IDEAS home Printed from https://ideas.repec.org/h/eme/isetez/s1571-038620140000023007.html
   My bibliography  Save this book chapter

Linkages between the Eurozone and the South-Eastern European Countries: A VECMX* Analysis

In: Macroeconomic Analysis and International Finance

Author

Listed:
  • Minoas Koukouritakis
  • Athanasios P. Papadopoulos
  • Andreas Yannopoulos

Abstract

Keywords: South-Eastern Europe, Monetary Transmission, VECMX* Model, Generalized Impulse Response, E43, F15, F42

Suggested Citation

  • Minoas Koukouritakis & Athanasios P. Papadopoulos & Andreas Yannopoulos, 2014. "Linkages between the Eurozone and the South-Eastern European Countries: A VECMX* Analysis," International Symposia in Economic Theory and Econometrics, in: Macroeconomic Analysis and International Finance, volume 23, pages 185-216, Emerald Group Publishing Limited.
  • Handle: RePEc:eme:isetez:s1571-038620140000023007
    DOI: 10.1108/S1571-038620140000023007
    as

    Download full text from publisher

    File URL: https://www.emerald.com/insight/content/doi/10.1108/S1571-038620140000023007/full/html?utm_source=repec&utm_medium=feed&utm_campaign=repec
    Download Restriction: no

    File URL: https://www.emerald.com/insight/content/doi/10.1108/S1571-038620140000023007/full/epub?utm_source=repec&utm_medium=feed&utm_campaign=repec&title=10.1108/S1571-038620140000023007
    Download Restriction: no

    File URL: https://www.emerald.com/insight/content/doi/10.1108/S1571-038620140000023007/full/pdf?utm_source=repec&utm_medium=feed&utm_campaign=repec
    Download Restriction: no

    File URL: https://libkey.io/10.1108/S1571-038620140000023007?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    Other versions of this item:

    References listed on IDEAS

    as
    1. Pesaran, M. Hashem & Shin, Yongcheol & Smith, Richard J., 2000. "Structural analysis of vector error correction models with exogenous I(1) variables," Journal of Econometrics, Elsevier, vol. 97(2), pages 293-343, August.
    2. Filippo di Mauro & L. Vanessa Smith & Stephane Dees & M. Hashem Pesaran, 2007. "Exploring the international linkages of the euro area: a global VAR analysis," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 22(1), pages 1-38.
    3. Egert, Balazs & Crespo-Cuaresma, Jesus & Reininger, Thomas, 2007. "Interest rate pass-through in central and Eastern Europe: Reborn from ashes merely to pass away?," Journal of Policy Modeling, Elsevier, vol. 29(2), pages 209-225.
    4. repec:zbw:bofitp:2006_008 is not listed on IDEAS
    5. Nikolay Gueorguiev, 2003. "Exchange Rate Pass-Through in Romania," IMF Working Papers 2003/130, International Monetary Fund.
    6. Koop, Gary & Pesaran, M. Hashem & Potter, Simon M., 1996. "Impulse response analysis in nonlinear multivariate models," Journal of Econometrics, Elsevier, vol. 74(1), pages 119-147, September.
    7. Bussière, Matthieu & Chudik, Alexander & Sestieri, Giulia, 2009. "Modelling global trade flows: results from a GVAR model," Working Paper Series 1087, European Central Bank.
    8. Pesaran, H. Hashem & Shin, Yongcheol, 1998. "Generalized impulse response analysis in linear multivariate models," Economics Letters, Elsevier, vol. 58(1), pages 17-29, January.
    9. Pesaran M.H. & Schuermann T. & Weiner S.M., 2004. "Modeling Regional Interdependencies Using a Global Error-Correcting Macroeconometric Model," Journal of Business & Economic Statistics, American Statistical Association, vol. 22, pages 129-162, April.
    10. Pesaran, M. Hashem & Shin, Yongcheol, 1996. "Cointegration and speed of convergence to equilibrium," Journal of Econometrics, Elsevier, vol. 71(1-2), pages 117-143.
    11. Fabrizio CORICELLI & Bostjan JAZBEC & Igor MASTEN, 2004. "Exchange Rate Pass-Through in Acceding Countries: The Role of Exchange Rate Regimes," Economics Working Papers ECO2004/16, European University Institute.
    12. van Hoesel, C.P.M., 2004. "Optimization in telecommunication networks," Research Memorandum 045, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
    13. Dubravko Mihaljek & Marc Klau, 2001. "A note on the pass-through from exchange rate and foreign price changes to inflation in selected emerging market economies," BIS Papers chapters, in: Bank for International Settlements (ed.), Modelling aspects of the inflation process and the monetary transmission mechanism in emerging market countries, volume 8, pages 69-81, Bank for International Settlements.
    14. repec:onb:oenbwp:y:2006:i:1:b:1 is not listed on IDEAS
    15. Darvas, Zsolt, 2001. "Exchange rate pass-through and real exchange rate in EU candidate countries," Discussion Paper Series 1: Economic Studies 2001,10, Deutsche Bundesbank.
    16. repec:zbw:bofitp:2012_020 is not listed on IDEAS
    17. Hakan Kara & Hande Kucuk Tuger & Umit Ozlale & Burc Tuger & Devrim Yavuz & Eray M. Yucel, 2005. "Exchange Rate Pass-Through in Turkey : Has it Changed and to What Extent?," Working Papers 0504, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Keppel, Catherine & Prettner, Klaus, 2015. "How interdependent are Eastern European economies and the Euro area?," The Quarterly Review of Economics and Finance, Elsevier, vol. 58(C), pages 18-31.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Alexander Chudik & M. Hashem Pesaran, 2016. "Theory And Practice Of Gvar Modelling," Journal of Economic Surveys, Wiley Blackwell, vol. 30(1), pages 165-197, February.
    2. Koukouritakis, Minoas & Papadopoulos, Athanasios P. & Yannopoulos, Andreas, 2015. "Linkages between the Eurozone and the South-Eastern European countries: A global VAR analysis," Economic Modelling, Elsevier, vol. 48(C), pages 129-154.
    3. repec:onb:oenbwp:y:2006:i:1:b:1 is not listed on IDEAS
    4. Fabrizio Coricelli & Balázs Égert & Ronald MacDonald, 2006. "Monetary Transmission in Central and Eastern Europe: Gliding on a Wind of Change," Focus on European Economic Integration, Oesterreichische Nationalbank (Austrian Central Bank), issue 1, pages 44-87.
    5. Koukouritakis, Minoas & Papadopoulos, Athanasios P. & Yannopoulos, Andreas, 2014. "Transmission effects in the presence of structural breaks: Evidence from South-Eastern European countries," Economic Modelling, Elsevier, vol. 41(C), pages 298-311.
    6. repec:zbw:bofitp:2006_008 is not listed on IDEAS
    7. Coricelli, Fabrizio & Égert, Balázs & MacDonald, Ronald, 2006. "Monetary transmission mechanism in Central and Eastern Europe: gliding on a wind of change," BOFIT Discussion Papers 8/2006, Bank of Finland Institute for Emerging Economies (BOFIT).
    8. Balázs Égert & Ronald MacDonald, 2006. "Monetary Transmission Mechanism in Transition Economies: Surveying the Surveyable," MNB Working Papers 2006/5, Magyar Nemzeti Bank (Central Bank of Hungary).
    9. Fabrizio Coricelli & Bal??zs ??gert & Ronald MacDonald, 2006. "Monetary Transmission Mechanism in Central & Eastern Europe: Gliding on a Wind of Change," William Davidson Institute Working Papers Series wp850, William Davidson Institute at the University of Michigan.
    10. Konstantakis, Konstantinos N. & Michaelides, Panayotis G., 2014. "Transmission of the debt crisis: From EU15 to USA or vice versa? A GVAR approach," Journal of Economics and Business, Elsevier, vol. 76(C), pages 115-132.
    11. Kamiar Mohaddes & Mehdi Raissi, 2019. "The US oil supply revolution and the global economy," Empirical Economics, Springer, vol. 57(5), pages 1515-1546, November.
    12. Assenmacher-Wesche, K. & Pesaran, M.H., 2008. "A VECX* Model of the Swiss Economy," Cambridge Working Papers in Economics 0809, Faculty of Economics, University of Cambridge.
    13. Deniz Sevinc & Edgar Mata Flores, 2021. "Macroeconomic and financial implications of multi‐dimensional interdependencies between OECD countries," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(1), pages 741-776, January.
    14. Bussière, Matthieu & Chudik, Alexander & Sestieri, Giulia, 2009. "Modelling global trade flows: results from a GVAR model," Working Paper Series 1087, European Central Bank.
    15. Konstantakis, Konstantinos & Michaelides, Panayotis G., 2014. "Combining Input-Output (IO) analysis with Global Vector Autoregressive (GVAR) modeling: Evidence for the USA (1992-2006)," MPRA Paper 67111, University Library of Munich, Germany.
    16. Alessandro Rebucci & Ambrogio Cesa-Bianchi & M. Hashem Pesaran & TengTeng Xu, 2012. "China's Emergence in the World Economy and Business Cycles in Latin America," Economía Journal, The Latin American and Caribbean Economic Association - LACEA, vol. 0(Spring 20), pages 1-75, January.
    17. Moisă ALTAR & Adrian IFRIM & Adam-Nelu ALTAR - SAMUEL, 2015. "Eastern Europe In The World Economy : A Global Var Analysis," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(3), pages 5-26, September.
    18. Samargandi, Nahla & Kutan, Ali M., 2016. "Private credit spillovers and economic growth: Evidence from BRICS countries," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 44(C), pages 56-84.
    19. Boero, Gianna & Mandalinci, Zeyyad & Taylor, Mark P., 2019. "Modelling portfolio capital flows in a global framework: Multilateral implications of capital controls," Journal of International Money and Finance, Elsevier, vol. 90(C), pages 142-160.
    20. Khan, Nazmus Sadat, 2020. "Spillover Effects of Trade Shocks in the Central and Eastern European and Baltic Countries," Journal of Economic Integration, Center for Economic Integration, Sejong University, vol. 35(1), pages 39-68.
    21. Nazmus Sadat Khan, 2020. "Propagation of economic shocks from Russia and Western European countries to CEE-Baltic countries," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 10(3), pages 489-512, September.
    22. Adam Traczyk, 2013. "Financial integration and the term structure of interest rates," Empirical Economics, Springer, vol. 45(3), pages 1267-1305, December.

    More about this item

    Keywords

    south-eastern europe; monetary transmission; vecmx* model; generalized impulse response; e43; f15; f42;
    All these keywords.

    JEL classification:

    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
    • F15 - International Economics - - Trade - - - Economic Integration
    • F42 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - International Policy Coordination and Transmission

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eme:isetez:s1571-038620140000023007. See general information about how to correct material in RePEc.

    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 CitEc recognized a bibliographic reference but did not link an item in RePEc 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 RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Emerald Support (email available below). General contact details of provider: .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.