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Market Measures of Convergence in Central & Eastern Europe Emerging Markets in the Period of Turbulences on the Financial Market

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  • Piotr Mielus

Abstract

The article presents measures of convergence that can be implied from the prices of instruments quoted on the financial market. Investors pricing off-balance instruments on the derivatives market reveal their sentiment and level of confidence related to the stability and development of the local market. Author proposes the following measures of convergence observed both on interest rate and currency market: convergence (forward) spread, basis swap, asset swap, credit default swap, zero-delta straddle, risk reversal, butterfly and currency spread. The financial crises of 2008–10 brought deconvergence processes visible not only on emerging markets but also in some developed eurozone countries. The presented derivative instruments offer valuable information for all market analysts showing the level of convergence perceived by active market participants.

Suggested Citation

  • Piotr Mielus, 2012. "Market Measures of Convergence in Central & Eastern Europe Emerging Markets in the Period of Turbulences on the Financial Market," Ekonomia journal, Faculty of Economic Sciences, University of Warsaw, vol. 31.
    • Handle: RePEc:eko:ekoeko:31_3
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    File URL: http://ekonomia.wne.uw.edu.pl/ekonomia/getFile/349
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    References listed on IDEAS

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