Euro or not? Vulnerability of Czech and Slovak economies to regional and international turmoil

Agata Kliber , Piotr Płuciennik

Abstract

The paper compares vulnerability to crises of the Czech Republic and Slovakia, which had operated as Czechoslovakia prior to 1993. In 2009, Slovakia adopted the euro, while the Czech Republic retained its koruna. The main research question is if the introduction of the euro made Slovakia more vulnerable to pan-European crisis. The paper concentrates on two episodes: the Greek (pan-European) and Hungarian (regional) turmoil. The level of the country risk is measured through volatility of bond-spreads. From DCC-copula model the authors derive time-varying probability of crisis transmission and dynamic correlations. The main findings of the paper are: (i) Euro adoption did not make Slovakia more vulnerable to the pan-European problems. (ii) The country is still identified by investors as an emerging Central-European region, rather than a country of the Eurozone.
Author Agata Kliber (WIiGE / KMS)
Agata Kliber,,
- Department of Applied Mathematics
, Piotr Płuciennik - Adam Mickiewicz University (UAM)
Piotr Płuciennik,,
-
Journal seriesEconomic Modelling, ISSN 0264-9993, (A 25 pkt)
Issue year2017
Vol60
Pages313-323
Publication size in sheets0.5
Keywords in Englishbond spread, Copula-GARCH, debt crisis Central Europe
ASJC Classification2002 Economics and Econometrics
DOIDOI:10.1016/j.econmod.2016.09.019
Languageen angielski
Score (nominal)25
Score sourcejournalList
ScoreMinisterial score = 25.0, 12-03-2020, ArticleFromJournal
Publication indicators WoS Citations = 0; Scopus SNIP (Source Normalised Impact per Paper): 2017 = 1.357; WoS Impact Factor: 2017 = 1.696 (2) - 2017=1.844 (5)
Citation count*5 (2020-09-14)
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* presented citation count is obtained through Internet information analysis and it is close to the number calculated by the Publish or Perish system.
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