Advanced Search
MyIDEAS: Login to save this article or follow this journal

The impact of the crisis on the monetary autonomy of Central and Eastern European countries

Contents:

Author Info

  • Gábor Dávid Kiss

    ()
    (University of Szeged, Hungary)

  • Andreász Kosztopulosz

    (University of Szeged, Hungary)

Abstract

Where a country allows the free movement of capital and follows a free floating exchange rate policy, the monetary trilemma would suggest the existence of monetary autonomy, which is prejudiced when external shocks cause a significant decrease (divergence) or increase (contagion) in market co-movements. This study aims to analyse the extent to which daily changes in bond market returns and exchange rates of the Euro area, and the monetary policy measures of the European Central Bank (ECB) influenced the daily changes in the bond market returns and currencies of the Czech Republic, Hungary and Poland between 2002 and 2011. After rejecting the efficient market hypothesis for the capital and money markets under review, a dynamic conditional correlation is fitted to individual market pairs. Whether the differences between these are significant is analysed against extreme and normal daily movements in Euro area indicators. A movement is considered extreme where the empirical movement is an outlier for the theoretical normal distribution applicable to it. Although the objective function of monetary policy in Central and Eastern European countries is mostly aligned with that of the ECB, owing to differences in their fundamentals, collective actions taken on extreme days caused risk premiums to increase. Consequently, Central and Eastern European markets were much harder hit by adverse changes in the Euro area, while the impact of the ECB’s measures to enhance liquidity was not necessarily felt. It is doubtful, however, that the introduction of the Euro would eliminate such unfavourable phenomena.

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://www.asz.hu/public-finance-quarterly-articles/2012/the-impact-of-the-crisis-on-the-monetary-autonomy-of-central-and-eastern-european-countries/a-28-52-kiss-kosztopulosz.pdf
Download Restriction: no

Bibliographic Info

Article provided by State Audit Office of Hungary in its journal Public Finance Quarterly.

Volume (Year): 57 (2012)
Issue (Month): 1 ()
Pages: 28-52

as in new window
Handle: RePEc:pfq:journl:v:57:y:2012:i:1:p:28-52

Contact details of provider:
Web page: http://www.asz.hu

Related research

Keywords: contagion; divergence; yield curve; Central and Eastern Europe; monetary policy autonomy;

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. Heathcote, Jonathan & Perri, Fabrizio, 2004. "Financial globalization and real regionalization," Journal of Economic Theory, Elsevier, vol. 119(1), pages 207-243, November.
  2. Eisenschmidt, Jens & Holthausen, Cornelia, 2010. "The minimum liquidity deficit and the maturity structure of central banks' open market operations: lessons from the financial crisis," Working Paper Series 1282, European Central Bank.
  3. Daniel Stavárek, 2009. "Assessment of the exchange rate convergence in Euro-candidate countries," The AMFITEATRU ECONOMIC journal, Academy of Economic Studies - Bucharest, Romania, vol. 11(25), pages 159-180, February.
  4. Bonanno, Giovanni & Lillo, Fabrizio & Mantegna, Rosario N., 2001. "Levels of complexity in financial markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 299(1), pages 16-27.
  5. Kuper, Gerard H. & Lestano, 2006. "Dynamic conditional correlation analysis of financial market interdependence: An application to Thailand and Indonesia," CCSO Working Papers 200602, University of Groningen, CCSO Centre for Economic Research.
  6. Király, Júlia & Nagy, Márton & Szabó E., Viktor, 2008. "Egy különleges eseménysorozat elemzése - a másodrendű jelzáloghitel-piaci válság és (hazai) következményei
    [Analysis of a special sequence of events - the crisis on the secondary mortga
    ," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(7), pages 573-621.
  7. Pavel Cizek & Wolfgang Karl Härdle & Rafal Weron, 2005. "Statistical Tools for Finance and Insurance," HSC Books, Hugo Steinhaus Center, Wroclaw University of Technology, number hsbook0501.
  8. Markwat, Thijs & Kole, Erik & van Dijk, Dick, 2009. "Contagion as a domino effect in global stock markets," Journal of Banking & Finance, Elsevier, vol. 33(11), pages 1996-2012, November.
  9. Oxana Babetskaia-Kukharchuk & Ian Babetskii & Jiri Podpiera, 2008. "Convergence in exchange rates: market's view on CE-4 joining EMU," Applied Economics Letters, Taylor & Francis Journals, vol. 15(5), pages 385-390.
  10. repec:nsr:niesrd:354 is not listed on IDEAS
  11. Marsili, Matteo & Raffaelli, Giacomo, 2006. "Risk bubbles and market instability," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 370(1), pages 18-22.
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:pfq:journl:v:57:y:2012:i:1:p:28-52. 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: (Pál Péter Kolozsi).

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.