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Stock market integration between three CEECs, Russia and the UK
Caporale, Guglielmo Maria; Spagnolo, Nicola - 2010
This paper estimates a tri-variate VAR-GARCH(1,1)-in-mean model to examine linkages between the stock markets of three Central and Eastern European countries (CEECs), specifically the Czech Republic, Hungary, and Poland, and both the UK and Russia. The adopted framework allows to analyse...
Persistent link: https://www.econbiz.de/10003942221
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Stock Market Integration between Three CEECs, Russia and the UK
Caporale, Guglielmo Maria - 2013
This paper estimates a tri-variate VAR-GARCH(1,1)-in-mean model to examine linkages between the stock markets of three Central and Eastern European countries (CEECs), specifically the Czech Republic, Hungary, and Poland, and both the UK and Russia. The adopted framework allows to analyse...
Persistent link: https://www.econbiz.de/10013095004
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The Balassa-Samuelson Effect in Central Europe : A Disaggregated Analysis
Mihaljek, Dubravko; Klau, Marc - 2013
This paper aims to explain differences in inflation between six central European economies - Croatia, the Czech … productivity differentials explain on average only between 0.2 and 2.0 percentage points of annual inflation differentials vis …-a-vis the euro area. Productivity differentials also explain only a small proportion of domestic inflation in central European …
Persistent link: https://www.econbiz.de/10014058428
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Estimating the Impact of the Balassa-Samuelson Effect on Inflation and the Real Exchange Rate During the Transition 6/03 Too Old to Publish, Dana
Égert, Balázs - 2003
the extent to which the B-S effect may influence inflation and the real exchange rate and subsequently discuss policy …
Persistent link: https://www.econbiz.de/10014116516
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Investigating the Balassa-Samuelson Hypothesis in Transition : Do We Understand What We See?
Égert, Balázs - 2007
accession candidates to meet the Maastricht criterion on inflation in the medium term. Moreover, the observed appreciation of …
Persistent link: https://www.econbiz.de/10014224061
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Investigating the Balassa-Samuelson Hypothesis in the Transition : Do We Understand What We See? A Panel Study
Égert, Balázs - 2003
not hinder meeting the Maastricht criterion on inflation in the medium term. In addition, the observed appreciation of the …
Persistent link: https://www.econbiz.de/10014114192
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Investigating the Balassa-Samuelson Hypothesis in the Transition : Do We Understand What We See?
Égert, Balázs - 2003
accession candidates to meet the Maastricht criterion on inflation in the medium term. Moreover, the observed appreciation of …
Persistent link: https://www.econbiz.de/10014116513
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Relationship between Czech and European developed stock markets : DCC MV GARCH analysis
Princ, Michael - 2010
The study concentrates on an analysis of the Czech stock market performed by an application of DCC MV GARCH model of Engle (2002). Data sample including years from 1994 to 2009 is represented by daily returns of Prague Stock Exchange index and other 11 major stock indices. There is found an...
Persistent link: https://www.econbiz.de/10008655628
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Transfer of Financial Risk in Emerging Eastern European Stock Markets : A Sectoral Perspective
Fedorova, Elena - 2011
With the rise of interconnected global financial systems, there is an increased risk that a financial crisis in one country may spread to others. The contagion effects of the 2008 global financial crisis hit advanced economies fast and hard while sparing less developed and less integrated...
Persistent link: https://www.econbiz.de/10013119695
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Real and financial integration in Europe : evidence for the accession states and for the pre-ins
Buch, Claudia M. - 1999
Persistent link: https://www.econbiz.de/10013261029