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Considerations On The Relationship Between Exchange Rates And Stock Markets In Eastern Europe In Time Of Crisis
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Book Synopsis Considerations on the Relationship Between Exchange Rates and Stock Markets in Eastern Europe in Time of Crisis by : Dan Lupu
Download or read book Considerations on the Relationship Between Exchange Rates and Stock Markets in Eastern Europe in Time of Crisis written by Dan Lupu and published by . This book was released on 2019 with total page 15 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper investigates the relationship between exchange rates and stock markets for 4 East-European countries, using a sample of 3,500 daily returns during the period 2000-2014. The research method used is Bayesian VAR for the solution of degrees of freedom specific to the VAR technique and the increased forecast probability of economic variables. For the foreign exchange markets we found interdependence relationships between the exchange rates and the short-term capital markets, these relationships manifesting more strongly and in the long run during the economic crisis periods.
Book Synopsis Stock Market Crises and Portfolio Diversification in Central and Eastern Europe by : Plamen Patev
Download or read book Stock Market Crises and Portfolio Diversification in Central and Eastern Europe written by Plamen Patev and published by . This book was released on 2003 with total page 30 pages. Available in PDF, EPUB and Kindle. Book excerpt: We investigate the Central and Eastern European equity market co-movements before, during and after major emerging market crises. Our study is based on the concept of co-integration. We examine the impact caused by the crisis on the gains of international portfolio diversification in Central and Eastern Europe. The results of the co-integration tests indicate that there is no long-run relationship between the US and the four Central European stock markets. We find a feedback effect and causality in one direction during and after the crisis period. Portfolio benefits decrease in the crisis period but they increase in the post-crisis period.
Book Synopsis Linear and Non-Linear Dynamics between Exchange Rates and Stock Markets Returns by : Francisco J. Climent
Download or read book Linear and Non-Linear Dynamics between Exchange Rates and Stock Markets Returns written by Francisco J. Climent and published by . This book was released on 2004 with total page 35 pages. Available in PDF, EPUB and Kindle. Book excerpt: The recent crises of the nineties have made it clear that the links between exchange rates and stock market prices are relevant factors in the transmission of the crises. Using daily exchange rates and stock index prices of the last decade (1990-1999) the interactions between the stock market and exchange rates returns of twenty-three countries of two different geographical areas (Asia and Europe) are analysed. Our results suggest that: (i) short term relationships seem to be more relevant than long term ones, (ii) it is more relevant the presence of linear and nonlinear causality in the Asian countries, and (iii) the periods of crisis affect asymmetrically the relationship between exchange rates and stock market prices.
Book Synopsis Capital Flows in Central and Eastern Europe by : Ms.Ratna Sahay
Download or read book Capital Flows in Central and Eastern Europe written by Ms.Ratna Sahay and published by International Monetary Fund. This book was released on 1995-06-01 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines the nature and composition of capital flows in selected countries in Central and Eastern Europe during 1987–93. The data show that there was a remarkable turnaround in the capital account in 1992–93. This improvement was accompanied by widening current account deficits, an increase in real consumption, and real exchange rate appreciation. In light of these developments, the paper discusses the main macroeconomic concerns raised by capital inflows and lays out the principal policy options relevant for the transition economies.
Book Synopsis The Emerging Market Crisis and Stock Market Linkages by : Cheng Hsiao
Download or read book The Emerging Market Crisis and Stock Market Linkages written by Cheng Hsiao and published by . This book was released on 2006 with total page 35 pages. Available in PDF, EPUB and Kindle. Book excerpt: This study examines the long-run price relationship and the dynamic price transmission among the U.S., Germany, and four major Eastern European emerging stock markets, with particular attention to the impact of the 1998 Russian financial crisis. The results show that both the long-run price relationship and the dynamic price transmission were strengthened among these markets after the crisis. The influence of Germany became noticeable on all the Eastern European markets only after the crisis but not before the crisis. We also conduct a rolling generalized VAR analysis to confirm the robustness of the main findings.
Book Synopsis International Stock Market Integration by : Roman Horvath
Download or read book International Stock Market Integration written by Roman Horvath and published by . This book was released on 2015 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: We examine the international stock market comovements between Western Europe vis-à-vis Central (Czech Republic, Hungary and Poland) and South Eastern Europe (Croatia, Macedonia and Serbia) using multivariate GARCH models in the period 2006-2011. Comparing these two groups, we find that the degree of comovements is much higher for Central Europe. The correlation of South Eastern European stock markets with developed markets is essentially zero. An exemption to this regularity is Croatia, with its stock market displaying a greater degree of integration toward Western Europe recently, but still below the levels typical for Central Europe. All stock markets fall strongly at the beginning of the global financial crisis and we do not find that the crisis altered the degree of stock market integration between these groups of countries.
Book Synopsis Impact of the Russian Financial Crisis on Stock Exchanges in Central and Eastern Europe by : Thomas Linne
Download or read book Impact of the Russian Financial Crisis on Stock Exchanges in Central and Eastern Europe written by Thomas Linne and published by . This book was released on 2003 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: A German economist analyses the structure of capital flows to Central and Eastern European countries following the Russian financial crisis in August 1998. Special attention is devoted to the behavior of equity flows and their impact on the stock exchanges in the region and on enterprises' ability to raise capital. In addition, the paper provides an assessment of the effects of the establishment of pension funds on the development of the stock exchanges and evaluates the prospects for several newly established trading places for stocks of companies from Central and Eastern Europe.
Book Synopsis Volatility and Correlations for Stock Markets in the Emerging Economies of Central and Eastern Europe by : David E. Allen
Download or read book Volatility and Correlations for Stock Markets in the Emerging Economies of Central and Eastern Europe written by David E. Allen and published by . This book was released on 2010 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines the European investment implications of the recent European Union (EU) expansion to encompass former Eastern bloc economies. What are the risk and return characteristics of these markets pre- and post-EU? What are the implications for investors within the Euro zone? Should investors diversify outside the Central and Eastern Europe (CEE)? The former Eastern bloc economies constitute emerging markets which typically offer attractive risk-adjusted returns for international investors. In this paper, we explore a number of aspects of this important issue and their implications for CEE based investors, culminating in a Markowitz efficient frontier analysis of these markets pre- and post-EU expansion.
Author :Banco de Pagos Internacionales (Basilea, Suiza). Departamento Monetario y Económico Publisher : ISBN 13 :9789291319626 Total Pages :0 pages Book Rating :4.3/5 (196 download)
Book Synopsis Market Volatility and Foreign Exchange Intervention in EMEs by : Banco de Pagos Internacionales (Basilea, Suiza). Departamento Monetario y Económico
Download or read book Market Volatility and Foreign Exchange Intervention in EMEs written by Banco de Pagos Internacionales (Basilea, Suiza). Departamento Monetario y Económico and published by . This book was released on 2013 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis The Small Stock Exchanges in South-East Europe Counties by : Dimche Lazarevski
Download or read book The Small Stock Exchanges in South-East Europe Counties written by Dimche Lazarevski and published by . This book was released on 2013 with total page 28 pages. Available in PDF, EPUB and Kindle. Book excerpt: The aim of this paper is to identify the effects of the regional and global stock exchange mergers and integrations, and to recommend options that South-East Europe stock exchanges should consider in future. The global financial crisis brought great declines in 2008, and they stayed at their bottom until today, putting their future existence under question. The paper will focus on the impact that these mergers/integrations have on market's liquidity, and the required rate of return.We made comparative analysis among the selected SEE and worldwide-developed stock exchanges in terms of some market indicators. To calculate the Stock Exchanges' required rate of return we develop modified Capital Asset Pricing Model suitable for t market economies. Then, we determined the breadth, depth and liquidity of Macedonian Stock Exchange using a number of different liquidity measures. Based on the results from these analyses, we recommend several options for SEE stock exchanges: developing on their own for which aggressive policy measures for developing internal financial markets must be devised; building links with substantially larger and developed markets to establish virtual trading venues, borrowing advanced platforms and visibility; to start regional integration process (mergers/acquisitions).
Book Synopsis Financial Crises Explanations, Types, and Implications by : Mr.Stijn Claessens
Download or read book Financial Crises Explanations, Types, and Implications written by Mr.Stijn Claessens and published by International Monetary Fund. This book was released on 2013-01-30 with total page 66 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper reviews the literature on financial crises focusing on three specific aspects. First, what are the main factors explaining financial crises? Since many theories on the sources of financial crises highlight the importance of sharp fluctuations in asset and credit markets, the paper briefly reviews theoretical and empirical studies on developments in these markets around financial crises. Second, what are the major types of financial crises? The paper focuses on the main theoretical and empirical explanations of four types of financial crises—currency crises, sudden stops, debt crises, and banking crises—and presents a survey of the literature that attempts to identify these episodes. Third, what are the real and financial sector implications of crises? The paper briefly reviews the short- and medium-run implications of crises for the real economy and financial sector. It concludes with a summary of the main lessons from the literature and future research directions.
Book Synopsis Financial Crisis in Central and Eastern Europe by : Grzegorz Gorzelak
Download or read book Financial Crisis in Central and Eastern Europe written by Grzegorz Gorzelak and published by . This book was released on 2010-01-01 with total page 292 pages. Available in PDF, EPUB and Kindle. Book excerpt: "The financial crisis of 2008-2009 has become the most serious challenge for Central and Eastern European countries, after they had completed the process of post-socialist transformation and became EU Members. The negative impacts of the recession on their important international partners multiplied their own tensions and imbalances which, in some cases, have led to a dramatic decline of the GDP, as well as serious cuts in public spending and personal incomes. The situation within the this group of countries is far from uniform. On the one hand, there is the example of Poland: the only country in Europe that has not gone through a recession. Then, on the other hand, there are the Baltic Republics that have lost 1/5 of their output. Also, the anti-crisis policies implemented in particular countries were strongly differentiated. Keeping in mind all these differences, one may say that these new Member States, on the whole, have confronted the challenges of the crisis bravely and effectively, due to the great adaptability and flexibility of both their political elites and societies. Thus, they may become an example for other EU Member States, which are currently struggling with economic difficulties and strong social protests against necessary but harsh economic measures. This book contains papers presented at a World Bank-sponsored seminar that was held in Warsaw in September 2009, when the crisis was still in full swing. The authors reflect on the general dimensions of the crisis and also report on the particular situations in Central and Eastern European countries, and in the group as a whole."--Publisher's description.
Book Synopsis Sovereign Rating News and Financial Markets Spillovers by : Bertrand Candelon
Download or read book Sovereign Rating News and Financial Markets Spillovers written by Bertrand Candelon and published by International Monetary Fund. This book was released on 2011-03-01 with total page 30 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines the spillover effects of sovereign rating news on European financial markets during the period 2007-2010. Our main finding is that sovereign rating downgrades have statistically and economically significant spillover effects both across countries and financial markets. The sign and magnitude of the spillover effects depend both on the type of announcements, the source country experiencing the downgrade and the rating agency from which the announcements originates. However, we also find evidence that downgrades to near speculative grade ratings for relatively large economies such as Greece have a systematic spillover effects across Euro zone countries. Rating-based triggers used in banking regulation, CDS contracts, and investment mandates may help explain these results.
Book Synopsis Money, Banking & Credit in the Soviet Union & Eastern Europe by : Adam Zwass
Download or read book Money, Banking & Credit in the Soviet Union & Eastern Europe written by Adam Zwass and published by White Plains, N.Y. : M. E. Sharpe. This book was released on 1979 with total page 256 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Long and Short-run Linkages in CEE Stock Markets by : Manolis N. Syllignakis
Download or read book Long and Short-run Linkages in CEE Stock Markets written by Manolis N. Syllignakis and published by . This book was released on 2006 with total page 33 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Emerging Capital Markets and Globalization by : Augusto de la Torre
Download or read book Emerging Capital Markets and Globalization written by Augusto de la Torre and published by World Bank Publications. This book was released on 2006-10-20 with total page 232 pages. Available in PDF, EPUB and Kindle. Book excerpt: Back in the early 1990s, economists and policy makers had high expectations about the prospects for domestic capital market development in emerging economies, particularly in Latin America. Unfortunately, they are now faced with disheartening results. Stock and bond markets remain illiquid and segmented. Debt is concentrated at the short end of the maturity spectrum and denominated in foreign currency, exposing countries to maturity and currency risk. Capital markets in Latin America look particularly underdeveloped when considering the many efforts undertaken to improve the macroeconomic environment and to reform the institutions believed to foster capital market development. The disappointing performance has made conventional policy recommendations questionable, at best. 'Emerging Capital Markets and Globalization' analyzes where we stand and where we are heading on capital market development. First, it takes stock of the state and evolution of Latin American capital markets and related reforms over time and relative to other countries. Second, it analyzes the factors related to the development of capital markets, with particular interest on measuring the impact of reforms. And third, in light of this analysis, it discusses the prospects for capital market development in Latin America and emerging economies and the implications for the reform agenda.
Book Synopsis Financial Crisis in Eastern Europe by : Jens Jungmann
Download or read book Financial Crisis in Eastern Europe written by Jens Jungmann and published by Springer Science & Business Media. This book was released on 2011-01-19 with total page 629 pages. Available in PDF, EPUB and Kindle. Book excerpt: During the past few years all the regions of Europe have suffered from the effects of the World Financial Crisis. Most notably in Eastern Europe, countries have adopted different approaches to combat the crisis and the impact has been varying – politically, economically and socially. This book gives an overview of chosen countries and their situation before and during the crisis, providing a detailed view of the different regions during this difficult period. It also looks at their current status and the individual ways in which they have attempted to stimulate recovery.
