Financial Market Spillovers in Transition Economies
March 1, 2000
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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.
Subject: Currency markets, Exchange rate arrangements, Exchange rates, Financial institutions, Financial markets, Foreign exchange, Stock markets, Stocks
Keywords: Asia and Pacific, contagion, cross-market linkage, Currency markets, exchange market, Exchange rate arrangements, Exchange rates, financial market, impulse response, market pressure, pressure index, pressures well, speculative attacks, Stock Markets, Stocks, transition economies, WP
Pages:
58
Volume:
2000
DOI:
Issue:
071
Series:
Working Paper No. 2000/071
Stock No:
WPIEA0712000
ISBN:
9781451849233
ISSN:
1018-5941
