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Exchange Market Pressure And Regional Price Spillovers In Russia, Ukraine, And Belarus

Listed author(s):
  • HEGERTY, Scott W.

The economies of Russia, Ukraine, and Belarus have long been undergoing an uneven process of regional integration, but at the same time face the lasting effects of the 2008 Global Financial Crisis. This study examines different measures of Exchange Market Pressure (EMP), which captures currency depreciations and central-bank measures to offset them, for these three countries. We then enter them into vectors that include Russian and foreign stock prices and commodity prices. Impulse response functions and variance decompositions uncover a number of spillovers, particularly when our “benchmark” EMP measure is used. We find evidence of one-way transmission from Russia to Ukraine and Belarus, and from Russian stock prices to the ruble.

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Article provided by Euro-American Association of Economic Development in its journal Applied Econometrics and International Development.

Volume (Year): 14 (2014)
Issue (Month): 2 ()
Pages:

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Handle: RePEc:eaa:aeinde:v:14:y:2014:i:2_5
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  1. Eichengreen, Barry & Rose, Andrew K & Wyplosz, Charles, 1996. "Contagious Currency Crises," CEPR Discussion Papers 1453, C.E.P.R. Discussion Papers.
  2. Eichengreen, Barry & Rose, Andrew & Wyplosz, Charles, 1996. " Contagious Currency Crises: First Tests," Scandinavian Journal of Economics, Wiley Blackwell, vol. 98(4), pages 463-484, December.
  3. Kristin J. Forbes & Roberto Rigobon, 2002. "No Contagion, Only Interdependence: Measuring Stock Market Comovements," Journal of Finance, American Finance Association, vol. 57(5), pages 2223-2261, October.
  4. Pontines, Victor & Siregar, Reza, 2008. "Fundamental pitfalls of exchange market pressure-based approaches to identification of currency crises," International Review of Economics & Finance, Elsevier, vol. 17(3), pages 345-365.
  5. Simone Bertoli & Giampiero Gallo & Giorgio Ricchiuti, 2010. "Exchange market pressure: some caveats in empirical applications," Applied Economics, Taylor & Francis Journals, vol. 42(19), pages 2435-2448.
  6. Pesaran, H. Hashem & Shin, Yongcheol, 1998. "Generalized impulse response analysis in linear multivariate models," Economics Letters, Elsevier, vol. 58(1), pages 17-29, January.
  7. Elvira Sojli, 2007. "Contagion in emerging markets: the Russian crisis," Applied Financial Economics, Taylor & Francis Journals, vol. 17(3), pages 197-213.
  8. 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.
  9. 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.
  10. 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.
  11. Weymark, Diana N, 1998. "A General Approach to Measuring Exchange Market Pressure," Oxford Economic Papers, Oxford University Press, vol. 50(1), pages 106-121, January.
  12. Scott W. Hegerty, 2014. "Exchange market pressure, commodity prices, and contagion in Latin America," The Journal of International Trade & Economic Development, Taylor & Francis Journals, vol. 23(1), pages 56-77, February.
  13. Scott William Hegerty, 2013. "Principal component measures of exchange market pressure: comparisons with variance-weighted measures," Applied Financial Economics, Taylor & Francis Journals, vol. 23(18), pages 1483-1495, September.
  14. 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.
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