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)
|Contact details of provider:|| Web page: http://cse.uaic.ro|
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.:
- 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.
- Kenji Moriyama & Gian-Maria Milesi-Ferretti, 2004. "Fiscal Adjustment in EU Countries: A Balance Sheet Approach," IMF Working Papers 04/143, International Monetary Fund.
- Feldstein, Martin, 2008. "Did Wages Reflect Growth in Productivity?," Scholarly Articles 2794832, Harvard University Department of Economics.
- 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.
When requesting a correction, please mention this item's handle: RePEc:jes:journl:y:2011:v:2:p:31-48. 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: (Alupului Ciprian)
If references are entirely missing, you can add them using this form.