How integrated are the exchange markets of the Baltic Sea Region? An examination of market pressure and its contagion
In the two decades since independence, the Baltic nations’ re-integration with Western Europe has resulted in close linkages to the Euro. While only Estonia has as of yet joined the common currency, Latvia and Lithuania maintain currency pegs in preparation for membership. But although the Eurozone’s pull is unmistakable, it is possible that the Nordic countries on the Baltic Sea—with which the Baltics have enjoyed economic ties for centuries—might also have an important influence on the region’s exchange markets. In particular, currency crises might more easily spread through the Baltic Sea region than to and from the Eurozone. This study investigates this relationship by generating indices of Exchange Market Pressure (EMP) for the three Baltic countries, Denmark, Sweden, and the Eurozone, before testing for contagion using Vector Autoregressive (VAR) methods. Granger causality tests and impulse-response functions show that pressure on the Scandinavian currency markets, as well as stock price declines, lead to increased Baltic EMP more than do events in the Eurozone.
Volume (Year): 12 (2012)
Issue (Month): 2 (December)
|Contact details of provider:|| Postal: |
Phone: +371 67039320
Fax: +371 67039318
Web page: http://www.biceps.org
More information through EDIRC
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.:
- 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.
- Simone Bertoli & Giampiero Gallo & Giorgio Ricchiuti, 2010.
"Exchange market pressure: some caveats in empirical applications,"
Taylor & Francis Journals, vol. 42(19), pages 2435-2448.
- Simone Bertoli & Giampiero Gallo & Giorgio Ricchiuti, 2006. "Exchange Market Pressure: Some Caveats In Empirical Applications," Econometrics Working Papers Archive wp2006_17, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
- Scott Hegerty, 2011. "Is exchange-market pressure contagious among transition economies?," Applied Financial Economics, Taylor & Francis Journals, vol. 21(10), pages 707-716.
- Heather D. Gibson & Euclid Tsakalotos, 2004.
"Capital flows and speculative attacks in prospective EU member states,"
The Economics of Transition,
The European Bank for Reconstruction and Development, vol. 12(3), pages 559-586, 09.
- Heather D Gibson & Euclid Tsakalotos, 2003. "Capital Flows and Speculative Attacks in Prospective EU Member States," Working Papers 06, Bank of Greece.
- Pesaran, M. H. & Shin, Y., 1997.
"Generalised Impulse Response Analysis in Linear Multivariate Models,"
Cambridge Working Papers in Economics
9710, Faculty of Economics, University of Cambridge.
- Pesaran, H. Hashem & Shin, Yongcheol, 1998. "Generalized impulse response analysis in linear multivariate models," Economics Letters, Elsevier, vol. 58(1), pages 17-29, January.
- מחקר - ביטוח לאומי, 1900. "שלמי תודה לשופטים בשנת 2008," Working Papers 984, National Insurance Institute of Israel.
- PENTECOST, Eric J. & VAN HOOYDONK, Charlotte & VAN POECK, André, 1997.
"Measuring and estimating exchange market pressure in the EU,"
SESO Working Papers
1997009, University of Antwerp, Faculty of Applied Economics.
- Pentecost, Eric J. & Van Hooydonk, Charlotte & Van Poeck, Andre, 2001. "Measuring and estimating exchange market pressure in the EU," Journal of International Money and Finance, Elsevier, vol. 20(3), pages 401-418, June.
- Melisso Boschi, 2005.
"International financial contagion: evidence from the Argentine crisis of 2001-2002,"
Applied Financial Economics,
Taylor & Francis Journals, vol. 15(3), pages 153-163.
- Boschi, Melisso, 2004. "International Financial Contagion: Evidence from the Argentine Crisis of 2001-2002," MPRA Paper 28546, University Library of Munich, Germany.
- Dornbusch, Rudiger & Park, Yung Chul & Claessens, Stijn, 2000. "Contagion: Understanding How It Spreads," World Bank Research Observer, World Bank Group, vol. 15(2), pages 177-97, August.
- Hegerty, Scott W., 2009. "Capital inflows, exchange market pressure, and credit growth in four transition economies with fixed exchange rates," Economic Systems, Elsevier, vol. 33(2), pages 155-167, June.
- Girton, Lance & Roper, Don, 1977. "A Monetary Model of Exchange Market Pressure Applied to the Postwar Canadian Experience," American Economic Review, American Economic Association, vol. 67(4), pages 537-48, September.
- André Van Poeck & Jacques Vanneste & Maret Veiner, 2007. "Exchange Rate Regimes and Exchange Market Pressure in the New EU Member States," Journal of Common Market Studies, Wiley Blackwell, vol. 45, pages 459-485, 06.
- Eichengreen, Barry & Rose, Andrew K & Wyplosz, Charles, 1996.
"Contagious Currency Crises,"
CEPR Discussion Papers
1453, C.E.P.R. Discussion Papers.
When requesting a correction, please mention this item's handle: RePEc:bic:journl:v:12:y:2012:i:2:p:109-122. 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: (Lelde Ivankova)
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.