Financial Market Spillovers in Transition Economies

March 1, 2000

Preview Citation

Format: Chicago

Ratna Sahay, and Gaston Gelos. Financial Market Spillovers in Transition Economies, (USA: International Monetary Fund, 2000) accessed November 23, 2024

Disclaimer: This Working Paper should not be reported as representing the views of the IMF.The views expressed in this Working Paper are those of the author(s) and do not necessarily represent those of the IMF or IMF policy. Working Papers describe research in progress by the author(s) and are published to elicit comments and to further debate

Summary

This paper examines financial market comovements across European transition economies and compares their experience to that of their regions. Correlations in monthly indices of exchange market pressures can partly be explained by direct trade linkages, but not by measures of other fundamentals. Higher-frequency data during three crisis periods reveals the presence of structural breaks in the relationship between exchange-, but not stock markets. While the reaction of markets during the Asian and Czech crises is muted, the pattern of high-frequency spillovers during the Russian crisis looks very similar to that observed in other regions during turbulent times.

Subject: Currency markets, Exchange rate arrangements, Exchange rates, Financial institutions, Financial markets, Foreign exchange, Stock markets, Stocks

Keywords: Asia and Pacific, Contagion, Cross-market linkage, Currency markets, Exchange market, Exchange rate arrangements, Exchange rates, Financial market, Impulse response, Market pressure, Pressure index, Pressures well, Speculative attacks, Stock Markets, Stocks, Transition economies, WP

Publication Details

Pages:

58
Volume:

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DOI:

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Issue:

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Series:

Working Paper No. 2000/071
Stock No:

WPIEA0712000
ISBN:

9781451849233
ISSN:

1018-5941

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