Showing 1 - 10 of 11
The paper provides detailed empirical assessment of the role of non-residents in the development of Rus-sian financial crisis in 1997-1998. It is established that non-residents behaved differently during the pe-riod of crisis and significantly contributed to the collapse of the state bonds...
Persistent link: https://www.econbiz.de/10005207079
We suggest an additional transmission channel of contagion on the interbank market - the liquidity channel. Examining …
Persistent link: https://www.econbiz.de/10005419607
are factors explaining this contagion effect. But the main mistakes that led to the crisis were those of the Russians …
Persistent link: https://www.econbiz.de/10005648585
market at the time of the crisis, evidence of contagion is clear. …
Persistent link: https://www.econbiz.de/10005648589
The study examines the reasons for financial crises in 31 emerging market countries during 1980-2001. It estimates a probit model using 23 macroeconomic and financial sector variables. Traditional variables such as unemployment and inflation, as well as several indicators of indebtedness such as...
Persistent link: https://www.econbiz.de/10005419620
We study a pricing model for global and local sources of risk in six Eastern European emerging stock markets. Utilizing GMM estimation and an unconditional asset-pricing framework with and without time-varying betas, we perform estimations based on monthly data from 1996 to 2007 for Poland,...
Persistent link: https://www.econbiz.de/10005648562
We apply recently developed early warning indicators systems to a cross-section of emerging markets. We find that, with little or no modification, models designed to predict asset price booms/busts in advanced countries may be useful for emerging markets. The concept of monitoring a set of asset...
Persistent link: https://www.econbiz.de/10010575947
We empirically test the dependence of the Russian stock market on the world stock market and world oil prices in the period 1997:10–2012:02. We also consider three Eastern European stock markets (Poland, the Czech Republic, and Hungary), as well as two markets outside Europe (Turkey and South...
Persistent link: https://www.econbiz.de/10010818553
The Central European banking industry is dominated by foreign-owned banks. During the recent crisis, for the first time since the transition, foreign parent companies were frequently in a worse financial condition than their subsidiaries. This situation created a unique opportunity to study new...
Persistent link: https://www.econbiz.de/10010818577
In the spirit of Borio et al. (2014) we present a model that incorporates information contained in diverse variables when estimating sustainable output growth. For this purpose, we specify a state-space model representing a multivariate HP-filter that links cyclical fluctuation of GDP with...
Persistent link: https://www.econbiz.de/10010818580