Loading…

Financial integration and currency risk premium in CEECs: Evidence from the ICAPM

This paper aims to study the Central and Eastern European Countries' (CEECs) dynamics of financial integration in the euro area with the prospect of their integration into the European Monetary Union. Our empirical analysis is based, successively, on a MGARCH model with time-varying correlation...

Full description

Saved in:

Bibliographic Details
Published in:	Emerging markets review 2011-12, Vol.12 (4), p.460-484
Main Authors:	Boubakri, Salem, Guillaumin, Cyriac
Format:	Article
Language:	English
Subjects:	CEECs CEECs Euro area Currency risk premium Financial integration International Capital Asset Pricing Model (ICAPM) Currency risk premium Economic models Economic theory Economics and Finance Emerging markets Euro area European Monetary Union Financial integration Humanities and Social Sciences Integration International Capital Asset Pricing Model (ICAPM) Studies
Citations:	Items that this one cites Items that cite this one
Online Access:	Get full text
Tags:	Add Tag No Tags, Be the first to tag this record!

cited_by	cdi_FETCH-LOGICAL-c566t-9d5b0605c197512ca508c00c35fb2dac1c366010161ad589116f3935ebd8d7e93
cites	cdi_FETCH-LOGICAL-c566t-9d5b0605c197512ca508c00c35fb2dac1c366010161ad589116f3935ebd8d7e93
container_end_page	484
container_issue	4
container_start_page	460
container_title	Emerging markets review
container_volume	12
creator	Boubakri, Salem Guillaumin, Cyriac
description	This paper aims to study the Central and Eastern European Countries' (CEECs) dynamics of financial integration in the euro area with the prospect of their integration into the European Monetary Union. Our empirical analysis is based, successively, on a MGARCH model with time-varying correlations, a state-space model and a Markov-switching model. The results show that financial integration (i) is not perfect but is increasing and (ii) is linked to currency stability. The growing financial integration in 2007–2009 seems to be rather the result of the shock propagated by the global crisis.
doi_str_mv	10.1016/j.ememar.2011.08.001
format	article
fullrecord	<record><control><sourceid>proquest_hal_p</sourceid><recordid>TN_cdi_hal_primary_oai_HAL_halshs_00639224v1</recordid><sourceformat>XML</sourceformat><sourcesystem>PC</sourcesystem><els_id>S1566014111000483</els_id><sourcerecordid>2500163101</sourcerecordid><originalsourceid>FETCH-LOGICAL-c566t-9d5b0605c197512ca508c00c35fb2dac1c366010161ad589116f3935ebd8d7e93</originalsourceid><addsrcrecordid>eNp9kE2P0zAQhiMEEsvCP-BgcSZhJk5chwPSquqyrIoACc6Wa0-oS_OBnVbqv98JQXtcS-Ox7GdevzNZ9hahQED14VBQR52NRQmIBegCAJ9lV6hXMle4ks_5XCuVA1b4MnuV0oEBVQFeZT9uQ297F-xRhH6i39FOYeiF7b1wpxipdxcRQ_ojxkhdOHVMifVms04fxeYcPL-TaOPQiWlP4sv65vvX19mL1h4Tvfmfr7Nft5uf67t8--0zA9vcsZUpb3y9AwW1w2ZVY-lsDdoBOFm3u9Jbh04qBXN7aH2tG0TVykbWtPPar6iR19n7RXdvj2aMgfu_mMEGc3ezNXyX9skAKNmUZXVGxt8t-BiHvydKkzkMp9gzZxpAiaC1ZKhaIBeHlCK1j8IIZvZiDmYZtZlHbUDzF7P2_VIWaST3WEO8FvhspMWStwvHv0rJRqWtOMY5KzCVrsx-6ljs0yJGPLxzoGiSC_OcfYjkJuOH8LSbB8axn3U</addsrcrecordid><sourcetype>Open Access Repository</sourcetype><iscdi>true</iscdi><recordtype>article</recordtype><pqid>901310883</pqid></control><display><type>article</type><title>Financial integration and currency risk premium in CEECs: Evidence from the ICAPM</title><source>ScienceDirect Freedom Collection</source><creator>Boubakri, Salem ; Guillaumin, Cyriac</creator><creatorcontrib>Boubakri, Salem ; Guillaumin, Cyriac</creatorcontrib><description>This paper aims to study the Central and Eastern European Countries' (CEECs) dynamics of financial integration in the euro area with the prospect of their integration into the European Monetary Union. Our empirical analysis is based, successively, on a MGARCH model with time-varying correlations, a state-space model and a Markov-switching model. The results show that financial integration (i) is not perfect but is increasing and (ii) is linked to currency stability. The growing financial integration in 2007–2009 seems to be rather the result of the shock propagated by the global crisis.</description><identifier>ISSN: 1566-0141</identifier><identifier>EISSN: 1873-6173</identifier><identifier>DOI: 10.1016/j.ememar.2011.08.001</identifier><language>eng</language><publisher>Amsterdam: Elsevier B.V</publisher><subject>CEECs ; CEECs Euro area Currency risk premium Financial integration International Capital Asset Pricing Model (ICAPM) ; Currency risk premium ; Economic models ; Economic theory ; Economics and Finance ; Emerging markets ; Euro area ; European Monetary Union ; Financial integration ; Humanities and Social Sciences ; Integration ; International Capital Asset Pricing Model (ICAPM) ; Studies</subject><ispartof>Emerging markets review, 2011-12, Vol.12 (4), p.460-484</ispartof><rights>2011 Elsevier B.V.</rights><rights>Copyright © 2011 Elsevier B.V. All rights reserved.</rights><rights>Distributed under a Creative Commons Attribution 4.0 International License</rights><lds50>peer_reviewed</lds50><woscitedreferencessubscribed>false</woscitedreferencessubscribed><citedby>FETCH-LOGICAL-c566t-9d5b0605c197512ca508c00c35fb2dac1c366010161ad589116f3935ebd8d7e93</citedby><cites>FETCH-LOGICAL-c566t-9d5b0605c197512ca508c00c35fb2dac1c366010161ad589116f3935ebd8d7e93</cites></display><links><openurl>$$Topenurl_article</openurl><openurlfulltext>$$Topenurlfull_article</openurlfulltext><thumbnail>$$Tsyndetics_thumb_exl</thumbnail><link.rule.ids>230,314,776,780,881,27901,27902</link.rule.ids><backlink>$$Uhttp://econpapers.repec.org/article/eeeememar/v_3a12_3ay_3a2011_3ai_3a4_3ap_3a460-484.htm$$DView record in RePEc$$Hfree_for_read</backlink><backlink>$$Uhttps://shs.hal.science/halshs-00639224$$DView record in HAL$$Hfree_for_read</backlink></links><search><creatorcontrib>Boubakri, Salem</creatorcontrib><creatorcontrib>Guillaumin, Cyriac</creatorcontrib><title>Financial integration and currency risk premium in CEECs: Evidence from the ICAPM</title><title>Emerging markets review</title><description>This paper aims to study the Central and Eastern European Countries' (CEECs) dynamics of financial integration in the euro area with the prospect of their integration into the European Monetary Union. Our empirical analysis is based, successively, on a MGARCH model with time-varying correlations, a state-space model and a Markov-switching model. The results show that financial integration (i) is not perfect but is increasing and (ii) is linked to currency stability. The growing financial integration in 2007–2009 seems to be rather the result of the shock propagated by the global crisis.</description><subject>CEECs</subject><subject>CEECs Euro area Currency risk premium Financial integration International Capital Asset Pricing Model (ICAPM)</subject><subject>Currency risk premium</subject><subject>Economic models</subject><subject>Economic theory</subject><subject>Economics and Finance</subject><subject>Emerging markets</subject><subject>Euro area</subject><subject>European Monetary Union</subject><subject>Financial integration</subject><subject>Humanities and Social Sciences</subject><subject>Integration</subject><subject>International Capital Asset Pricing Model (ICAPM)</subject><subject>Studies</subject><issn>1566-0141</issn><issn>1873-6173</issn><fulltext>true</fulltext><rsrctype>article</rsrctype><creationdate>2011</creationdate><recordtype>article</recordtype><recordid>eNp9kE2P0zAQhiMEEsvCP-BgcSZhJk5chwPSquqyrIoACc6Wa0-oS_OBnVbqv98JQXtcS-Ox7GdevzNZ9hahQED14VBQR52NRQmIBegCAJ9lV6hXMle4ks_5XCuVA1b4MnuV0oEBVQFeZT9uQ297F-xRhH6i39FOYeiF7b1wpxipdxcRQ_ojxkhdOHVMifVms04fxeYcPL-TaOPQiWlP4sv65vvX19mL1h4Tvfmfr7Nft5uf67t8--0zA9vcsZUpb3y9AwW1w2ZVY-lsDdoBOFm3u9Jbh04qBXN7aH2tG0TVykbWtPPar6iR19n7RXdvj2aMgfu_mMEGc3ezNXyX9skAKNmUZXVGxt8t-BiHvydKkzkMp9gzZxpAiaC1ZKhaIBeHlCK1j8IIZvZiDmYZtZlHbUDzF7P2_VIWaST3WEO8FvhspMWStwvHv0rJRqWtOMY5KzCVrsx-6ljs0yJGPLxzoGiSC_OcfYjkJuOH8LSbB8axn3U</recordid><startdate>20111201</startdate><enddate>20111201</enddate><creator>Boubakri, Salem</creator><creator>Guillaumin, Cyriac</creator><general>Elsevier B.V</general><general>Elsevier</general><general>Elsevier BV</general><scope>DKI</scope><scope>X2L</scope><scope>AAYXX</scope><scope>CITATION</scope><scope>1XC</scope><scope>BXJBU</scope></search><sort><creationdate>20111201</creationdate><title>Financial integration and currency risk premium in CEECs: Evidence from the ICAPM</title><author>Boubakri, Salem ; Guillaumin, Cyriac</author></sort><facets><frbrtype>5</frbrtype><frbrgroupid>cdi_FETCH-LOGICAL-c566t-9d5b0605c197512ca508c00c35fb2dac1c366010161ad589116f3935ebd8d7e93</frbrgroupid><rsrctype>articles</rsrctype><prefilter>articles</prefilter><language>eng</language><creationdate>2011</creationdate><topic>CEECs</topic><topic>CEECs Euro area Currency risk premium Financial integration International Capital Asset Pricing Model (ICAPM)</topic><topic>Currency risk premium</topic><topic>Economic models</topic><topic>Economic theory</topic><topic>Economics and Finance</topic><topic>Emerging markets</topic><topic>Euro area</topic><topic>European Monetary Union</topic><topic>Financial integration</topic><topic>Humanities and Social Sciences</topic><topic>Integration</topic><topic>International Capital Asset Pricing Model (ICAPM)</topic><topic>Studies</topic><toplevel>peer_reviewed</toplevel><toplevel>online_resources</toplevel><creatorcontrib>Boubakri, Salem</creatorcontrib><creatorcontrib>Guillaumin, Cyriac</creatorcontrib><collection>RePEc IDEAS</collection><collection>RePEc</collection><collection>CrossRef</collection><collection>Hyper Article en Ligne (HAL)</collection><collection>HAL-SHS: Archive ouverte en Sciences de l'Homme et de la Société</collection><jtitle>Emerging markets review</jtitle></facets><delivery><delcategory>Remote Search Resource</delcategory><fulltext>fulltext</fulltext></delivery><addata><au>Boubakri, Salem</au><au>Guillaumin, Cyriac</au><format>journal</format><genre>article</genre><ristype>JOUR</ristype><atitle>Financial integration and currency risk premium in CEECs: Evidence from the ICAPM</atitle><jtitle>Emerging markets review</jtitle><date>2011-12-01</date><risdate>2011</risdate><volume>12</volume><issue>4</issue><spage>460</spage><epage>484</epage><pages>460-484</pages><issn>1566-0141</issn><eissn>1873-6173</eissn><abstract>This paper aims to study the Central and Eastern European Countries' (CEECs) dynamics of financial integration in the euro area with the prospect of their integration into the European Monetary Union. Our empirical analysis is based, successively, on a MGARCH model with time-varying correlations, a state-space model and a Markov-switching model. The results show that financial integration (i) is not perfect but is increasing and (ii) is linked to currency stability. The growing financial integration in 2007–2009 seems to be rather the result of the shock propagated by the global crisis.</abstract><cop>Amsterdam</cop><pub>Elsevier B.V</pub><doi>10.1016/j.ememar.2011.08.001</doi><tpages>25</tpages></addata></record>
fulltext	fulltext
identifier	ISSN: 1566-0141
ispartof	Emerging markets review, 2011-12, Vol.12 (4), p.460-484
issn	1566-0141 1873-6173
language	eng
recordid	cdi_hal_primary_oai_HAL_halshs_00639224v1
source	ScienceDirect Freedom Collection
subjects	CEECs CEECs Euro area Currency risk premium Financial integration International Capital Asset Pricing Model (ICAPM) Currency risk premium Economic models Economic theory Economics and Finance Emerging markets Euro area European Monetary Union Financial integration Humanities and Social Sciences Integration International Capital Asset Pricing Model (ICAPM) Studies
title	Financial integration and currency risk premium in CEECs: Evidence from the ICAPM
url	http://sfxeu10.hosted.exlibrisgroup.com/loughborough?ctx_ver=Z39.88-2004&ctx_enc=info:ofi/enc:UTF-8&ctx_tim=2025-02-01T01%3A13%3A42IST&url_ver=Z39.88-2004&url_ctx_fmt=infofi/fmt:kev:mtx:ctx&rfr_id=info:sid/primo.exlibrisgroup.com:primo3-Article-proquest_hal_p&rft_val_fmt=info:ofi/fmt:kev:mtx:journal&rft.genre=article&rft.atitle=Financial%20integration%20and%20currency%20risk%20premium%20in%20CEECs:%20Evidence%20from%20the%20ICAPM&rft.jtitle=Emerging%20markets%20review&rft.au=Boubakri,%20Salem&rft.date=2011-12-01&rft.volume=12&rft.issue=4&rft.spage=460&rft.epage=484&rft.pages=460-484&rft.issn=1566-0141&rft.eissn=1873-6173&rft_id=info:doi/10.1016/j.ememar.2011.08.001&rft_dat=%3Cproquest_hal_p%3E2500163101%3C/proquest_hal_p%3E%3Cgrp_id%3Ecdi_FETCH-LOGICAL-c566t-9d5b0605c197512ca508c00c35fb2dac1c366010161ad589116f3935ebd8d7e93%3C/grp_id%3E%3Coa%3E%3C/oa%3E%3Curl%3E%3C/url%3E&rft_id=info:oai/&rft_pqid=901310883&rft_id=info:pmid/&rfr_iscdi=true