Naslov
Financial eurization in Croatia and its (non)linear pattern behaviour

Autori
Bošnjak, Mile

Izvornik
Croatian Operational Research Review (1848-0225) 9 (2018), 1; 51-62

Vrsta, podvrsta i kategorija rada
Radovi u časopisima, članak, znanstveni

Ključne riječi
financial eurization ; time series ; nonlinearity ; threshold autoregression ; Markov switching

Sažetak
The phenomenon of financial eurization is prominent in the region of south eastern European countries. This paper examines the phenomenon in Croatia focusing on the liability side of the banking system. Using monthly data from January 1997 to November 2015 univariate time series models are estimated and evaluated. Following research results in this paper nonlinear model specifications outperform ARMA(3, 0, 0) in explaining financial eurization pattern behavior in Croatia. The research results revealed nonlinear and threshold dependent dynamics of eurization dynamics in Croatia. Empirical evidence out of this paper points out on persistent eurization with hysteresis indicating the need to achieve overall macroeconomic stability in order to resolve the existing phenomenon of financial eurization in Croatia.

Izvorni jezik
Engleski

Znanstvena područja
Ekonomija

POVEZANOST RADA