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Determinants of Foreign Currency Loans in CESEE Countries: A Meta-Analysis

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In this paper, we analyze the growing literature on determinants of foreign currency loans in the countries of Central, Eastern and Southeastern Europe (CESEE), applying a metaregression approach. We consider the seven most common determinants presented in the literature and aim at obtaining a more clear-cut picture behind various effects related to differences in methods and data characteristics. In our meta-analysis we apply two alternative estimation methods and identify exchange rate volatility, foreign currency deposits and the minimum variance portfolio (i.e. the ratio of inflation volatility to real exchange rate volatility) as the most robust determinants of foreign currency loans. Our findings indicate that the results reported in the literature are systematically influenced by model specification, the econometric methodology applied and the country samples included in the papers.

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File URL: https://www.oenb.at/dam/jcr:a34579cd-ec78-4a79-8c1c-72f72481821f/feei_2011_q4_studies_2_tcm16-241681.pdf
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Article provided by Oesterreichische Nationalbank (Austrian Central Bank) in its journal Focus on European Economic Integration.

Volume (Year): (2011)
Issue (Month): 4 ()
Pages: 69-87

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Handle: RePEc:onb:oenbfi:y:2011:i:4:b:2
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  14. Brown, M. & Ongena, S. & Yesin, P., 2008. "Currency Denomination of Bank Loans : Evidence from Small Firms in Transition Countries," Discussion Paper 2008-16, Tilburg University, Center for Economic Research.
  15. Christoph Rosenberg & Marcel Tirpák, 2009. "Determinants of Foreign Currency Borrowing in the New Member States of the EU," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 59(3), pages 216-228, August.
  16. Alan B. Krueger, 2003. "Economic Considerations and Class Size," Economic Journal, Royal Economic Society, vol. 113(485), pages 34-63, February.
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  18. Sandra Dvorsky & Thomas Scheiber & Helmut Stix, 2010. "Euro Survey of Spring 2010: Sovereign Debt Crisis Left Traces in CESEE Households' Sentiment, Foreign Currency Portfolios Broadly Unchanged," Focus on European Economic Integration, Oesterreichische Nationalbank (Austrian Central Bank), issue 4, pages 78-89.
  19. Paul De Grauwe & Cláudia Costa Storti, 2004. "The Effects of Monetary Policy: A Meta-Analysis," CESifo Working Paper Series 1224, CESifo Group Munich.
  20. Luca, Alina & Petrova, Iva, 2008. "What drives credit dollarization in transition economies?," Journal of Banking & Finance, Elsevier, vol. 32(5), pages 858-869, May.
  21. T. D. Stanley, 2001. "Wheat from Chaff: Meta-analysis as Quantitative Literature Review," Journal of Economic Perspectives, American Economic Association, vol. 15(3), pages 131-150, Summer.
  22. Jeanne, Olivier, 2000. "Foreign currency debt and the global financial architecture," European Economic Review, Elsevier, vol. 44(4-6), pages 719-727, May.
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  24. Markus Knell & Helmut Stix, 2005. "The Income Elasticity of Money Demand: A Meta-Analysis of Empirical Results ," Journal of Economic Surveys, Wiley Blackwell, vol. 19(3), pages 513-533, 07.
  25. Havranek, Tomas & Irsova, Zuzana, 2011. "Estimating vertical spillovers from FDI: Why results vary and what the true effect is," Journal of International Economics, Elsevier, vol. 85(2), pages 234-244.
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  27. Brown, Martin & Ongena, Steven & Yesin, Pinar, 2011. "Foreign currency borrowing by small firms in the transition economies," Journal of Financial Intermediation, Elsevier, vol. 20(3), pages 285-302, July.
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