دانلود رایگان مقاله آسیب پذیری اقتصاد چک و اسلواکی برای آشفتگی منطقه ای و بین المللی

Abstract

The paper compares vulnerability to crises of the Czech Republic and Slovakia, which had operated as Czechoslovakia prior to 1993. In 2009, Slovakia adopted the euro, while the Czech Republic retained its koruna. The main research question is if the introduction of the euro made Slovakia more vulnerable to pan-European crisis. The paper concentrates on two episodes: the Greek (pan-European) and Hungarian (regional) turmoil. The level of the country risk is measured through volatility of bond-spreads. From DCC-copula model the authors derive time-varying probability of crisis transmission and dynamic correlations. The main findings of the paper are: (i) Euro adoption did not make Slovakia more vulnerable to the pan-European problems. (ii) The country is still identified by investors as an emerging Central-European region, rather than a country of the Eurozone.

7. Conclusions

In the article we have presented an analysis of the changes of interdependencies between the two Central-European economies: the Czech and Slovak Republics by comparing them with two European economies most severely hit by the debt crisis: Greece and Hungary. Since Slovakia adopted the euro in 2009, our assumption was that the Greek crisis could have had a bigger impact on Slovakia, while the Hungarian crisis was expected to have affected the Czech Republic. In order to check this hypothesis we have estimated the multivariate copula-GARCH models for the bond spreads of the four economies. The reference spread was the German one. The results have undermined our hypotheses. First of all, Slovakia seemed to be more immune to crisis transmission throughout the first phase of the crisis. The bond spreads reacted neither to the Greek nor to Hungarian problems. However, the situation changed in 2011 when dependence between the Slovak and Hungarian spreads increased, while the probability of transmission of extreme events from Hungary increased presumably in response to the Greek problems.