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The Dynamics of Deposit Euroization in European Post-transition Countries: Evidence from Threshold VAR

Marina Tkalec

Fulltext: english, pdf (425 KB) pages 5-37 downloads: 213* cite
APA 6th Edition
Tkalec, M. (2011). The Dynamics of Deposit Euroization in European Post-transition Countries: Evidence from Threshold VAR. Radni materijali EIZ-a, (2), 5-37. Retrieved from https://hrcak.srce.hr/74642
MLA 8th Edition
Tkalec, Marina. "The Dynamics of Deposit Euroization in European Post-transition Countries: Evidence from Threshold VAR." Radni materijali EIZ-a, vol. , no. 2, 2011, pp. 5-37. https://hrcak.srce.hr/74642. Accessed 25 Nov. 2020.
Chicago 17th Edition
Tkalec, Marina. "The Dynamics of Deposit Euroization in European Post-transition Countries: Evidence from Threshold VAR." Radni materijali EIZ-a , no. 2 (2011): 5-37. https://hrcak.srce.hr/74642
Harvard
Tkalec, M. (2011). 'The Dynamics of Deposit Euroization in European Post-transition Countries: Evidence from Threshold VAR', Radni materijali EIZ-a, (2), pp. 5-37. Available at: https://hrcak.srce.hr/74642 (Accessed 25 November 2020)
Vancouver
Tkalec M. The Dynamics of Deposit Euroization in European Post-transition Countries: Evidence from Threshold VAR. Radni materijali EIZ-a [Internet]. 2011 [cited 2020 November 25];(2):5-37. Available from: https://hrcak.srce.hr/74642
IEEE
M. Tkalec, "The Dynamics of Deposit Euroization in European Post-transition Countries: Evidence from Threshold VAR", Radni materijali EIZ-a, vol., no. 2, pp. 5-37, 2011. [Online]. Available: https://hrcak.srce.hr/74642. [Accessed: 25 November 2020]

Abstracts
This paper investigates determinants of deposit euroization (DE) in twelve European posttransition economies using both linear and threshold models. Results suggest that exchange rates and interest rate differentials are important for explaining DE. Results for the two countries with the highest macroeconomic and institutional credibility and flexible exchange rate regimes, the Czech Republic and Poland, suggest no evidence of threshold effects, while for other countries threshold behavior was found. Threshold VAR results indicate depreciations have a stronger effect on DE than appreciations, while interest rate spreads widen more after exchange rate depreciations than after appreciations. Moreover, we found evidence that DE changes more strongly after interest rate differentials increase than after they decrease.

Keywords
cointegration; deposit euroization; transition; threshold VAR

Hrčak ID: 74642

URI
https://hrcak.srce.hr/74642

[croatian]

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