Givers or Recipients? Co-Movements between Stock Markets of CEE-3 and Developed Countries

In this paper, time-varying co-movements between the stock markets of Poland, the Czech Republic, Hungary, and the capital markets of developed countries in stable and crisis periods are studied. The parameters of the VAR-AGDCC-GARCH (Vector Autoregressive- Asymmetric Generalized Dynamic Conditional Correlation-Generalized Autoregressive Conditional Heteroscedasticity) model are estimated, and volatility spillovers are calculated. The evidence suggests that the level of correlation between stock return shocks of Central and Eastern European countries increased significantly in the period of financial turmoil and was high in the period of the US sub-prime crisis, as well as during the euro area sovereign debt crisis. After the announcement of the OMT (Outright Monetary Transactions) program, the evolution of the stock market indices in Central and Eastern Europe countries (CEECs) have followed different paths. An analysis of the volatility spillovers indicates that CEECs are the recipients of volatility. In the period of 2004–2019, they received much volatility—from Germany and the US, in particular. They also received much volatility from Spain during the euro area sovereign debt crisis. After 2012, volatility transmission to Poland, the Czech Republic, and Hungary dropped significantly.

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Post-communist countries of the EU and the euro: Dynamic linkages between exchange rates

Acta Oeconomica ◽

10.1556/032.2017.67.4.2 ◽

2017 ◽

Vol 67 (4) ◽

pp. 511-538 ◽

Cited By ~ 3

Author(s):

Nikolaos Stoupos ◽

Apostolos Kiohos

Keyword(s):

Czech Republic ◽

Exchange Rates ◽

Euro Area ◽

Sovereign Debt ◽

Debt Crisis ◽

Monetary Integration ◽

The Czech Republic ◽

The Impact ◽

The Eu ◽

Dynamic Linkages

The sovereign debt crisis of 2010 in the euro area significantly decelerated the monetary integration of the EU. The main purpose of this paper is to explore whether five post-communist member states of the EU are mature enough to adopt the euro. We used nominal exchange rates in the error correction model with asymmetric power ARCH (ECM-APARCH). Our results highlight that EU membership positively increased the impact of the euro on the currency of each of these countries in the short-run. In contrast, the long-term effect of the euro on each currency is negative for the Czech Republic, Hungary, and Croatia. Wholly different results were obtained for Poland and Romania. The APARCH model showed that the negative responses of the euro had a greater or neutral effect on the conditional variance of each currency instead of the positive responses. The debt crisis of the euro area had no impact on the dynamic linkages between the currencies. Our research concludes that Croatia, the Czech Republic, and Hungary are not ready to join the euro area in the near future. On the other hand, the currencies of Poland and Romania are already aligned with the fluctuations of the euro.

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The Impact of the Sovereign Debt Crisis on Bank Lending Rates in the Euro Area

SSRN Electronic Journal ◽

10.2139/ssrn.2284804 ◽

2013 ◽

Cited By ~ 16

Author(s):

Stefano Neri

Keyword(s):

Euro Area ◽

Sovereign Debt ◽

Debt Crisis ◽

Bank Lending ◽

Sovereign Debt Crisis ◽

Lending Rates ◽

The Impact

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Eurobonds: Three Lessons from China’s “Debt Centralization/Decentralization” Experience

The Economists Voice ◽

10.1515/ev-2020-0020 ◽

2021 ◽

Vol 0 (0) ◽

Author(s):

Zhiyong An

Keyword(s):

Moral Hazard ◽

Euro Area ◽

Sovereign Debt ◽

Debt Crisis ◽

Budget Constraint ◽

Sovereign Debt Crisis ◽

The European Union ◽

Member States ◽

Institutional Mechanism ◽

Previous Series

Abstract Eurobonds, dubbed as Coronabonds in the context of the current coronavirus crisis, are being hotly debated among the euro area member states amid the COVID-19 pandemic. The debate is in many ways a retread of the euro area sovereign debt crisis of 2011–2012. As China’s “debt centralization/decentralization” experience is comparable with the introduction of Eurobonds in the European Union (EU) in terms of institutional mechanism design, we review our previous series of studies of China’s “debt centralization/decentralization” experience to shed some light on the Eurobonds debate. We obtain three key lessons. First, the introduction of Eurobonds in EU is likely to soften the budget constraint of the governments of the euro area member states. Second, it is also likely to strengthen the moral hazard incentives of the governments of the euro area member states to intentionally overstate their budget problems. Finally, the magnitudes of the moral hazard effects generated by the introduction of Eurobonds in EU are likely larger than their respective counterparts in China.

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