Contagion and interdependence: Measuring CEE banking sector co-movements |
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| Institution: | 1. Bank of Finland Research Department, P.O. Box 160, FIN-00101 Helsinki, Finland;2. Institute for International Integration Studies, Trinity College Dublin, College Green, Dublin-2, Ireland |
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| Abstract: | This paper examines whether banking sector co-movements between the three largest Central and Eastern European Countries (CEECs) over the last decade can be attributed to contagion or to interdependence. Addressing various econometric problems put forward in the literature, we uncover substantial evidence of contagion stemming from the Czech Republic to Hungary during much of 1996. |
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