Financial Market Spillovers in Transition Economies
This paper examines financial market comovements across European transition economies and
compares their experience to that of other regions. Correlations in monthly indices of exchange
market pressures can partly be explained by direct trade linkages, but not by measures of other
fundamentals. A look at higher-frequency data during three crisis periods reveals the presence of
structural breaks in the relationship between exchange-, but not stock markets. While the reaction
of markets during the Asian and Czech crises is muted, the pattern of high-frequency spillovers
during the Russian crisis looks very similar to that observed in other regions during turbulent
times....