Advanced Search
MyIDEAS: Login

How integrated are the exchange markets of the Baltic Sea Region? An examination of market pressure and its contagion

Contents:

Author Info

  • Scott W. Hegerty

    ()
    (Department of Economics, Northeastern Illinois University)

Abstract

In the two decades since independence, the Baltic nations’ re-integration with Western Europe has resulted in close linkages to the Euro. While only Estonia has as of yet joined the common currency, Latvia and Lithuania maintain currency pegs in preparation for membership. But although the Eurozone’s pull is unmistakable, it is possible that the Nordic countries on the Baltic Sea—with which the Baltics have enjoyed economic ties for centuries—might also have an important influence on the region’s exchange markets. In particular, currency crises might more easily spread through the Baltic Sea region than to and from the Eurozone. This study investigates this relationship by generating indices of Exchange Market Pressure (EMP) for the three Baltic countries, Denmark, Sweden, and the Eurozone, before testing for contagion using Vector Autoregressive (VAR) methods. Granger causality tests and impulse-response functions show that pressure on the Scandinavian currency markets, as well as stock price declines, lead to increased Baltic EMP more than do events in the Eurozone.

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: http://biceps.org/assets/docs/bje/BJE2012-2Hegerty
Download Restriction: no

Bibliographic Info

Article provided by Baltic International Centre for Economic Policy Studies in its journal Baltic Journal of Economics.

Volume (Year): 12 (2012)
Issue (Month): 2 (December)
Pages: 109-122

as in new window
Handle: RePEc:bic:journl:v:12:y:2012:i:2:p:109-122

Contact details of provider:
Postal: Strelnieku iela 4a, Riga, LV-1010
Phone: +371 7039320
Fax: +371 7039318
Email:
Web page: http://www.biceps.org
More information through EDIRC

Related research

Keywords: exchange market pressure; contagion; vector autoregression; Baltics; Scandinavia;

Find related papers by JEL classification:

References

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
as in new window
  1. PENTECOST, Eric J. & VAN HOOYDONK, Charlotte & VAN POECK, André, 1997. "Measuring and estimating exchange market pressure in the EU," SESO Working Papers 1997009, University of Antwerp, Faculty of Applied Economics.
  2. Boschi, Melisso, 2004. "International Financial Contagion: Evidence from the Argentine Crisis of 2001-2002," MPRA Paper 28546, University Library of Munich, Germany.
  3. Barry Eichengreen & Andrew K. Rose & Charles Wyplosz, 1996. "Contagious Currency Crises," NBER Working Papers 5681, National Bureau of Economic Research, Inc.
  4. Simone Bertoli & Giampiero Gallo & Giorgio Ricchiuti, 2006. "Exchange Market Pressure: Some Caveats In Empirical Applications," Econometrics Working Papers Archive wp2006_17, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
  5. Pesaran, M. H. & Shin, Y., 1997. "Generalised Impulse Response Analysis in Linear Multivariate Models," Cambridge Working Papers in Economics 9710, Faculty of Economics, University of Cambridge.
  6. Hegerty, Scott W., 2009. "Capital inflows, exchange market pressure, and credit growth in four transition economies with fixed exchange rates," Economic Systems, Elsevier, vol. 33(2), pages 155-167, June.
  7. Heather D Gibson & Euclid Tsakalotos, 2003. "Capital Flows and Speculative Attacks in Prospective EU Member States," Working Papers 06, Bank of Greece.
  8. Scott Hegerty, 2011. "Is exchange-market pressure contagious among transition economies?," Applied Financial Economics, Taylor & Francis Journals, vol. 21(10), pages 707-716.
  9. מחקר - ביטוח לאומי, 1900. "שלמי תודה לשופטים בשנת 2008," Working Papers 984, National Insurance Institute of Israel.
  10. Girton, Lance & Roper, Don, 1977. "A Monetary Model of Exchange Market Pressure Applied to the Postwar Canadian Experience," American Economic Review, American Economic Association, vol. 67(4), pages 537-48, September.
  11. André Van Poeck & Jacques Vanneste & Maret Veiner, 2007. "Exchange Rate Regimes and Exchange Market Pressure in the New EU Member States," Journal of Common Market Studies, Wiley Blackwell, vol. 45, pages 459-485, 06.
  12. Eichengreen, Barry & Rose, Andrew & Wyplosz, Charles, 1996. " Contagious Currency Crises: First Tests," Scandinavian Journal of Economics, Wiley Blackwell, vol. 98(4), pages 463-84, December.
  13. Dornbusch, Rudiger & Park, Yung Chul & Claessens, Stijn, 2000. "Contagion: Understanding How It Spreads," World Bank Research Observer, World Bank Group, vol. 15(2), pages 177-97, August.
Full references (including those not matched with items on IDEAS)

Citations

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:bic:journl:v:12:y:2012:i:2:p:109-122. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Lelde Ivankova).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.