Showing 1 - 10 of 72
The use of the GARCH-class of models is commonplace when examining stock market returns. In this paper we use data on stock markets in two transition economies to demonstrate the importance of using the correct GARCH specification. When returns are characterised by ‘fat tails’ or kurtosis...
Persistent link: https://www.econbiz.de/10004980094
In this paper we demonstrate that the measurement of stock market efficiency is an important activity in establishing whether eastern European countries satisfy the Copenhagen Criteria for EU membership. Specifically, we argue that developing an efficient stock market should be an important...
Persistent link: https://www.econbiz.de/10005673995
In this paper we provide an insight into the inflation dynamics in a panel of Central and Eastern European countries. These countries are selected because of their increasing importance in the EU and their likely increased future importance in monetary policy decisions inside the euro area. By...
Persistent link: https://www.econbiz.de/10004980077
This paper analyses the empirical fulfilment of the Real Interest Rate Parity (RIRP) theory for a pool of Central and Eastern European Countries. To do so, we apply the recently developed Ng and Perron (2001) unit root tests, that are corrected versions of existing unit root tests and the...
Persistent link: https://www.econbiz.de/10004980101
The financial crisis of 2008 provides an interesting opportunity to investigate the effect of the crisis on the capital structure decisions of firms. Over the years, capital structure choice has attracted considerable attention in the literature and is important to firms, investors and policy...
Persistent link: https://www.econbiz.de/10010894103
The financial crisis of 2008 quickly spread from the USA to the world's major economies and might have impacted on the persistence of unemployment. This might happen because the crisis ushered in recession to every country affected and, in the aftermath, most countries have pursued austerity...
Persistent link: https://www.econbiz.de/10011039041
Currency substitution, the use of foreign money to finance transactions between domestic residents, is a common feature of emerging market economies. Currency substitution re-duces the stability of money demand functions in ways that can seriously undermine cen-tral bank credibility and its...
Persistent link: https://www.econbiz.de/10005648629
In this paper we provide an insight into the inflation dynamics in a panel of Central and Eastern European countries. Applying unit root tests and allowing for nonlinearities, we show that inflation rates in more than half of these countries are stationary.
Persistent link: https://www.econbiz.de/10008551345
This paper investigates stock market convergence of Central and Eastern European (CEE) countries to the rest of Europe. Three approaches are used to obtain time-varying estimates of the comovement between returns on CEE and EU stock exchanges: (1) realised correlation analysis; (2) rolling unit...
Persistent link: https://www.econbiz.de/10008529118
The paper uses cointegration techniques and a variety of different price-level and interest-rate proxies to investigate the presence of the Gibson paradox in UK data for the period 1821-1913. Qualified evidence is found in favour of the paradox.
Persistent link: https://www.econbiz.de/10009213395