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Contagion Of Financial Crises With Special Emphasis On Cee Economies: A Metaanalysis

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  • Andres Kuusk
  • Tiiu Paas
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    Abstract

    The 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.

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    File URL: http://infutik.mtk.ut.ee/www/kodu/RePEc/mtk/febpdf/febawb66.pdf
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    Bibliographic Info

    Paper 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.

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    Length: 46 pages
    Date of creation: 2010
    Date of revision:
    Handle: RePEc:mtk:febawb:66

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    Keywords: financial contagion; meta-analysis;

    This paper has been announced in the following NEP Reports:

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