Financial contagion during times of crisis: a meta-analysis based approach with special emphasis on CEE economies
Date
2012-11-12
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Abstract
Finantskriiside nakkuslikkuseks peetakse olukorda, kus kriisiperioodidel toimuvad olulised struktuursed muutused kriisi- ja sihtriigi vahelistes šokkide ülekandemehhanismides. Sisuliselt tähendab see, et kriisi ülekandumist ei saa põhjendada riikidevaheliste seoste (kaubanduslike, finants- või poliitiliste) ega sihtriigi makromajanduslike fundamentaalnäitajatega. Doktoritöö eesmärgiks on tõestada või ümber lükata finantskriiside nakkusliku levimise toimumine olulisemate kriisiepisoodide ajal ning leida meta-analüüsi metoodika abil nakkuslikkuse taseme peamised mõjutegurid.
Töös seatakse uurimisprobleemi mitmetahulisuse tõttu kahtluse alla suure osa varasemate uuringute rõhuasetus finantsnakkuse statistilise olulisuse testimisele ja soovitatakse keskenduda konkreetse kvantitatiivse mõõdiku leidmisele, mis oleks üle uuringute ühtselt interpreteeritav ja agregeeritav ning ühismõõdustaks sellega erinevate uuringute tulemused võimaldades oluliselt paremini kaasata uuringuid tuleviku meta-analüüsidesse. Üks selline mõõdik on dissertatsioonis ka välja pakutud ja empiirilises analüüsis kasutatud.
Uurimistulemused näitavad, et kriiside ülekandumine on kohati tõepoolest olnud nakkuslik, kuid mitte kuigi tugeval määral. See tähendab, et kriiside riigist riiki levimist ei saa selgitada ainult tugevate riikidevaheliste ühenduskanalite ega halbade makromajanduslike fundamentaalnäitajatega, vaid tuleb otsida põhjuseid investorite käitumuslikest aspektidest. Äärmiselt oluliseks muutuvad kriisi tingimustes herding-kontseptsioonist ja muudest kollektiivses mõttes irratsionaalse käitumise aspektidest tulenevad iseenese täitumisele viivad ootused. Niisugustes tingimustes tuleb traditsioonilistesse investeerimisportfelli riskantsuse vähendamisele suunatud teooriatesse suhtuda ülima ettevaatlikkusega, kuna nad ülehindavad oluliselt investeerimisportfelli rahvusvahelise diversifitseerimisega saavutatavat riskiastme vähenemist investorite ratsionaalse käitumise eelduse tõttu riski tingimustes. Sobiva finantsarhitektuuri otsimise kontekstis tähendab finantsnakkuslikkuse eksisteerimine vajadust arvestada möödapääsmatute kriisiepisoodidega ning seega oleks soovitav koguda majanduskasvu perioodidel varusid reservi, et nende abil kriiside ülekandumise mõjusid pehmendada.
The aim of the study is to find out whether the propagation of financial crises in numerous past crisis episodes has been amplified by financial contagion or is based solely on stable fundamental linkages between countries. It is shown that because of the multidimensionality of the research problem literature reviews and even more so individual studies do not provide sufficient answers to the financial contagion puzzle. Therefore, one contribution of the thesis is to suggest future research be conducted on the field of financial contagion with more emphasis on finding singular numerical values that are interpretable and comparable, and therefore, summarisable across all relevant studies, rather than trying to come out with some statistical significance measure of some contagion parameter. One potential measure of this kind is proposed in the theoretical part of the thesis and is used in the following empirical analysis. The empirical findings indicate that some contagion has been present in recent crisis episodes but these effects have been rather moderate. The contagiousness of transmission of crises varies depending on observed crisis and financial market but not significantly on development level of destination countries. An important policy implication from the results of the thesis is that potential benefits from international portfolio diversification are significantly lower than one might expect. If one country falls, others are not safe either, as herding behaviour or some other form of collectively irrational behaviour among financial agents can easily occur. At the government level, some guidelines for appropriate financial architecture that take into account the presence of financial contagion in international markets can be drawn. As closeting themselves behind iron curtains seems neither realistic nor reasonable, nothing more than countries putting aside financial reserves during good times for use when financial contagion hits can really be suggested.
The aim of the study is to find out whether the propagation of financial crises in numerous past crisis episodes has been amplified by financial contagion or is based solely on stable fundamental linkages between countries. It is shown that because of the multidimensionality of the research problem literature reviews and even more so individual studies do not provide sufficient answers to the financial contagion puzzle. Therefore, one contribution of the thesis is to suggest future research be conducted on the field of financial contagion with more emphasis on finding singular numerical values that are interpretable and comparable, and therefore, summarisable across all relevant studies, rather than trying to come out with some statistical significance measure of some contagion parameter. One potential measure of this kind is proposed in the theoretical part of the thesis and is used in the following empirical analysis. The empirical findings indicate that some contagion has been present in recent crisis episodes but these effects have been rather moderate. The contagiousness of transmission of crises varies depending on observed crisis and financial market but not significantly on development level of destination countries. An important policy implication from the results of the thesis is that potential benefits from international portfolio diversification are significantly lower than one might expect. If one country falls, others are not safe either, as herding behaviour or some other form of collectively irrational behaviour among financial agents can easily occur. At the government level, some guidelines for appropriate financial architecture that take into account the presence of financial contagion in international markets can be drawn. As closeting themselves behind iron curtains seems neither realistic nor reasonable, nothing more than countries putting aside financial reserves during good times for use when financial contagion hits can really be suggested.
Description
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Keywords
finantskriisid, struktuurimuutused, metaanalüüs, Kesk-Euroopa, Ida-Euroopa, financial crisis, structural changes, meta-analysis, Central Europe, Eastern Europe