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Is exchange-market pressure contagious among transition economies?

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  • Scott Hegerty

Abstract

The recent financial crisis led to such macroeconomic turmoil in transition economies that the ability of some countries to maintain their euro pegs was called into question. Others, such as Russia and Ukraine, were forced to devalue their currencies. How likely is it that one country's crisis could spread to its neighbours? To answer this question, monthly indices of Exchange Market Pressure (EMP) are constructed for seven transition economies. Impulse-Response functions and other tests show that Russia is a less likely source of a contagious currency crisis than are smaller, more advanced euro candidates such as Hungary.

Suggested Citation

  • Scott Hegerty, 2011. "Is exchange-market pressure contagious among transition economies?," Applied Financial Economics, Taylor & Francis Journals, vol. 21(10), pages 707-716.
    • Handle: RePEc:taf:apfiec:v:21:y:2011:i:10:p:707-716
    DOI: 10.1080/09603107.2010.535788
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    Cited by:

    1. Scott W. Hegerty, 2015. "Time-Varying Versus Fixed Weights in Exchange-Market Pressure Indices: Evidence From Tests Using Latin American Data," Bulletin of Applied Economics, Risk Market Journals, vol. 2(1), pages 21-36.
    2. Hegerty, Scott W., 2012. "Money market pressure in emerging economies: International contagion versus domestic determinants," Economic Systems, Elsevier, vol. 36(4), pages 506-521.
    3. Scott W. Hegerty, 2014. "Measuring Exchange Market Pressure and Its Contagion in the East African Community," South African Journal of Economics, Economic Society of South Africa, vol. 82(2), pages 239-257, June.
    4. Scott W. Hegerty, 2014. "Interest-rate volatility and volatility transmission in nine Latin American countries," Applied Financial Economics, Taylor & Francis Journals, vol. 24(13), pages 927-937, July.
    5. Scott William Hegerty, 2013. "Principal component measures of exchange market pressure: comparisons with variance-weighted measures," Applied Financial Economics, Taylor & Francis Journals, vol. 23(18), pages 1483-1495, September.
    6. Scott W. Hegerty, 2012. "How integrated are the exchange markets of the Baltic Sea Region? An examination of market pressure and its contagion," Baltic Journal of Economics, Baltic International Centre for Economic Policy Studies, vol. 12(2), pages 109-122, December.

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