Cross-Border Contagion: An Empirical Analysis of the Current Financial Crisis in Central and Eastern Europe
|Author:||Mgr. Kristýna Žáková|
|Year:||2011 - winter|
|Leaders:|| doc. PhDr. Adam Geršl Ph.D.
|Work type:|| Finance, Financial Markets and Banking
|Awards and prizes:||M.A. with distinction from the Dean of the Faculty of Social Sciences for an excellent state-final examination performance.|
|Abstract:||The objective of this thesis is to examine cross-border contagion eects during
the 2007-09 crisis in Central and Eastern Europe (CEE) and from all the possible
propagation channels, it chooses to focus on cross-border bank loans. It tries to
discover which global and local factors had signicant in
uence on the changes
in bank loans from banks in source (lending) countries to banks, as well as
households, corporations and government in host (borrowing) countries. The
main research method is a panel data regression model.
The empirical results suggest that both local and global factors had in
ence on the changes in cross-border loans, i.e. helped to spread the 2007-09
crisis to CEE. The signicant local factors were macroeconomic and nancial
characteristics of both source and host countries, such as their GDP growth dif-
ferential, interest rate dierential, FDI, or protability and health of the banking
sector. The signicant global factors were the expected market volatility and
investors' risk appetite/aversion which was an indicator of \pure" contagion.
The main contribution of this thesis lies in its focus on CEE and the analysis
of investors' behavior based on their changing risk appetite.
|Downloadable:|| Master´s Thesis Žáková