Markov-switching regimes and the monetary model of exchange rate determination: Evidence from the Central and Eastern European markets

Syllignakis, Manolis; Κουρέτας, Γεώργιος Π.

doi:10.1016/j.intfin.2011.04.005

Cited by 10 publications

(5 citation statements)

References 36 publications

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“…What seems to be striking is the fact that the adjustment coefficients for the REER are not significant in any VECM specification, namely the gap between the actual and the equilibrium REER is not closed by an adjustment in the REER itself, which may be the outcome reflecting the fixed exchange rate regime in Latvia and inertia of prices and is in line with the study by Syllignakis and Kouretas (2011). In VECM1, the gap of 100% is reduced in the following period by the total trade to GDP ratio falling by 95.6% points, in VECM2 by budget deficit growing by 28% points, thus driving an equilibrium towards its actual level and not vice versa.…”

Section: Government Consumption To Gdpsupporting

confidence: 75%

The equilibrium real exchange rate: pros and cons of different approaches with application to Latvia

Ajevskis

Rimgailaite

Rutkaste

et al. 2014

Baltic Journal of Economics

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This paper studies various approaches to the equilibrium real effective exchange rate estimation, including structural and direct estimation approaches. It shows their strengths and weaknesses with application to the case of Latvia. Despite the approaches differing considerably in terms of their theoretical background and data used they all indicate that the real exchange rate of Latvia after appreciation during the boom years and subsequent adjustment afterwards remained close to its equilibrium level at the end of the sample period, namely at the end of 2010.

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Section: Government Consumption To Gdpsupporting

confidence: 75%

The equilibrium real exchange rate: pros and cons of different approaches with application to Latvia

Ajevskis

Rimgailaite

Rutkaste

et al. 2014

Baltic Journal of Economics

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“…Thus, correct analysis of volatility estimation will be important, not only in outlining a good asset management strategy, but also to understand moments of uncertainty in financial markets. Some recent studies have analysed the impact of the 2008 financial crisis on foreign exchange markets (Baba and Packer, 2009) and on stock markets, particularly Syllignakis andKouretas (2011), Ben Rejeb andArfaoui (2016) and so many others. Specifically, these studies argued that 1 LIMEN 2019 Selected Papers volatility is present in financial markets, and is high during periods of financial crisis, especially during the subprime crisis.…”

Section: Introductionmentioning

confidence: 99%

Risk Transmission Among Stock Markets in Lac Region: Financial Crises Impact

Dias¹,

Heliodoro²,

Alexandre³

2019

LIMEN - International Scientific-Business Conference - Leadership, Innovation, Management and Economics: Integrated Politics Of

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The main goal of this research work is to analyse risk transmission, in a dynamic context, between stock markets of the Latin American Countries (LAC) region, in the context of the subprime and European sovereign debt crises. Specifically, we intend to evaluate the volatility transmission between markets, as well as the respective asymmetric effect. For this purpose, we use a volatility measure based on opening, closing, maximum and minimum daily prices. We intend to answer the following questions: do Latin American stock markets show higher levels of volatility resulting from the financial crises of 2008 and 2010? The results suggest there is a risk transmission resulting from the subprime crisis. However, the empirical evidence points to a decrease in risk during the sovereign debt crisis of 2010, i.e. the high volatility during the subprime crisis tends to decrease in the period 2010-2012.

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“…Manolis N. Syllignakis [14] selects two markets in Central and Eastern Europe and uses GARCH model for dynamic analysis of financial contagion. The article selects the SSE and SZSE indices as well as CSI energy daily returns from January 2017 date to 2021 as the study sample and the data processing analysis is done using Eviews software.…”

Section: Empiriccal Studiesmentioning

confidence: 99%

Study on the Risk Contagion Effect of Energy Supply Chain Finance under the "Double Carbon" Target

Hui¹

2022

FBEM

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The realization of the "double carbon" target will have a great impact on the contagion effect of supply chain finance risk in the energy market. The article uses social network model and GARCH model to study the contagion effect of energy supply chain finance risk from both enterprise creditworthiness and economic environment. The social network model is used to analyze the degree of differentiation of the supply chain network and the correlation between node enterprises before and after the implementation of the "double carbon" target, using the asset-liability ratio of enterprises as the default risk indicator. The GARCH model was used to empirically analyze the risk contagion effect between CSI energy and Shanghai and Shenzhen stock indices from the perspective of economic environment. The study found that there is a significant correlation and contagion effect between the financial risks of silicon energy enterprises, and the enterprises with higher creditworthiness are less affected by the implementation of the "double carbon" target plan, and the supply chain network is more obviously centralized by the "double carbon" target. The results of GARCH model show that the energy market is influenced by the external economic environment and there is risk contagion effect between markets. Based on the results of the GARCH model, we provide policy recommendations for supply chain risk prevention and control.

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Markov-switching regimes and the monetary model of exchange rate determination: Evidence from the Central and Eastern European markets

Cited by 10 publications

References 36 publications

The equilibrium real exchange rate: pros and cons of different approaches with application to Latvia

The equilibrium real exchange rate: pros and cons of different approaches with application to Latvia

Risk Transmission Among Stock Markets in Lac Region: Financial Crises Impact

Study on the Risk Contagion Effect of Energy Supply Chain Finance under the "Double Carbon" Target

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