Determinants of financial euroisation in a small open economy: The case of Serbia

Autor:	Vlatka Bilas, Gordana Kordić, Mile Bošnjak
Rok vydání:	2018
Předmět:	Finance Volatile behaviour business.industry media_common.quotation_subject Small open economy Liability Interest rate financial euroisation ARCH volatility Serbia Exchange rate Economics Time series Volatility (finance) business General Economics Econometrics and Finance media_common
Zdroj:	Ekonomski anali. 63:9-21
ISSN:	1820-7375 0013-3264
DOI:	10.2298/eka1818009b
Popis:	This paper examines the phenomenon of financial euroisation in Serbia, focusing on the liability side of the banking system. A time series model is estimated and evaluated using a monthly data sample from January 2007 to January 2016 for Serbia. The results of this paper show that the mean pattern of financial euroisation in Serbia is determined by the exchange rate, inflation, and the interest rate differential. Financial euroisation in Serbia is found to be volatile and to exhibit a clustering pattern. Of the estimated and tested models the ARCH (1) model is found to be best suited to explain the volatile behaviour pattern of financial euroisation in Serbia.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_dedup___::ad1bbb7a1f395f958bd339cca80e3397 https://doi.org/10.2298/eka1818009b Zobrazit plný text záznamu Plný text ve formátu PDF