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Contagion and interdependence: Measuring CEE banking sector co-movements

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Jokipii, Terhi
Lucey, Brian

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File URL: http://www.sciencedirect.com/science/article/B6W8Y-4KV2RJM-1/2/33c8cc27a36e2b5eb3fa49b921603a3f
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Article provided by Elsevier in its journal Economic Systems.

Volume (Year): 31 (2007)
Issue (Month): 1 (March)
Pages: 71-96
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Handle: RePEc:eee:ecosys:v:31:y:2007:i:1:p:71-96

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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.:
  1. Niinimäki, Juha-Pekka & Takalo, Tuomas & Kultti, Klaus, 2006. "The role of comparing in financial markets with hidden information," Research Discussion Papers 1/2006, Bank of Finland. [Downloadable!]
  2. Barry Eichengreen & Andrew K. Rose & Charles Wyplosz, 1996. "Contagious Currency Crises," NBER Working Papers 5681, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  3. Ilan Goldfajn & Taimur Baig, 1999. "Financial market contagion in the Asian crisis," Textos para discussão 400, Department of Economics PUC-Rio (Brazil). [Downloadable!]
  4. Glick, Reuven & Rose, Andrew K, 1998. "Contagion and Trade: Why are Currency Crises Regional," CEPR Discussion Papers 1947, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
    Other versions:
  5. Fernando Broner & R. Gaston Gelos & Carmen M. Reinhart, 2003. "When in Peril, Retrench: Testing the Portfolio Channel of Contagion," Economics Working Papers 864, Department of Economics and Business, Universitat Pompeu Fabra, revised May 2005. [Downloadable!]
    Other versions:
  6. Kilponen, Juha & Ripatti , Antti, 2006. "Labour and product market competition in a small open economy, Simulation results using a DGE model of the Finnish economy," Research Discussion Papers 5/2006, Bank of Finland. [Downloadable!]
  7. Mico Loretan & William B. English, 2000. "Evaluating "correlation breakdowns" during periods of market volatility," International Finance Discussion Papers 658, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
  8. Cheung, Yin-Wong & Fujii, Eiji, 2001. " A Note on the Power of Money-Output Causality Tests," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 63(2), pages 247-61, May. [Downloadable!] (restricted)
  9. King, Mervyn A & Wadhwani, Sushil, 1990. "Transmission of Volatility between Stock Markets," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 3(1), pages 5-33. [Downloadable!] (restricted)
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  10. R. Gaston Gelos & Ratna Sahay, 2001. "Financial market spillovers in transition economies," The Economics of Transition, The European Bank for Reconstruction and Development, vol. 9(1), pages 53-86, March. [Downloadable!] (restricted)
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  11. Franklin Allen & Douglas Gale, 1998. "Financial Contagion Journal of Political Economy," Center for Financial Institutions Working Papers 98-31, Wharton School Center for Financial Institutions, University of Pennsylvania. [Downloadable!]
  12. Roberto Rigobon, 1999. "On the Measurement of the International Propagation of Shocks," NBER Working Papers 7354, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  13. Kaminsky, Graciela L. & Schmukler, Sergio L., 1999. "What triggers market jitters?: A chronicle of the Asian crisis," Journal of International Money and Finance, Elsevier, vol. 18(4), pages 537-560, August. [Downloadable!] (restricted)
    Other versions:
  14. Paul R. Masson, 1998. "Contagion-Monsoonal Effects, Spillovers, and Jumps Between Multiple Equilibria," IMF Working Papers 98/142, International Monetary Fund.
  15. Kristin Forbes & Roberto Rigobon, 1999. "No Contagion, Only Interdependence: Measuring Stock Market Co-movements," NBER Working Papers 7267, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
  16. Xavier Freixas & Bruno Parigi & Jean Charles Rochet, 1998. "Systemic Risk, Interbank Relations and Liquidity Provision by the Central Bank," Economics Working Papers 440, Department of Economics and Business, Universitat Pompeu Fabra, revised Sep 1999. [Downloadable!]
    Other versions:
  17. Schardax, Franz & Reininger, Thomas & Summer, Martin, 2001. "The Financial System in the Czech Republic, Hungary and Poland after a Decade of Transition," Discussion Paper Series 1: Economic Studies 2001,16, Deutsche Bundesbank, Research Centre. [Downloadable!]
  18. Darvas, Zsolt & Szapary, Gyorgy, 2000. "Financial Contagion in Five Small Open Economies: Does the Exchange Rate Regime Really Matter?," International Finance, Blackwell Publishing, vol. 3(1), pages 25-51, April. [Downloadable!] (restricted)
  19. Corsetti, Giancarlo & Pesenti, Paolo & Roubini, Nouriel & Tille, Cedric, 2000. "Competitive devaluations: toward a welfare-based approach," Journal of International Economics, Elsevier, vol. 51(1), pages 217-241, June. [Downloadable!] (restricted)
  20. Diamond, Douglas W, 1984. "Financial Intermediation and Delegated Monitoring," Review of Economic Studies, Blackwell Publishing, vol. 51(3), pages 393-414, July. [Downloadable!] (restricted)
  21. Vanhala, Juuso, 2006. "Labour taxation and shock propagation in a New Keynesian model with search frictions," Research Discussion Papers 12/2006, Bank of Finland. [Downloadable!]
  22. Bask, Mikael, 2006. "Adaptive learning in an expectational difference equation with several lags: selecting among learnable REE," Research Discussion Papers 7/2006, Bank of Finland. [Downloadable!]
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  23. Barth, James R. & Caprio Jr, Gerard & Levine, Ross, 2001. "The regulation and supervision of banks around the world - a new database," Policy Research Working Paper Series 2588, The World Bank. [Downloadable!]
  24. Martin, V. & Dungey & M., 2004. "Empirical Modelling of Contagion: A Review of Methodologies," Econometric Society 2004 Far Eastern Meetings 574, Econometric Society. [Downloadable!]
    Other versions:
  25. Calvo, Sara & Reinhart, Carmen, 1996. "Capital flows to Latin America : Is there evidence of contagion effects?," Policy Research Working Paper Series 1619, The World Bank. [Downloadable!]
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  26. Hutchison, Michael M, 2002. " European Banking Distress and EMU: Institutional and Macroeconomic Risks," Scandinavian Journal of Economics, Blackwell Publishing, vol. 104(3), pages 365-89, September. [Downloadable!] (restricted)
    Other versions:
  27. Bask , Mikael & Fidrmuc , Jarko, 2006. "Fundamentals and technical trading: behaviour of exchange rates in the CEECs," Research Discussion Papers 10/2006, Bank of Finland. [Downloadable!]
    Other versions:
  28. Corsetti, Giancarlo & Pericoli, Marcello & Sbracia, Massimo, 2005. "'Some contagion, some interdependence': More pitfalls in tests of financial contagion," Journal of International Money and Finance, Elsevier, vol. 24(8), pages 1177-1199, December. [Downloadable!] (restricted)
    Other versions:
  29. Garry J. Schinasi & T. Todd Smith, 1999. "Portfolio Diversification, Leverage, and Financial Contagion," IMF Working Papers 99/136, International Monetary Fund.
  30. Geert Bekaert & Campbell R. Harvey, 2000. "Foreign Speculators and Emerging Equity Markets," Journal of Finance, American Finance Association, vol. 55(2), pages 565-613, 04. [Downloadable!] (restricted)
    Other versions:
  31. Gerlach, Stefan & Smets, Frank, 1995. "Contagious speculative attacks," European Journal of Political Economy, Elsevier, vol. 11(1), pages 45-63, March. [Downloadable!] (restricted)
    Other versions:
  32. Peter Blair Henry, 2000. "Stock Market Liberalization, Economic Reform, and Emerging Market Equity Prices," Journal of Finance, American Finance Association, vol. 55(2), pages 529-564, 04. [Downloadable!] (restricted)
  33. Caroline van Rijckeghem & Beatrice Weder, 2000. "Spillovers Through Banking Centers - A Panel Data Analysis," IMF Working Papers 00/88, International Monetary Fund.
Full references

Cited by:
(explanations, 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.)

  1. Jokipii, Terhi, 2006. "Forecasting market crashes: further international evidence," Research Discussion Papers 22/2006, Bank of Finland. [Downloadable!]
  2. Anandarajan , Asokan & Hasan , Iftekhar & McCarthy , Cornelia, 2006. "The use of loan loss provisions for capital management, earnings management and signalling by Australian banks," Research Discussion Papers 23/2006, Bank of Finland. [Downloadable!]
  3. Marsh , Ian W, 2006. "The effect of lenders’ credit risk transfer activities on borrowing firms’ equity returns," Research Discussion Papers 31/2006, Bank of Finland. [Downloadable!]
  4. Jokivuolle , Esa & Peura , Samu, 2006. "Rating targeting and the confidence levels implicit in bank capital," Research Discussion Papers 27/2006, Bank of Finland. [Downloadable!]
  5. Ravenna , Federico & Seppälä , Juha, 2006. "Monetary policy and rejections of the expectations hypothesis," Research Discussion Papers 25/2006, Bank of Finland. [Downloadable!]
  6. Aalto-Setälä , Ville & Schindler, Robert, 2006. "The importance of attractive prices in pricing dynamics," Research Discussion Papers 30/2006, Bank of Finland. [Downloadable!]
  7. Välimäki , Tuomas, 2006. "Why the marginal MRO rate exceeds the ECB policy rate?," Research Discussion Papers 20/2006, Bank of Finland. [Downloadable!]
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