Does the contagion effect of the Balance of Payment crisis exist? Ukrainian case
This paper aims at discussing and testing hypotheses about the contagion effect of the Balance of Payment (BoP) crisis on Ukrainian data. A review of the last highlighted discussions about the contagion effect and its impact on economy by applying traditional or spatial econometrics technique is made in paper. The main innovation of this paper is an attempt to test the contagion effect for Ukraine. Observing the evolution of the BoP crisis from the 1990s up to now, it is clear that the contagion effect becomes a main trigger of crisis. In order to measure the impact of the contagion effect on crisis, the exchange market pressure index (EMPI) is calculated for Ukraine and its main partner countries. Estimation output shows that impact from the neighboring countries on Ukraine is much stronger during and after crisis episodes than before. Another approach based on received impulse function after VAR model estimation presents impact of the contagion effect. Insample forecast of the EMP index of Ukraine, based on different specifications, supports an idea about including external factors that help to express influence of the contagion effect. Finally, paper shows that contagion effect is one of the main triggers of the Balance of Payment crisis. Today the BoP crisis could not embrace just one country, and it becomes at least a problem for the whole region.
Volume (Year): 6 (2013)
Issue (Month): 2 (December)
|Contact details of provider:|| Postal: Bucharest, 6th district, 47 Fabricii Street, Quadra Place, bl.J, fl.1, ap.12|
Web page: http://www.reaser.eu/pgsa/
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.:
- Babecký, Jan & Havránek, Tomáš & Matějů, Jakub & Rusnák, Marek & Šmídková, Kateřina & Vašíček, Bořek, 2014.
"Banking, debt, and currency crises in developed countries: Stylized facts and early warning indicators,"
Journal of Financial Stability,
Elsevier, vol. 15(C), pages 1-17.
- Šmídková, Kateřina & Babecký, Jan & Havránek, Tomáš & Matĕjů, Jakub & Rusnák, Marek & Vašíček, Bořek, 2012. "Banking, debt and currency crises: early warning indicators for developed countries," Working Paper Series 1485, European Central Bank.
- Jan Babecký & Tomáš Havránek & Jakub Mateju & Marek Rusnák & Katerina Šmídková & Borek Vašícek, 2012. "Banking, Debt, and Currency Crises: Early Warning Indicators for Developed Countries," Working Papers IES 2012/20, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Jul 2012.
- Carmen M. Reinhart & Graciela L. Kaminsky, 1999. "The Twin Crises: The Causes of Banking and Balance-of-Payments Problems," American Economic Review, American Economic Association, vol. 89(3), pages 473-500, June.
- Graciela L. Kaminsky & Carmen M. Reinhart, 1996. "The twin crises: the causes of banking and balance-of-payments problems," International Finance Discussion Papers 544, Board of Governors of the Federal Reserve System (U.S.).
- Reinhart, Carmen & Kaminsky, Graciela, 2000.
"Las crisis gemelas: las causas de los problemas bancarios y de balanza de pagos
[The twin crises: Te causes of banking and balance of payments problems]," MPRA Paper 13842, University Library of Munich, Germany.
- Reinhart, Carmen & Kaminsky, Graciela, 1999. "The twin crises: The causes of banking and balance of payments problems," MPRA Paper 14081, University Library of Munich, Germany.
- Corsetti, Giancarlo & Pericoli, Marcello & Sbracia, Massimo, 2005. "'Some contagion, some interdependence': More pitfalls in tests of financial contagion," Journal of International Money and Finance, Elsevier, vol. 24(8), pages 1177-1199, December.
- Corsetti, Giancarlo & Pericoli, Marcello & Sbracia, Massimo, 2002. "Some Contagion, Some Interdependence: More Pitfalls in Tests of Financial Contagion," CEPR Discussion Papers 3310, C.E.P.R. Discussion Papers.
When requesting a correction, please mention this item's handle: RePEc:rse:wpaper:v:6:y:2013:i:2:p:151-159. 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: (Manuela Epure)
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.