BOFIT Discussion Papers, Institute for Economies in Transition, Bank of Finland
No 6/2014:
The impact of institutional volatility on financial volatility in transition economies: a GARCH family approach
Christopher A. Hartwell ()
Abstract: The volatility of financial markets has been a relevant
topic for transition economies, as the countries of Central and Eastern
Europe and the former Soviet Union have seemingly endured high levels of
volatility in their financial sectors during the transition process. But
what have been the determinants of this financial volatility? This paper
posits that institutional changes, and in particular the volatility of
various crucial institutions, have been the major causes of financial
volatility in transition. Examining 20 transition economies over various
time-frames within the period 1993–2012, this paper applies the GARCH
family of models to examine financial volatility as a function of
institutional volatility. The results from the EGARCH and TGARCH modelling
supports the thesis that more advanced and more stable institutions help to
dampen financial sector volatility at their levels, while institutional
volatility feeds through directly to financial sector volatility in
transition.
Keywords: institutions; financial sector; volatility; transition; GARCH; EGARCH; TGARCH; (follow links to similar papers)
JEL-Codes: G20; O43; P30; (follow links to similar papers)
63 pages, February 13, 2014
Before downloading any of the electronic versions below
you should read our statement on
copyright.
Download GhostScript
for viewing Postscript files and the
Acrobat Reader for viewing and printing pdf files.
Full text versions of the paper:
dp0614.pdf 
Download Statistics
Questions (including download problems) about the papers in this series should be directed to Päivi Määttä ()
Report other problems with accessing this service to Sune Karlsson ()
or Helena Lundin ().
Programing by
Design by Joachim Ekebom
