Naslov
The dynamics of deposit euroization in European post-transition countries: evidence from threshold VAR

Autori
Tkalec, Marina

Izvornik
EIZ-WP-1102

Vrsta, podvrsta
Ostale vrste radova, ostalo

Godina
2011

Ključne riječi
cointegration; deposit euroization; transition; threshold VAR

Sažetak
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 behaviour 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.

Izvorni jezik
Engleski

Znanstvena područja
Ekonomija

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