IDEAS home Printed from https://ideas.repec.org/p/hal/journl/halshs-00374148.html
   My bibliography  Save this paper

Financial Vulnerability in the Central and Eastern European Countries

Author

Listed:
  • Irène Andreou

    (GATE - Groupe d'analyse et de théorie économique - UL2 - Université Lumière - Lyon 2 - ENS LSH - Ecole Normale Supérieure Lettres et Sciences Humaines - CNRS - Centre National de la Recherche Scientifique)

  • Aleksandra Zdzienicka-Durand

    (GATE - Groupe d'analyse et de théorie économique - UL2 - Université Lumière - Lyon 2 - ENS LSH - Ecole Normale Supérieure Lettres et Sciences Humaines - CNRS - Centre National de la Recherche Scientifique)

Abstract

In this work we use a panel probit model to analyze the sources of financial vulnerability in four Central and Eastern European countries. The incontestable advantages of applying this method, associated with some elements of the non-parametric approach applied during the initial selection of the used indicators, allow us to accomplish, rather well, this objective.Indeed, the model performs considerably well in the sample and the whole approach can provide useful and supportive instruments for the study of financial vulnerabilities in transition economies.

Suggested Citation

  • Irène Andreou & Aleksandra Zdzienicka-Durand, 2009. "Financial Vulnerability in the Central and Eastern European Countries," Post-Print halshs-00374148, HAL.
    • Handle: RePEc:hal:journl:halshs-00374148
    Note: View the original document on HAL open archive server: https://shs.hal.science/halshs-00374148
    as

    Download full text from publisher

    File URL: https://shs.hal.science/halshs-00374148/document
    Download Restriction: no
    ---><---

    Other versions of this item:

    References listed on IDEAS

    as
    1. Joshua Aizenman & Daniel Riera-Crichton, 2008. "Real Exchange Rate and International Reserves in an Era of Growing Financial and Trade Integration," The Review of Economics and Statistics, MIT Press, vol. 90(4), pages 812-815, November.
    2. Cottarelli, Carlo & Dell'Ariccia, Giovanni & Vladkova-Hollar, Ivanna, 2005. "Early birds, late risers, and sleeping beauties: Bank credit growth to the private sector in Central and Eastern Europe and in the Balkans," Journal of Banking & Finance, Elsevier, vol. 29(1), pages 83-104, January.
    3. Graciela Kaminsky & Saul Lizondo & Carmen M. Reinhart, 1998. "Leading Indicators of Currency Crises," IMF Staff Papers, Palgrave Macmillan, vol. 45(1), pages 1-48, March.
    4. Morris Goldstein & Graciela Kaminsky & Carmen Reinhart, 2017. "Methodology and Empirical Results," World Scientific Book Chapters, in: TRADE CURRENCIES AND FINANCE, chapter 11, pages 397-436, World Scientific Publishing Co. Pte. Ltd..
    5. Andreou, Irène & Dufrénot, Gilles, 2009. "A Forewarning Indicator System for Financial Crises: the Case of Six Central and Eastern European Countries," Journal of Economic Integration, Center for Economic Integration, Sejong University, vol. 24, pages 87-115.
    6. Andrew Berg & Eduardo Borensztein & Catherine Pattillo, 2005. "Assessing Early Warning Systems: How Have They Worked in Practice?," IMF Staff Papers, Palgrave Macmillan, vol. 52(3), pages 1-5.
    7. Ivo Krznar, 2004. "Currency Crisis: Theory and Practice with Application to Croatia," Working Papers 12, The Croatian National Bank, Croatia.
    8. Carmen M. Reinhart, 2002. "An Introduction," The World Bank Economic Review, World Bank, vol. 16(2), pages 149-150, August.
    9. Sebastian Edwards, 1998. "Interest Rate Volatility, Capital Controls, and Contagion," NBER Working Papers 6756, National Bureau of Economic Research, Inc.
    10. Bussiere, Matthieu & Fratzscher, Marcel, 2006. "Towards a new early warning system of financial crises," Journal of International Money and Finance, Elsevier, vol. 25(6), pages 953-973, October.
    11. Gergely Kiss & Márton Nagy & Balázs Vonnák, 2006. "Credit Growth in Central and Eastern Europe: Convergence or Boom?," MNB Working Papers 2006/10, Magyar Nemzeti Bank (Central Bank of Hungary).
    12. Berg, Andrew & Pattillo, Catherine, 1999. "Predicting currency crises:: The indicators approach and an alternative," Journal of International Money and Finance, Elsevier, vol. 18(4), pages 561-586, August.
    13. Mr. Abdul d Abiad, 2003. "Early Warning Systems: A Survey and a Regime-Switching Approach," IMF Working Papers 2003/032, International Monetary Fund.
    14. repec:zbw:bofitp:2002_005 is not listed on IDEAS
    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. Dr. Rezarta Shkurti (Perri) & Dr. Brunilda Duraj, 2010. "The Assessment Of The Financial Soundness Of The Banking Sectors In Balkan Countries Using "Early Warning Indicators" - A Comparative Study With Policy Implications," Journal Articles, Center For Economic Analyses, pages 33-48, June.

    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. Tristan Nguyen & Nguyen Ngoc Duy, 2017. "Developing an Early Warning System for Financial Crises in Vietnam," Asian Economic and Financial Review, Asian Economic and Social Society, vol. 7(4), pages 413-430, April.
    2. Cipollini, A. & Kapetanios, G., 2009. "Forecasting financial crises and contagion in Asia using dynamic factor analysis," Journal of Empirical Finance, Elsevier, vol. 16(2), pages 188-200, March.
    3. Cumperayot, Phornchanok & Kouwenberg, Roy, 2013. "Early warning systems for currency crises: A multivariate extreme value approach," Journal of International Money and Finance, Elsevier, vol. 36(C), pages 151-171.
    4. Beckmann, Daniela & Menkhoff, Lukas & Sawischlewski, Katja, 2006. "Robust lessons about practical early warning systems," Journal of Policy Modeling, Elsevier, vol. 28(2), pages 163-193, February.
    5. Andrea Eross & Andrew Urquhart & Simon Wolfe, 2019. "Investigating risk contagion initiated by endogenous liquidity shocks: evidence from the US and eurozone interbank markets," The European Journal of Finance, Taylor & Francis Journals, vol. 25(1), pages 35-53, January.
    6. Miss Gabriela Dobrescu & Iva Petrova & Nazim Belhocine & Mr. Emanuele Baldacci, 2011. "Assessing Fiscal Stress," IMF Working Papers 2011/100, International Monetary Fund.
    7. Jianping Shi & Yu Gao, 2010. "A Study on KLR Financial Crisis Early-Warning Model," Frontiers of Economics in China-Selected Publications from Chinese Universities, Higher Education Press, vol. 5(2), pages 254-275, June.
    8. Christofides, Charis & Eicher, Theo S. & Papageorgiou, Chris, 2016. "Did established Early Warning Signals predict the 2008 crises?," European Economic Review, Elsevier, vol. 81(C), pages 103-114.
    9. Bussiere, Matthieu & Fratzscher, Marcel, 2006. "Towards a new early warning system of financial crises," Journal of International Money and Finance, Elsevier, vol. 25(6), pages 953-973, October.
    10. S. DeVicerte & P. Alvarez & J. Perez & C. Caso, 2008. "Does currency crisis identification matter?," Applied Financial Economics, Taylor & Francis Journals, vol. 18(5), pages 387-395.
    11. Wang, Peiwan & Zong, Lu, 2023. "Does machine learning help private sectors to alarm crises? Evidence from China’s currency market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 611(C).
    12. Mr. Andrew Berg & Rebecca N. Coke, 2004. "Autocorrelation-Corrected Standard Errors in Panel Probits: An Application to Currency Crisis Prediction," IMF Working Papers 2004/039, International Monetary Fund.
    13. Ari, Ali, 2012. "Early warning systems for currency crises: The Turkish case," Economic Systems, Elsevier, vol. 36(3), pages 391-410.
    14. Jianping Shi & Yu Gao, 2010. "A study on KLR financial crisis early-warning model," Frontiers of Economics in China, Springer;Higher Education Press, vol. 5(2), pages 254-275, June.
    15. Frankel, Jeffrey & Saravelos, George, 2012. "Can leading indicators assess country vulnerability? Evidence from the 2008–09 global financial crisis," Journal of International Economics, Elsevier, vol. 87(2), pages 216-231.
    16. Matthieu Bussière & Claude Lopez & Cédric Tille, 2015. "Do real exchange rate appreciations matter for growth?," Economic Policy, CEPR, CESifo, Sciences Po;CES;MSH, vol. 30(81), pages 5-45.
    17. Ari, Ali, 2008. "An Early Warning Signals Approach for Currency Crises: The Turkish Case," MPRA Paper 25858, University Library of Munich, Germany, revised 2009.
    18. Tjeerd M. Boonman & Jan P. A. M. Jacobs & Gerard H. Kuper & Alberto Romero, 2019. "Early Warning Systems for Currency Crises with Real-Time Data," Open Economies Review, Springer, vol. 30(4), pages 813-835, September.
    19. Candelon, Bertrand & Dumitrescu, Elena-Ivona & Hurlin, Christophe, 2014. "Currency crisis early warning systems: Why they should be dynamic," International Journal of Forecasting, Elsevier, vol. 30(4), pages 1016-1029.
    20. Biswa N. Bhattacharyay & Dennis Dlugosch & Benedikt Kolb & Kajal Lahiri & Irshat Mukhametov & Gernot Nerb, 2009. "Early Warning System for Economic and Financial Risks in Kazakhstan," CESifo Working Paper Series 2832, CESifo.

    More about this item

    Keywords

    Financial Vulnerability; Panel Probit Model; CEECs;
    All these keywords.

    JEL classification:

    • C35 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Discrete Regression and Qualitative Choice Models; Discrete Regressors; Proportions
    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • F32 - International Economics - - International Finance - - - Current Account Adjustment; Short-term Capital Movements

    NEP fields

    This paper has been announced in the following NEP Reports:

    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:hal:journl:halshs-00374148. 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: CCSD (email available below). General contact details of provider: https://hal.archives-ouvertes.fr/ .

    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.