The Romanian economy - four years afterthe EU accession
The paper aims to investigate the research question whether the US 2008 crisis spilled over contagiously to the Baltic States as small open economies. In order to examine the evidence of financial contagion as a systematic component of financial risks in the case of the Baltic States, we employ several testing methodologies like correlation coefficients based methods adjusting also with possible heteroskedasticity and ARCH-GARCH framework. The results are somewhat mixed. On the one hand, stock returns’ correlations between US and Baltic States increased during crisis times, confirming the financial contagion hypothesis. On the other hand, volatility has not spilled over from US to Estonia, Latvia and Lithuania, neither have volatility spillovers become stronger after the crisis hit.
Volume (Year): 2(2) (2011)
Issue (Month): (December)
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- Barry Bosworth & George L. Perry, 1994. "Productivity and Real Wages: Is There a Puzzle?," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 25(1), pages 317-343.
- Milesi-Ferretti, Gian Maria & Moriyama, Kenji, 2006. "Fiscal adjustment in EU countries: A balance sheet approach," Journal of Banking & Finance, Elsevier, vol. 30(12), pages 3281-3298, December.
- Feldstein, Martin, 2008. "Did Wages Reflect Growth in Productivity?," Scholarly Articles 2794832, Harvard University Department of Economics.
- Kenji Moriyama & Gian M Milesi-Ferretti, 2004. "Fiscal Adjustment in EU Countries; A Balance Sheet Approach," IMF Working Papers 04/143, International Monetary Fund.
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