Financial Market Spillovers in Transition Economies

Author/Editor:

Ratna Sahay ; R. G Gelos

Publication Date:

March 1, 2000

Electronic Access:

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Disclaimer: This Working Paper should not be reported as representing the views of the IMF.The views expressed in this Working Paper are those of the author(s) and do not necessarily represent those of the IMF or IMF policy. Working Papers describe research in progress by the author(s) and are published to elicit comments and to further debate

Summary:

This paper examines financial market comovements across European transition economies and compares their experience to that of their regions. Correlations in monthly indices of exchange market pressures can partly be explained by direct trade linkages, but not by measures of other fundamentals. Higher-frequency data during three crisis periods reveals the presence of structural breaks in the relationship between exchange-, but not stock markets. While the reaction of markets during the Asian and Czech crises is muted, the pattern of high-frequency spillovers during the Russian crisis looks very similar to that observed in other regions during turbulent times.

Series:

Working Paper No. 00/71

Subject:

English

Publication Date:

March 1, 2000

ISBN/ISSN:

9781451849233/1018-5941

Stock No:

WPIEA0712000

Format:

Paper

Pages:

58

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