Cross-Border Contagion: An Empirical Analysis of the Current Financial Crisis in Central and Eastern Europe
| Author: | Mgr. Kristýna Žáková |
|---|---|
| Year: | 2011 - winter |
| Leaders: | doc. PhDr. Adam Geršl Ph.D. |
| Consultants: | |
| Work type: | Finance, Financial Markets and Banking Masters |
| Language: | English |
| Pages: | 71 |
| Awards and prizes: | M.A. with distinction from the Dean of the Faculty of Social Sciences for an excellent state-final examination performance. |
| Link: | |
| Abstract: | The objective of this thesis is to examine cross-border contagion e ects during the 2007-09 crisis in Central and Eastern Europe (CEE) and from all the possible propagation channels, it chooses to focus on cross-border bank loans. It tries to discover which global and local factors had signi cant in uence on the changes in bank loans from banks in source (lending) countries to banks, as well as households, corporations and government in host (borrowing) countries. The main research method is a panel data regression model. The empirical results suggest that both local and global factors had in u- ence on the changes in cross-border loans, i.e. helped to spread the 2007-09 crisis to CEE. The signi cant local factors were macroeconomic and nancial characteristics of both source and host countries, such as their GDP growth dif- ferential, interest rate di erential, FDI, or pro tability and health of the banking sector. The signi cant global factors were the expected market volatility and investors' risk appetite/aversion which was an indicator of \pure" contagion. The main contribution of this thesis lies in its focus on CEE and the analysis of investors' behavior based on their changing risk appetite. |
| Downloadable: | Master´s Thesis Žáková |
