Banking and Financial Markets in Central and Eastern Europe 20 Years of Transition

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ISBN: 9780230231689 | 0230231683
Cover: Hardcover
Copyright: 12/15/2010

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This book provides a deep insight into the market changes and policy challenges that transition economies have undergone in the last twenty years. It not only comments on and evaluates the development of financial markets in transition economies, but also highlights the key obstacles to full integration of financial markets into the EU market.

List of Figures and Tables	p. x
Notes on Contributors	p. xiv
Introduction	p. 1
The Spread of the Financial Crisis to Central and Eastern Europe: Evidence from the BIS Data	p. 5
Introduction	p. 5
Build-up of vulnerabilities	p. 6
The crisis spreads	p. 10
Impact on capital flows	p. 15
Is this crisis different?	p. 18
Looking ahead	p. 23
Are Product Market Structures Affected by Banking Concentration: Evidence from Transition Countries	p. 32
Introduction	p. 32
Methodology and econometric model	p. 33
Data description	p. 35
Results	p. 39
The benchmark model	p. 39
Outliers	p. 41
Institutional variables	p. 42
Cross-border loans	p. 43
Market size	p. 44
Delayed effects and correlation vs. causation	p. 44
UNIDO dataset	p. 45
Structural break	p. 46
Conclusion	p. 47
Financing Constraints, Credit, Rationing, and Financing Obstacles: Evidence from Firm Level Data in South Eastern Europe	p. 62
Introduction	p. 62
Review of the Literature	p. 63
Credit rationing and financing constraints: The theory	p. 63
The empirical literature	p. 65
Financing constraints, credit rationing and financing obstacles in SEE	p. 68
The empirical framework	p. 68
Data and Models	p. 70
Results	p. 72
Financing constraints: reliance on Internal Funds and Bank Loans	p. 72
Testing for credit rationing: rejected and discouraged applicants	p. 79
The importance of financing obstacles for firms' operation and growth	p. 85
Conclusions and policy implications	p. 90
Efficiency, Persistence and Predictability of Central European Stock Markets	p. 98
Introduction	p. 98
Long-range dependence	p. 99
Hurst exponent estimation and market efficiency	p. 100
Classical and modified rescaled range analyses	p. 100
Detrended fluctuation analysis	p. 102
Hurst exponent and market efficiency	p. 102
Data	p. 103
Results	p. 105
Global dependence	p. 105
Monte Carlo simulations	p. 106
Time-varying dependence	p. 107
Predictability test	p. 113
Conclusion	p. 115
Non-Linear Stock Market Co-Movement in Central and East European Countries	p. 119
Introduction	p. 119
Data and summary statistics	p. 122
Econometric approach	p. 124
Empirical results	p. 126
Full sample	p. 126
Time-varying results	p. 130
Conclusions	p. 134
Cross-Country Versus Cross-Regional Convergence in the European Union: An Empirical Exploration	p. 139
Introduction	p. 139
The basic issues in growth and convergence debates	p. 140
The Solow-Swan model and the convergence debate: A brief theoretical review	p. 142
The absolute and relative convergence hypotheses	p. 144
Empirical specifications	p. 146
A brief review of previous empirical research	p. 148
Data description, samples and results	p. 150
Cross-country convergence across EU members	p. 150
Cross-regional convergence in the European Union	p. 154
The absence of a 'trickle-down effect' in regional convergence: country-by-country case	p. 154
Conclusion	p. 156
Price- and News-Based Measures of Financial Integration among New EU Member States and the Euro Area	p. 161
Introduction	p. 161
Financial integration: Concept and evidence	p. 163
Indicators of financial integration	p. 163
Evidence from the key segments of the financial system	p. 164
Price-based measures of financial integration	p. 166
ß-convergence	p. 166
¿-convergence	p. 167
News-based measures of financial integration	p. 167
Data	p. 169
Results	p. 169
Price-based measures of financial integration	p. 169
News-based measures of financial integration	p. 173
Conclusion	p. 175
Exports and Economic Growth of East European Economies, 1996-2007	p. 179
Introduction	p. 179
Literature review	p. 181
Model	p. 187
Data and analysis	p. 188
Panel data analysis	p. 191
Fixed-effect model	p. 191
Between estimators	p. 192
Error component model	p. 193
Conclusions	p. 194
Inflation Convergence in the New EU Member States from Central and Eastern Europe	p. 197
Introduction	p. 197
Empirical studies on inflation convergence: A selective review	p. 199
Methodology	p. 201
Data and empirical results	p. 206
The inflation convergence record: A look at potential explanatory factors	p. 220
Concluding remarks	p. 223
Persistent Differential Inflation Rates in the New Euro Member Countries: The Phillips Curve before and after Adopting the Euro	p. 229
Introduction	p. 229
The Phillips curve before adopting the euro	p. 232
Price levels and the Phillips curve after adopting the euro	p. 234
The law of one price and comparative price levels in a heterogeneous monetary union	p. 234
The convergence of price levels between old euro area member countries	p. 235
The convergence of the price levels of new EU member countries	p. 237
The Phillips curve after adopting the euro	p. 238
The comparative price level gap due to Balassa's developmental and structural effect	p. 239
Differential inflation due to economic development reasons	p. 239
Differential inflation as a result of differential growth rates	p. 241
The Phillips curve of the differential inflation rate	p. 243
Managed comparative price levels: The Samuelson effect	p. 244
Differential inflation due to comparative unit labour costs (ULC)	p. 245
The Phillips curve of a managed differential inflation rate	p. 246
Policy implications and discussion	p. 246
Conclusions	p. 249
Implications of Volatility for Uncovered Interest Parity Testing	p. 253
Introduction	p. 253
Data and research methodology	p. 254
Short review of empirical evidences from testing CIP and UIP	p. 255
OLS regressions	p. 259
High volatility episodes and uncovered interest parity	p. 260
The regime-switching models	p. 261
Results	p. 262
Results of OLS analysis	p. 262
High volatility implications for UIP validation	p. 264
Results of Markov-switching models	p. 264
Concluding remarks	p. 272
Index	p. 276
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Banking and Financial Markets in Central and Eastern Europe 20 Years of Transition

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