Determinants Of Financial Euroisation In A Small Open Economy: The Case Of Serbia

Q3 Economics, Econometrics and Finance

Economic Annals Pub Date : 2018-01-01 DOI:10.2298/EKA1818009B

Mile Bošnjak, Gordana Kordić, Vlatka Bilas

引用次数: 2

Abstract

This paper examines the phenomenon of financial euroisation in Serbia, focusing on the liability side of the banking system. A time series model is estimated and evaluated using a monthly data sample from January 2007 to January 2016 for Serbia. The results of this paper show that the mean pattern of financial euroisation in Serbia is determined by the exchange rate, inflation, and the interest rate differential. Financial euroisation in Serbia is found to be volatile and to exhibit a clustering pattern. Of the estimated and tested models the ARCH (1) model is found to be best suited to explain the volatile behaviour pattern of financial euroisation in Serbia.

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小型开放经济体中金融欧元化的决定因素:以塞尔维亚为例

本文考察了塞尔维亚的金融欧元化现象，重点关注银行体系的负债方面。使用塞尔维亚2007年1月至2016年1月的月度数据样本估计和评估时间序列模型。本文的结果表明，塞尔维亚金融欧元化的平均模式是由汇率、通货膨胀和利率差异决定的。发现塞尔维亚的金融欧元化是不稳定的，并表现出集群模式。在估计和测试的模型中，ARCH(1)模型被发现最适合解释塞尔维亚金融欧元化的波动行为模式。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Economic Annals Economics, Econometrics and Finance-Economics, Econometrics and Finance (all)

CiteScore

0.90

自引率

0.00%

发文量

审稿时长

18 weeks

期刊介绍： Economic Annals is an academic journal that has been published on a quarterly basis since 1955, initially under its Serbian name of Ekonomski anali (EconLit). Since 2006 it has been published exclusively in English. It is published by the Faculty of Economics, University of Belgrade, Serbia. The journal publishes research in all areas of economics. The Editorial Board welcomes contributions that explore economic issues in a comparative perspective with a focus on transition and emerging economies in Europe and around the world. The journal encourages the submission of original unpublished works, not under consideration by other journals or publications. All submitted papers undergo a double blind refereeing process. Authors are expected to follow standard publication procedures [Instructions to Authors], to recognise the values of the international academic community and to respect the journal’s Policy.