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

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  • Bošnjak Mile
  • Kordić Gordana
  • Bilas Vlatka

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.

Suggested Citation

  • Bošnjak Mile & Kordić Gordana & Bilas Vlatka, 2018. "Determinants Of Financial Euroisation In A Small Open Economy: The Case Of Serbia," Economic Annals, Faculty of Economics and Business, University of Belgrade, vol. 63(218), pages 9-22, July – Se.
    • Handle: RePEc:beo:journl:v:63:y:2018:i:218:p:9-22
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    Cited by:

    1. Miroljub Labus, 2020. "Transition And Post-Conflict Macroeconomic Policies In Serbia," Economic Annals, Faculty of Economics and Business, University of Belgrade, vol. 65(226), pages 73-102, July – Se.
    2. Bošnjak Mile, 2019. "Determinants of Current Account in Cases of Serbia and Romania: Time-Varying Parameters Approach," South East European Journal of Economics and Business, Sciendo, vol. 14(1), pages 21-33, June.

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    More about this item

    Keywords

    financial euroisation; ARCH; volatility; Serbia;
    All these keywords.

    JEL classification:

    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • F32 - International Economics - - International Finance - - - Current Account Adjustment; Short-term Capital Movements

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