Conditional Dependencies: An International Stock Market Application. Journal of International Money and Finance, 25(5), 827–853.

Kliber, A. (2009). Has the 2008/2009 Crisis Affected the Interdependencies between Hungarian Forint and Polish Zloty?. In P. Milobędzki & M. Szreder (Eds.), Modelowanie i prognozowanie gospodarki narodowej (pp. 389–406). Sopot: Fundacja Rozwoju Uniwersytetu Gdańskiego.

Kliber, A., & Kliber, P. (2010). Zależności pomiędzy kursami walut środkowoeuropejskich w okresie kryzysu 2008. Przegląd Statystyczny. Statistical Review, 57(1), 3–16.

Kliber, A., & Płuciennik, P. (2015). Vulnerability of the Czech and Slovak Economies to the Transmission of Crises – the Case of the Hungarian and Greek Turmoil. 15th Annual Conference on Finance and Banking, Czech National Bank Congress Centre, Prague.

Kliber, A., & Płuciennik, P. (2017). Euro or not? Vulnerability of Czech and Slovak economies to regional and international turmoil. Economic Modelling, 60, 313–323. /j.econmod.2016.09.019.

Kocsis, Z. (2014). Global, regional, and country-specific components of financial markets indicators. Acta Oeconomica, 64(S1), 81–110.

Komárková, Z., Lešanovská, J., & Komárek, L. (2013). Analysis of Sovereign Risk Market Indicators: The Case of the Czech Republic. Czech Journal of Economics and Finance, 63(1), 1–24.

Kwiatkowski, D., Philips, P. C. B., Schmidt, P., & Shin, Y. (1992). Testing the Null Hypothesis of Stationarity against the Alternative of a Unit Root: How sure are we that economic time series have a unit root?. Journal of Econometrics, 54(1–3), 159–178. -4076(92)90104-Y.

Lambert, S. (n.d.). Orbán Government Measures to Reduce Household Foreign-Currency Debt. Retrieved August 4, 2018, from -reduce-household-foreign-currency-loan-debt/.

Lindskog, F. (2000, August 2). Linear Correlation Estimation. /ftp/papers/LinearCorrelationEstimation.pdf.

Matei, I., & Cheptea, A. (2012). Sovereign Bond Spread Drivers in the EU Market in the Aftermath of the Global Financial Crisis. In B. H. Baltago, R. C. Hill, W. K. Newey & H. L. White (Eds.), Essays in Honor of Jerry Hausman (vol. 29), (327–352). Bingley: Emerald Group Publishing Limited.

Narodowy Bank Polski. (2011–2014). Financial Stability Report. /homen.aspx?f=/en/systemfinansowy/stabilnosc.html.

Orlowski, L. T. (2016). Co-movements of non-Euro EU Currencies with the Euro. International Review of Economics and Finance, 45, 376–383.

Patton, A. J. (2002). Applications of Copula Theory in Financial Econometrics [Unpublished doctoral dissertation]. University of California.

Patton, A. J. (2006). Modelling asymmetric exchange rate dependence. International Economic Review, 47(2), 527–556.

Rebitzky, R. R. (2010). The Influence of Fundamentals on Exchange Rates: Findings from Analyses of News Effects. Journal of Economic Surveys, 24(4), 680–704. -6419.2009.00603.x.

Schmidt, R. (2002). Tail dependence for elliptically contoured distributions. Mathematical Methods of Operations Research, 55(2), 301–327.

Tse, Y. K. (2000). A test for constant correlations in a multivariate GARCH model. Journal of Econometrics, 98(1), 107–127.

Tse, Y., & Tsui, A. (2002). A Multivariate GARCH Model with Time-Varying Correlations. Journal of Business and Economic Statistics, 20(3), 351–362.

Valentinyi, A. (2012, March 19). The Hungarian Crisis.

Williamson, J. (2009). Exchange Rate Economics. Open Economies Review, 20(1), 123–146.

Back to top
Copyright © 2019 Statistics Poland