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|Title:||The determinants of vulnerability to crisis: Country-specific factors versus regional factors|
|Keywords:||Exchange market pressure; dynamic factor analysis; New EU member states|
|Citation:||Economics and Finance Discussion Paper, Brunel University, 09-10.|
|Abstract:||We investigate the determinants of exchange market pressures (EMP) for some new EU member states in two dimensions of national and regional levels, where macroeconomic and financial variables are considered as potential sources. The regional common factors are extracted from national levels of these variables by using the dynamic factor analysis. In a dynamic linear model, we find the statistically significant impact of the regional factor only in stock prices on the EMP for most of these economies. Overall, it highlights the importance of country-specific factors to defend against vulnerability in their external sector.|
|Appears in Collections:||Economics and Finance|
Dept of Economics and Finance Research Papers
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