CONTAGION OF FINANCIAL CRISES WITH SPECIAL EMPHASIS ON CEE ECONOMIES: A METAANALYSIS

Andres Kuusk and Tiiu Paas

No 66, University of Tartu - Faculty of Economics and Business Administration Working Paper Series from Faculty of Economics and Business Administration, University of Tartu (Estonia)

Abstract: The paper offers new insights on the subject of financial contagion using a meta-analysis methodology and paying particular attention to the transition economies of Central and Eastern Europe (CEE). The results show that on average, asset market correlations have increased during turbulent periods, but the increase is rather moderate. When correlation coefficients are adjusted for the presence of heteroscedasticity, the increase is considerably smaller, but still statistically significant. The crises have been more and less contagious, but the level of development of the chosen afflicted country seems not to have played a significant role in determining whether crises spread there or not. Transition economies in CEE have on average been somewhat less susceptible to financial contagion than the sample as a whole, but the increase in the asset prices correlation during times of crisis is statistically insignificant. Interestingly, the financial contagion ‘snowball’ seems to have affected the CEE transition economies most after crises in the US rather than one in Russia or the Czech Republic.

Keywords: financial contagion; meta-analysis (search for similar items in EconPapers)
Pages: 46 pages
Date: 2010
New Economics Papers: this item is included in nep-tra
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Citations: View citations in EconPapers (1)

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