Banking contagion under different exchange rate regimes in CEE

Gábor Kutasi ()
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Gábor Kutasi: Corvinus University of Budapest, Department of World Economy, Budapest, Hungary

Society and Economy, 2015, vol. 37, issue 1, 109-127

Abstract: The global crisis of 2008 caused both liquidity shortage and increasing insolvency in the banking system. The study focuses on credit default contagion in the Central and Eastern European (CEE) region, which originated in bank runs generated by non-performing loans granted to non-financial clients. In terms of methodology, the paper relies on the one hand on review of the literature, and on the other hand on a data survey with comparative and regression analysis. To uncover credit default contagion, the research focuses on the combined impact of foreign exchange rates and foreign private indebtedness.

Keywords: financial contagion; banking; Central and Eastern Europe; foreign exchange rate; non-performing loan (search for similar items in EconPapers)
JEL-codes: F31 F37 G17 G21 G33 (search for similar items in EconPapers)
Date: 2015
Note: The research was financed by the 530069-LLP-1-2012-1-CZ-AJM-RE Jean Monnet LLP project, the TAMOP 4.2.4.A/2-11-1-2012-0001 National Excellence Program (co-financed by the EU, Hungary and the ESF), and by the Bolyai Janos Scholarship of the Hungarian Academy of Science.
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