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Financial integration and currency risk premium in CEECs: evidence from the ICAPM

Salem Boubakri () and Cyriac Guillaumin ()

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Abstract: This paper aims to study the Central and Eastern European Countries' (CEECs) dynamics of financial integration in the euro area with the prospect of their integration into the European Monetary Union. Our empirical analysis is based, successively, on a MGARCH model with time-varying correlations, a state-space model and a Markov-switching model. The results show that financial integration (i) is not perfect but is increasing and (ii) is linked to currency stability. The growing financial integration in 2007-2009 seems to be rather the result of the shock propagated by the global crisis.

Keywords: zone euro; modèle; modélisation; intégration financière; zone monétaire; politique monétaire; pays de l'est; euro area; model; financial integration; Central and Eastern European Countries (search for similar items in EconPapers)
Date: 2011
Note: View the original document on HAL open archive server: https://halshs.archives-ouvertes.fr/halshs-00639224
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Published in Emerging Markets Review, Elsevier, 2011, 12 (4), pp.460-484

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