Financial Market Spillovers in Transition Economies
IMF Working Papers, March 1, 2000
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- Financial Market Spillovers in Transition Economies
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Bibliographic details
- Authors: Ratna Sahay, R. G Gelos
- Published: March 1, 2000
- Series: IMF Working Papers
- DOI: https://doi.org/10.5089/9781451849233.001
Summary and main findings
- The 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.
- 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.
Scope and subject matter
- Subject areas: 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.
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