Analiza kointegracji indeksu kondycji działów przetwórstwa przemysłowego
Cointegration analysis of manufacturing sectors condition index

Summary/Abstract: The article presents the results of analysis of long-term connections between the economic and financial standing of different manufacturing sectors . At the beginning the methodology of condition index construction is introduced and applied to evaluate the manufacturing sectors position. Based on values of manufacturing sectors condition index the author performs an cointegration analysis of sectors economic and financial standing. A Vector Error Correction Model is constructed for better understanding of the nature of the manufacturing sectors cointegrated system. Finally the influence of condition disturbances in individual sectors on the situation of remaining trades is determined with the use of the impulse response function. The results confirm that manufacturing sectors form the multidirectional connection system.

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