全球金融危机期间17个东欧国家的危机传播渠道

IF 1.3 4区经济学 Q3 ECONOMICS

Eastern European Economics Pub Date : 2022-06-13 DOI:10.1080/00128775.2022.2077763

E. Țilică

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引用次数: 0

摘要

摘要:本文研究全球金融危机对东欧17个市场的传导渠道是否与美国市场或欧洲三大市场之一直接相关。采用基于GJR-GARCH和EGARCH框架的虚拟回归模型，结果表明泛欧交易所是大多数被分析市场的主要传播渠道。拉脱维亚、俄罗斯和塞尔维亚受到伦敦证券交易所的影响，而斯洛伐克没有受到传染。这些结果表明，危机的影响和传播在世界范围内并不相同。这表明，缓解此类危机的措施应该针对每个市场量身定制。

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Crisis transmission channel for 17 East-European countries during the Global Financial Crisis

ABSTRACT This paper investigates if the transmission channel of the Global Financial Crisis to 17 Eastern European markets can be directly connected with the US market or one of the three largest European markets. By employing a dummy regression model with a GJR-GARCH and EGARCH frameworks, the results show that Euronext is the main transmission channel for most analyzed markets. Latvia, Russia and Serbia were affected by the London Stock Exchange, while Slovakia showed no contagion. These results show that the crisis’s effects and transmission were not identical worldwide. This suggests that measures created to mitigate such crises should be tailored to each market.

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来源期刊

Eastern European Economics ECONOMICS-

CiteScore

2.20

自引率

9.10%

发文量

期刊介绍： Eastern European Economics publishes original research on the newly emerging economies of Central and Eastern Europe, with coverage of the ongoing processes of transition to market economics in different countries, their integration into the broader European and global economies, and the ramifications of the 2008-9 financial crisis. An introduction by the journal"s editor adds context and expert insights on the articles presented in each issue.