This article attempts to compare conclusions made about market contagion based on the periods indicated by using the Markov-switching model and based on a range for unconditional correlations as well as on arbitrary arrangements. DCC-model was used to control for correlation change over time. Determination of extremely high correlations by using a range for unconditional correlations and the MS(3) switching model yields similar results regarding conclusions about the occurrence of the process of contagion in a market. Conclusions about contagion are, however, made at a higher significance level in the case of the switching model.
A b s t r a c t. In the article dating method for the four phases of economic activity is presented. Comparison of probabilities of recession occurrence in Poland based on the Hamilton switching model and the logit model was conducted in the empirical research. The study shows the convergence of indications based both on the proposed dating method and on the Hamilton model. In the presented version the Hamilton model adequately describes the probability of occurrence of two decline phases. The logit model allows to obtain satisfactory results for the division on four phases of economic activity. However, in the domain of the Polish economy, more research is needed in recognising the symptomatic properties of various macroeconomic indicators. The interest rate spread, used successfully in advanced marked economies, continues to alter its characteristics under Polish economic conditions and is currently not the best possible indicator forecasting a recession.K e y w o r d s: switching model, logit model, dating of economic activity phases, probability of recession. J E L Classification: E32, E37.
scite is a Brooklyn-based organization that helps researchers better discover and understand research articles through Smart Citations–citations that display the context of the citation and describe whether the article provides supporting or contrasting evidence. scite is used by students and researchers from around the world and is funded in part by the National Science Foundation and the National Institute on Drug Abuse of the National Institutes of Health.