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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: © 2023 |Pages: 25
ISBN13: 9781668474600|ISBN10: 1668474603|EISBN13: 9781668474617
DOI: 10.4018/978-1-6684-7460-0.ch023
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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." Research Anthology on Macroeconomics and the Achievement of Global Stability, edited by Information Resources Management Association, IGI Global, 2023, pp. 407-431. https://doi.org/10.4018/978-1-6684-7460-0.ch023

APA

Jakšić, S. (2023). Financial Linkages and Shock Spillovers in the Countries of Central, Eastern, and South-Eastern Europe: Evidence From a Global Macroeconometric Model. In I. Management Association (Ed.), Research Anthology on Macroeconomics and the Achievement of Global Stability (pp. 407-431). IGI Global. https://doi.org/10.4018/978-1-6684-7460-0.ch023

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 Research Anthology on Macroeconomics and the Achievement of Global Stability, edited by Information Resources Management Association, 407-431. Hershey, PA: IGI Global, 2023. https://doi.org/10.4018/978-1-6684-7460-0.ch023

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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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