The Dynamics of Deposit Euroization in European Post-transition Countries: Evidence from Threshold VAR

Marina Tkalec

No 1102, Working Papers from The Institute of Economics, Zagreb

Abstract: This paper investigates determinants of deposit euroization (DE) in twelve European post-transition economies using both linear and threshold models. Results suggest that exchange rates and interest rate differentials are important for explaining DE. Results for the two countries with the highest macroeconomic and institutional credibility and flexible exchange rate regimes, the Czech Republic and Poland, suggest no evidence of threshold effects, while for other countries threshold behavior was found. Threshold VAR results indicate depreciations have a stronger effect on DE than appreciations, while interest rate spreads widen more after exchange rate depreciations than after appreciations. Moreover, we found evidence that DE changes more strongly after interest rate differentials increase than after they decrease.

Keywords: cointegration; deposit euroization; transition; threshold VAR (search for similar items in EconPapers)
JEL-codes: C32 E44 E58 F31 F41 (search for similar items in EconPapers)
Pages: 38 pages
Date: 2011-11
New Economics Papers: this item is included in nep-eec and nep-tra
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

Downloads: (external link)
https://hrcak.srce.hr/file/110823 (application/pdf)

Related works:
Journal Article: The Dynamics of Deposit Euroization in European Post-Transition Countries: Evidence from Threshold VAR (2013)
Journal Article: The Dynamics of Deposit Euroization in European Post-transition Countries: Evidence from Threshold VAR (2012)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:iez:wpaper:1102

Access Statistics for this paper

More papers in Working Papers from The Institute of Economics, Zagreb Contact information at EDIRC.
Bibliographic data for series maintained by Doris Banicevic ().