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Banking Contagion under Different Exchange Rate Regimes in CEE

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  • Kutasi, Gábor

Abstract

The global crisis of 2008 caused both liquidity shortage and increasing insolvency in the banking system. The study focuses on credit default contagion in the Central and Eastern European (CEE) region, which originated in bank runs generated by non-performing loans granted to non-financial clients. In terms of methodology, the paper relies on one hand on review of the literature, and on the other hand on a data survey with comparative and regression analysis. To uncover credit default contagion, the research focuses on the combined impact of foreign exchange rates and foreign private indebtedness.

Suggested Citation

  • Kutasi, Gábor, 2015. "Banking Contagion under Different Exchange Rate Regimes in CEE," Corvinus Economics Working Papers (CEWP) 2015/11, Corvinus University of Budapest.
    • Handle: RePEc:cvh:coecwp:2015/11
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    More about this item

    Keywords

    financial contagion; banking; Central and Eastern Europe; foreign exchange rate; non-performing loan;
    All these keywords.

    JEL classification:

    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • F37 - International Economics - - International Finance - - - International Finance Forecasting and Simulation: Models and Applications
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
    • G33 - Financial Economics - - Corporate Finance and Governance - - - Bankruptcy; Liquidation

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