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From Transition Crises to Macroeconomic Stability? Lessons from a Crises Early Warning System for Eastern European and CIS Countries

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  • Kristina Kittelmann

    ()
    (Sovereign Risk Unit, Moody's Deutschland, An der Welle 5, D-60322 Frankfurt/Main, Germany.)

  • Marcel Tirpak

    ()
    (Faculty of National Economy, Banking and International Finance Department, University of Economics, Bratislava, Slovakia.)

  • Rainer Schweickert

    ()
    (Kiel Institute for World Economics, Duesternbrooker Weg 120, D-24105 Kiel, Germany.)

  • L�cio Vinhas De Souza

    ()
    (Kiel Institute for World Economics and Head, Russia/Belarus Desk, DG-ECFIN, European Commission, Avenue de Beaulieu, 1, B-1160 Brussel, Belgium.)

Abstract

This paper uses a Markov regime-switching model to assess the vulnerability of a series of Central and Eastern European countries (ie Czech Republic, Hungary, Slovak Republic) and two CIS countries (ie, Russia and Ukraine) during the period 1993–2004. For the new EU member states in Central and Eastern Europe, the results of our model show that the majority of crises in those countries can be explained by inconsistencies in the domestic policy mix and by the deterioration of macroeconomic fundamentals, as emphasised by first-generation crises models, while for the CIS countries analysed, financial vulnerability type indicators were the most relevant, that is, indicators connected with the second- and third-generation of crisis model better explain the vulnerability of these countries. Additionally, the set of indicators chosen by our model is rather heterogeneous, supporting the superiority of a country-by-country approach. Comparative Economic Studies (2006) 48, 410–434. doi:10.1057/palgrave.ces.8100162

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Bibliographic Info

Article provided by Palgrave Macmillan in its journal Comparative Economic Studies.

Volume (Year): 48 (2006)
Issue (Month): 3 (September)
Pages: 410-434

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Handle: RePEc:pal:compes:v:48:y:2006:i:3:p:410-434

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Cited by:
  1. David G. Mayes & Vesa Korhonen, 2006. "The CIS: Does the Regional Hegemony Facilitate Monetary Integration?," Economie Internationale, CEPII research center, issue 107, pages 173-196.
  2. Makram El-Shagi & Tobias Knedlik & Gregor von Schweinitz, 2012. "Predicting Financial Crises: The (Statistical) Significance of the Signals Approach," IWH Discussion Papers 3, Halle Institute for Economic Research.
  3. Sorin BURNETE, 2009. "Emerging Economies Faced With The Downside Of Financial Globalization: Hedges And Way Outs," Review of Economic and Business Studies, Alexandru Ioan Cuza University, Faculty of Economics and Business Administration, issue 3, pages 41-55, May.
  4. Tobias Knedlik & Rolf Scheufele, 2007. "Three methods of forecasting currency crises: Which made the run in signaling the South African currency crisis of June 2006?," IWH Discussion Papers 17, Halle Institute for Economic Research.
  5. Cevik, Emrah Ismail & Dibooglu, Sel & Kutan, Ali M., 2013. "Measuring financial stress in transition economies," Journal of Financial Stability, Elsevier, vol. 9(4), pages 597-611.

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