Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/212792 
Erscheinungsjahr: 
2014
Schriftenreihe/Nr.: 
BOFIT Discussion Papers No. 6/2014
Verlag: 
Bank of Finland, Institute for Economies in Transition (BOFIT), Helsinki
Zusammenfassung: 
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 en-dured 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.
Schlagwörter: 
institutions
financial sector
volatility
transition
GARCH
EGARCH
TGARCH
JEL: 
G20
O43
P30
Persistent Identifier der Erstveröffentlichung: 
ISBN: 
978-952-6699-72-1
Dokumentart: 
Working Paper

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