Financial integration and currency risk premium in CEECs: evidence from the ICAPM
Collection:
Mokslo publikacijos / Scientific publications
Document Type:
Straipsnis / Article
Language:
Anglų kalba / English
Title:
Financial integration and currency risk premium in CEECs: evidence from the ICAPM
In the Journal:
Emerging markets review, 2011, 12, p. 460-484
Subject Category:
Summary / Abstract:
ENThis paper aims to study the Central and Eastern European Countries' (CEECs) dynamics of financial integration in the euro area with the prospect of their integration into the European Monetary Union. Our empirical analysis is based, successively, on a MGARCH model with time-varying correlations, a state-spacemodel and a Markov-switching model. The results show that financial integration (i) is not perfect but is increasing and (ii) is linked to currency stability. The growing financial integration in 2007–2009 seems to be rather the result of the shock propagated by the global crisis.
DOI:
10.1016/j.ememar.2011.08.001
ISSN:
1566-0141
Subject:
Related Publications:
Exchange rate regimes and shocks asymmetry: the case of the accession countries. Journal of comparative economics. 2004, Vol. 32, no. 2, p. 212-229.
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https://www.lituanistika.lt/content/89026
Updated:
2021-02-02 19:07:23
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