Contagion Of Financial Crises With Special Emphasis On Cee Economies: A Metaanalysis
AbstractThe paper offers new insights on the subject of financial contagion using a meta-analysis methodology and paying particular attention to the transition economies of Central and Eastern Europe (CEE). The results show that on average, asset market correlations have increased during turbulent periods, but the increase is rather moderate. When correlation coefficients are adjusted for the presence of heteroscedasticity, the increase is considerably smaller, but still statistically significant. The crises have been more and less contagious, but the level of development of the chosen afflicted country seems not to have played a significant role in determining whether crises spread there or not. Transition economies in CEE have on average been somewhat less susceptible to financial contagion than the sample as a whole, but the increase in the asset prices correlation during times of crisis is statistically insignificant. Interestingly, the financial contagion ‘snowball’ seems to have affected the CEE transition economies most after crises in the US rather than one in Russia or the Czech Republic.
Download InfoIf 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.
Bibliographic InfoPaper provided by Faculty of Economics and Business Administration, University of Tartu (Estonia) in its series University of Tartu - Faculty of Economics and Business Administration Working Paper Series with number 66.
Length: 46 pages
Date of creation: 2010
Date of revision:
financial contagion; meta-analysis;
This paper has been announced in the following NEP Reports:
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.:
- Stefanie Kleimeier & Thorsten Lehnert & Willem F. C. Verschoor, 2008. "Measuring Financial Contagion Using Time-Aligned Data: The Importance of the Speed of Transmission of Shocks," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 70(4), pages 493-508, 08.
- Reinhart, Carmen & Kaminsky, Graciela, 1998.
"On crises, contagion, and confusion,"
13709, University Library of Munich, Germany.
- Martin Sola & Fabio Spagnolo & Nicola Spagnolo, 2002.
"A Test for Volatility Spillovers,"
Economics and Finance Discussion Papers
02-04, Economics and Finance Section, School of Social Sciences, Brunel University.
- Guillermo A. Calvo & Enrique G. Mendoza, 1999.
"Regional Contagion and the Globalization of Securities Markets,"
NBER Working Papers
7153, National Bureau of Economic Research, Inc.
- Calvo, Guillermo A. & Mendoza, Enrique G., 2000. "Rational contagion and the globalization of securities markets," Journal of International Economics, Elsevier, vol. 51(1), pages 79-113, June.
- Kristin J. Forbes, 2002.
"Are Trade Linkages Important Determinants of Country Vulnerability to Crises?,"
in: Preventing Currency Crises in Emerging Markets, pages 77-132
National Bureau of Economic Research, Inc.
- Kristin J. Forbes, 2001. "Are Trade Linkages Important Determinants of Country Vulnerability to Crises?," NBER Working Papers 8194, National Bureau of Economic Research, Inc.
- Roberto Rigobon, 2001.
"Contagion: How to Measure It?,"
NBER Working Papers
8118, National Bureau of Economic Research, Inc.
- Kee-Hong Bae & G. Andrew Karolyi & Rene M. Stulz, 2000.
"A New Approach to Measuring Financial Contagion,"
NBER Working Papers
7913, National Bureau of Economic Research, Inc.
- Pindyck, Robert S & Rotemberg, Julio J, 1993. "The Comovement of Stock Prices," The Quarterly Journal of Economics, MIT Press, vol. 108(4), pages 1073-1104, November.
- P. Hartmann & S. Straetmans & C.G. de Vries, 2001.
"Asset Market Linkages in Crisis Periods,"
Tinbergen Institute Discussion Papers
01-071/2, Tinbergen Institute.
- de Vries, Casper G & Hartmann, Philipp & Straetmans, Stefan, 2001. "Asset Market Linkages in Crisis Periods," CEPR Discussion Papers 2916, C.E.P.R. Discussion Papers.
- Hartmann, Philipp & Straetmans, Stefan & de Vries, Casper, 2001. "Asset market linkages in crisis periods," Working Paper Series 0071, European Central Bank.
- Hartmann, P. & Straetmans, S. & De Vries, C.G., 2001. "Asset Market Linkages in Crisis Periods," Papers 71, Quebec a Montreal - Recherche en gestion.
- Hernandez, Leonardo F. & Valdes, Rodrigo O., 2001. "What drives contagion: Trade, neighborhood, or financial links?," International Review of Financial Analysis, Elsevier, vol. 10(3), pages 203-218.
- Gerlach, Stefan & Smets, Frank, 1994.
"Contagious Speculative Attacks,"
CEPR Discussion Papers
1055, C.E.P.R. Discussion Papers.
- Jokipii , Terhi & Lucey, Brian, 2006.
"Contagion and interdependence: measuring CEE banking sector co-movements,"
Research Discussion Papers
15/2006, Bank of Finland.
- Jokipii, Terhi & Lucey, Brian, 2007. "Contagion and interdependence: Measuring CEE banking sector co-movements," Economic Systems, Elsevier, vol. 31(1), pages 71-96, March.
- Laura de Dominicis & Henri L.F. de Groot & Raymond J.G.M. Florax, 2006. "Growth and Inequality: A Meta-Analysis," Tinbergen Institute Discussion Papers 06-064/3, Tinbergen Institute.
- 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.
- Ratna Sahay & Gaston Gelos, 2000. "Financial Market Spillovers in Transition Economies," IMF Working Papers 00/71, International Monetary Fund.
- Pindyck, Robert S. & Rotemberg, Julio., 1987.
"The excess co-movement of commodity prices,"
1969-87., Massachusetts Institute of Technology (MIT), Sloan School of Management.
- Christian E. Weller & Bernard Morzuch, 2000. "International Financial Contagion: Why are Eastern Europe's banks not failing when everybody else's are?," The Economics of Transition, The European Bank for Reconstruction and Development, vol. 8(3), pages 639-663, November.
- Serwa, Dobromil & Bohl, Martin T., 2005. "Financial contagion vulnerability and resistance: A comparison of European stock markets," Economic Systems, Elsevier, vol. 29(3), pages 344-362, September.
- Caramazza, Francesco & Ricci, Luca & Salgado, Ranil, 2004. "International financial contagion in currency crises," Journal of International Money and Finance, Elsevier, vol. 23(1), pages 51-70, February.
- Guillermo A. Calvo, 2005. "Emerging Capital Markets in Turmoil: Bad Luck or Bad Policy?," MIT Press Books, The MIT Press, edition 1, volume 1, number 0262033348, December.
- Forbes, Kristin J., 2004. "The Asian flu and Russian virus: the international transmission of crises in firm-level data," Journal of International Economics, Elsevier, vol. 63(1), pages 59-92, May.
- Barry Eichengreen & Andrew K. Rose, 1999. "Contagious Currency Crises: Channels of Conveyance," NBER Chapters, in: Changes in Exchange Rates in Rapidly Developing Countries: Theory, Practice, and Policy Issues (NBER-EASE volume 7), pages 29-56 National Bureau of Economic Research, Inc.
- 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.
- Corsetti, Giancarlo & Pericoli, Marcello & Sbracia, Massimo, 2002. "Some Contagion, Some Interdependence: More Pitfalls in Tests of Financial Contagion," CEPR Discussion Papers 3310, C.E.P.R. Discussion Papers.
- Rodrigo O. ValdÃ©s & Leonardo HernÃ¡ndez, 2001. "What Drives Contagion," IMF Working Papers 01/29, International Monetary Fund.
- Taimur Baig & Ilan Goldfajn, 1999. "Financial Market Contagion in the Asian Crisis," IMF Staff Papers, Palgrave Macmillan, vol. 46(2), pages 3.
- Roberto Rigobon, 1999. "On the Measurement of the International Propagation of Shocks," NBER Working Papers 7354, National Bureau of Economic Research, Inc.
- 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.
- Billio, Monica & Pelizzon, Loriana, 2003. "Contagion and interdependence in stock markets: Have they been misdiagnosed?," Journal of Economics and Business, Elsevier, vol. 55(5-6), pages 405-426.
- Van Rijckeghem, Caroline & Weder, Beatrice, 2001. "Sources of contagion: is it finance or trade?," Journal of International Economics, Elsevier, vol. 54(2), pages 293-308, August.
- Didier, Tatiana & Mauro, Paolo & Schmukler, Sergio L., 2008. "Vanishing financial contagion?," Journal of Policy Modeling, Elsevier, vol. 30(5), pages 775-791.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Tonu Roolaht).
If references are entirely missing, you can add them using this form.