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Financial Vulnerability in the Central and Eastern European Countries

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  • Irène Andreou

    (GATE - Groupe d'analyse et de théorie économique - CNRS : UMR5824 - Université Lumière - Lyon II - Ecole Normale Supérieure Lettres et Sciences Humaines)

  • Aleksandra Zdzienicka-Durand

    (GATE - Groupe d'analyse et de théorie économique - CNRS : UMR5824 - Université Lumière - Lyon II - Ecole Normale Supérieure Lettres et Sciences Humaines)

Abstract

In this work we use a panel probit model to analyze the sources of financial vulnerability in four Central and Eastern European countries. The incontestable advantages of applying this method, associated with some elements of the non-parametric approach applied during the initial selection of the used indicators, allow us to accomplish, rather well, this objective.Indeed, the model performs considerably well in the sample and the whole approach can provide useful and supportive instruments for the study of financial vulnerabilities in transition economies.

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Bibliographic Info

Paper provided by HAL in its series Post-Print with number halshs-00374148.

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Date of creation: 2009
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Handle: RePEc:hal:journl:halshs-00374148

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Keywords: Financial Vulnerability; Panel Probit Model; CEECs;

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References

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  1. Irene Andreou & Gilles Dufrénot & Alain Sand & Aleksandra Zdzienicka-Durand, 2007. "A forewarning indicator system for financial crises: the case of six Central and Eastern European countries," Working Papers, Groupe d'Analyse et de Théorie Economique (GATE), Centre national de la recherche scientifique (CNRS), Université Lyon 2, Ecole Normale Supérieure 0709, Groupe d'Analyse et de Théorie Economique (GATE), Centre national de la recherche scientifique (CNRS), Université Lyon 2, Ecole Normale Supérieure.
  2. Gergely Kiss & Márton Nagy & Balázs Vonnák, 2006. "Credit Growth in Central and Eastern Europe: Convergence or Boom?," MNB Working Papers, Magyar Nemzeti Bank (the central bank of Hungary) 2006/10, Magyar Nemzeti Bank (the central bank of Hungary).
  3. Morris Goldstein & Carmen M. Reinhart, 2000. "Assessing Financial Vulnerability: An Early Warning System for Emerging Markets," Peterson Institute Press: All Books, Peterson Institute for International Economics, Peterson Institute for International Economics, number 100, July.
  4. Berg, Andrew & Pattillo, Catherine, 1999. "Predicting currency crises:: The indicators approach and an alternative," Journal of International Money and Finance, Elsevier, Elsevier, vol. 18(4), pages 561-586, August.
  5. Joshua Aizenman & Daniel Riera-Crichton, 2006. "Real Exchange Rate and International Reserves in the Era of Growing Financial and Trade Integration," NBER Working Papers 12363, National Bureau of Economic Research, Inc.
  6. Reinhart, Carmen & Kaminsky, Graciela & Lizondo, Saul, 1998. "Leading Indicators of Currency Crises," MPRA Paper 6981, University Library of Munich, Germany.
  7. Reinhart, Carmen, 2002. "Sovereign Credit Ratings Before and After Financial Crises," MPRA Paper 7410, University Library of Munich, Germany.
  8. Sebastian Edwards, 1998. "Interest Rate Volatility, Capital Controls, and Contagion," NBER Working Papers 6756, National Bureau of Economic Research, Inc.
  9. Fratzscher, Marcel & Matthieu Bussiere, 2003. "Towards A New Early Warning System of Financial Crises," Royal Economic Society Annual Conference 2003, Royal Economic Society 81, Royal Economic Society.
  10. International Monetary Fund, 2005. "Adopting the Euro in Central Europe," IMF Occasional Papers 234, International Monetary Fund.
  11. Abdul Abiad, 2003. "Early Warning Systems," IMF Working Papers 03/32, International Monetary Fund.
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