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Pregled bibliografske jedinice broj: 1075970

Financial Linkages and Shock Spillovers in the Countries of Central, Eastern, and South-Eastern Europe: Evidence From a Global Macroeconometric Model

Jakšić, Saša
Financial Linkages and Shock Spillovers in the Countries of Central, Eastern, and South-Eastern Europe: Evidence From a Global Macroeconometric Model // Recent Applications of Financial Risk Modelling and Portfolio Management / Škrinjarić, Tihana ; Čižmešija, Mirjana ; Christiansen, Bryan (ur.).
Hershey (PA): IGI Global, 2021. str. 127-153 doi:10.4018/978-1-7998-5083-0.ch007

CROSBI ID: 1075970 Za ispravke kontaktirajte CROSBI podršku putem web obrasca

Naslov
Financial Linkages and Shock Spillovers in the Countries of Central, Eastern, and South-Eastern Europe: Evidence From a Global Macroeconometric Model

Autori
Jakšić, Saša

Vrsta, podvrsta i kategorija rada
Poglavlja u knjigama, ostalo

Knjiga
Recent Applications of Financial Risk Modelling and Portfolio Management

Urednik/ci
Škrinjarić, Tihana ; Čižmešija, Mirjana ; Christiansen, Bryan

Izdavač
IGI Global

Grad
Hershey (PA)

Godina
2021

Raspon stranica
127-153

ISBN
9781799850847

Ključne riječi
GVAR Model, Generalized Impulse Response Functions, Generalized Forecasting Error Variance Decomposition, Impact Elasticities, Stock Markets, Macroeconomic Variables, Weight Matrix, VARX* Models

Sažetak
At the start of the third decade of the 21st century, the countries of Central, Eastern, and South-Eastern Europe (CESEE) are still lagging behind ‘old’ EU Member States in regards to various macroeconomic and social indicators. This is particularly evident when considering the development of the financial sector, especially the non-banking part. This chapter focuses on the stock markets of eleven CESEE countries and analyzes potential macroeconomic factors that contribute to explaining the dynamics of real equity prices. To account for cross-country linkages and potential spillovers, global vector autore-gressive (GVAR) methodology is applied. The estimated impact elasticities enabled the pinpointing of CESEE countries with stronger linkages to foreign stock markets. Generalized impulse response func-tions indicated the existence of statistically significant spillovers, the strongest spillovers coming from the German stock market. The empirical results also showed spillovers from CESEE countries’ stock markets, bond markets, as well as from real shocks.

Izvorni jezik
Engleski

Znanstvena područja
Ekonomija



POVEZANOST RADA

Ustanove:
Ekonomski fakultet, Zagreb

Profili:

Avatar Url Saša Jakšić (autor)

Poveznice na cjeloviti tekst rada:

doi www.igi-global.com

Citiraj ovu publikaciju:

Jakšić, Saša
Financial Linkages and Shock Spillovers in the Countries of Central, Eastern, and South-Eastern Europe: Evidence From a Global Macroeconometric Model // Recent Applications of Financial Risk Modelling and Portfolio Management / Škrinjarić, Tihana ; Čižmešija, Mirjana ; Christiansen, Bryan (ur.).
Hershey (PA): IGI Global, 2021. str. 127-153 doi:10.4018/978-1-7998-5083-0.ch007
Jakšić, S. (2021) Financial Linkages and Shock Spillovers in the Countries of Central, Eastern, and South-Eastern Europe: Evidence From a Global Macroeconometric Model. U: Škrinjarić, T., Čižmešija, M. & Christiansen, B. (ur.) Recent Applications of Financial Risk Modelling and Portfolio Management. Hershey (PA), IGI Global, str. 127-153 doi:10.4018/978-1-7998-5083-0.ch007.
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@inbook{inbook, author = {Jak\v{s}i\'{c}, Sa\v{s}a}, year = {2021}, pages = {127-153}, DOI = {10.4018/978-1-7998-5083-0.ch007}, keywords = {GVAR Model, Generalized Impulse Response Functions, Generalized Forecasting Error Variance Decomposition, Impact Elasticities, Stock Markets, Macroeconomic Variables, Weight Matrix, VARX\ast Models}, doi = {10.4018/978-1-7998-5083-0.ch007}, isbn = {9781799850847}, title = {Financial Linkages and Shock Spillovers in the Countries of Central, Eastern, and South-Eastern Europe: Evidence From a Global Macroeconometric Model}, keyword = {GVAR Model, Generalized Impulse Response Functions, Generalized Forecasting Error Variance Decomposition, Impact Elasticities, Stock Markets, Macroeconomic Variables, Weight Matrix, VARX\ast Models}, publisher = {IGI Global}, publisherplace = {Hershey (PA)} }

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