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

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

Saša Jakšić
Copyright: © 2021 |Pages: 27
ISBN13: 9781799850830|ISBN10: 1799850838|ISBN13 Softcover: 9781799854111|EISBN13: 9781799850847
DOI: 10.4018/978-1-7998-5083-0.ch007
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MLA

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, edited by Tihana Škrinjarić, et al., IGI Global, 2021, pp. 127-153. https://doi.org/10.4018/978-1-7998-5083-0.ch007

APA

Jakšić, S. (2021). Financial Linkages and Shock Spillovers in the Countries of Central, Eastern, and South-Eastern Europe: Evidence From a Global Macroeconometric Model. In T. Škrinjarić, M. Čižmešija, & B. Christiansen (Eds.), Recent Applications of Financial Risk Modelling and Portfolio Management (pp. 127-153). IGI Global. https://doi.org/10.4018/978-1-7998-5083-0.ch007

Chicago

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

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Abstract

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 autoregressive (GVAR) methodology is applied. The estimated impact elasticities enabled the pinpointing of CESEE countries with stronger linkages to foreign stock markets. Generalized impulse response functions 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.

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