From Financial Integration to Sudden Stops? New Evidence from EU Transition Countries
Journal Title: Finance a uver - Year 2015, Vol 65, Issue 4
Abstract
This paper examines the temporal dynamics of the relationship between real and financial determinants of capital inflows and attempts to explain the background of the recent great sudden stop episode in EU transition countries. Using historical decomposition in a structural vector autoregression framework, we find that the major pre-crisis surge in capital inflows to EU transition countries coincides with a strong increase in correlation between the financial component and observed capital inflows. The consequences of these trends have been reflected in the high volatility of capital inflows and their retrenchment during the financial crisis. Analysis further shows that almost all sudden stop episodes in EU transition countries have been characterized by sudden increases in the volatility of financial components of capital inflows. Results are robust to various model specifications and different subcategories of capital inflows.
Authors and Affiliations
Tomislav Globan
Keywords
Related Articles
- EP ID EP297525
- DOI -
- Views 186
- Downloads 0
An Exchange Rate Floor as an Instrument of Monetary Policy: An Ex-Post Assessment of the Czech Experience
In November 2013 the Czech National Bank introduced a floor for the Czech koruna exchange rate as its monetary policy instrument. The rationale for this action was to prevent the risk of deflation in a zero-lower-bound e...
Systemic Risk in Financial Risk Regulation
The paper deals with the systemic risk concept which is important in the framework of modern risk regulatory systems in finance and insurance (the most actual examples are Basel III in finance and Solvency II in insuranc...
Corporate Governance Quality and a Firm’s Adaptation to Competitive Threats
This paper shows that regulatory improvements of corporate governance quality mandated by the Sarbanes-Oxley Act (SOX) are associated with a better ability of firms to adapt to product-market competitive threats. We cont...
Religion, Corporate Governance, and Executive Compensation
We investigate how regional variation in religiosity and the prevalent religious denomination in a U.S. state where a company is headquartered are associated with the level and structure of executive compensation. We doc...
Does Stock Liquidity Explain the Premium for Stock Price Momentum?
The empirically documented positive relationship between price momentum and subsequent stock returns constitutes a puzzle that evades a compelling theoretical explanation. This study analyzes one of the proposed explanat...