Analiza podobieństwa państw Unii Europejskiej w zakresie stabilności systemu finansowego, ścieżek zmian cen i wzrostu gospodarczego przy wykorzystaniu metody Dynamic Time Warping

Michał Bernardelli; Mariusz Próchniak

doi:10.18778/2082-4440.42.01

Authors

Michał Bernardelli Szkoła Główna Handlowa w Warszawie, Instytut Ekonometrii, Zakład Metod Probabilistycznych https://orcid.org/0000-0002-5504-257X
Mariusz Próchniak Szkoła Główna Handlowa w Warszawie, Kolegium Gospodarki Światowej, Katedra Ekonomii II https://orcid.org/0000-0003-2642-9510

DOI:

https://doi.org/10.18778/2082-4440.42.01

Keywords:

financial system, financial system stability, economic growth, Dynamic Time Warping, European Union

Abstract

The article attempts to answer how similar the European Union (EU) countries are regarding the financial system’s behavior, especially its stability. We verify whether changes in the stability of the financial sector are analogous to changes in inflation rates as well as real output and income dynamics. Based on similarities in the financial sector stability and the real economy, we group EU countries into clusters. An element of novelty is the use of the Dynamic Time Warping (DTW) method. It is an innovative method for time series analysis, which has been relatively rarely applied to macroeconomic variables in the economic literature. The analysis covers 27 EU countries and the 2010–2023 period. We use five variables: non-performing loans, banks’ capital adequacy ratio, inflation rate, GDP growth and industrial production index. The results show that countries with the same model of capitalism (Continental, Nordic, Mediterranean, Liberal, and Patchwork) are relatively often highly similar to each other. This means that the institutional environment in a given country, including the model of capitalism, explains to some extent the similarity of time paths of financial and macroeconomic variables in many EU countries.

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