The thesis examines potential sources of currency crisis, banking crisis and twin crisis in a region of Central Europe, Eastern Europe, South-Eastern Europe and Baltics. The text assumes some basic knowledge of the theories of financial crisis and, thus, ommits some relevant details in the theoretical parts. The thesis aids at fading variables, which could signal vurnerability of a country to a curency, banking and twin crisis. In the second chapter we introduce a financial crisis typology. The text also briefly shows the theoretical and empirical studies of the financial crisis and introduces definitions of currency, banking and twin crisis. In the third chapter we identify the periods of financial crisis in the given region. Then we introduce the explanatory variables. In the fourth chapter we estimate logit model to explain the conditional probability of all the three types of financial crisis. In the fifth chapter we estimate the out-of-sample conditional probability of occurring crisis. In the end we discuss the results and possible recommendation for economic policy or investors. We find that some macroeconomic variables are significant when explaining financial crisis. For all three types of financial crisis these variables were significant: Share of total foreign debt to foreign reserves, interest rate differential, excessive credit expansion (its share to GDP).
| Identifer | oai:union.ndltd.org:nusl.cz/oai:invenio.nusl.cz:76850 |
| Date | January 2003 |
| Creators | Brožka, Michal |
| Contributors | Revenda, Zbyněk, Dvořák, Pavel, Žák, Milan |
| Publisher | Vysoká škola ekonomická v Praze |
| Source Sets | Czech ETDs |
| Language | Czech |
| Detected Language | English |
| Type | info:eu-repo/semantics/doctoralThesis |
| Rights | info:eu-repo/semantics/restrictedAccess |
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