کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5063257 1372212 2011 25 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Financial integration and currency risk premium in CEECs: Evidence from the ICAPM
موضوعات مرتبط
علوم انسانی و اجتماعی مدیریت، کسب و کار و حسابداری کسب و کار و مدیریت بین المللی
پیش نمایش صفحه اول مقاله
Financial integration and currency risk premium in CEECs: Evidence from the ICAPM
چکیده انگلیسی
This paper aims to study the Central and Eastern European Countries' (CEECs) dynamics of financial integration in the euro area with the prospect of their integration into the European Monetary Union. Our empirical analysis is based, successively, on a MGARCH model with time-varying correlations, a state-space model and a Markov-switching model. The results show that financial integration (i) is not perfect but is increasing and (ii) is linked to currency stability. The growing financial integration in 2007-2009 seems to be rather the result of the shock propagated by the global crisis.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Emerging Markets Review - Volume 12, Issue 4, December 2011, Pages 460-484
نویسندگان
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