Please use this identifier to cite or link to this item:
https://doi.org/10.21256/zhaw-22615| Publication type: | Article in scientific journal |
| Type of review: | Peer review (publication) |
| Title: | The impact of institutional volatility on financial volatility in transition economies |
| Authors: | Hartwell, Christopher A. |
| et. al: | No |
| DOI: | 10.1016/j.jce.2017.11.002 10.21256/zhaw-22615 |
| Published in: | Journal of Comparative Economics |
| Volume(Issue): | 46 |
| Issue: | 2 |
| Page(s): | 598 |
| Pages to: | 615 |
| Issue Date: | 2018 |
| Publisher / Ed. Institution: | Elsevier |
| ISSN: | 0147-5967 1095-7227 |
| Language: | English |
| Subjects: | Financial sector; GARCH; Institution; Property right |
| Subject (DDC): | 332: Financial economics |
| Abstract: | What have been the determinants of financial volatility in the transition countries of Central and Eastern Europe and the former Soviet Union? This paper posits that institutional changes, and in particular the volatility of crucial institutions such as property rights, have been the major causes of financial volatility in transition. Building a unique monthly database of 20 transition economies from 1991 to 2017, this paper applies the GARCH family of models to examine financial volatility as a function of institutional volatility. The results show that more advanced institutions help to dampen financial sector volatility, while institutional volatility feeds through directly to financial sector volatility in transition. Democratic changes in particular engender much higher levels of volatility, while property rights are sensitive to the metric used for their measurement. |
| URI: | https://digitalcollection.zhaw.ch/handle/11475/22615 |
| Fulltext version: | Accepted version |
| License (according to publishing contract): | CC BY-NC-ND 4.0: Attribution - Non commercial - No derivatives 4.0 International |
| Departement: | School of Management and Law |
| Organisational Unit: | International Management Institute (IMI) |
| Appears in collections: | Publikationen School of Management and Law |
Files in This Item:
| File | Description | Size | Format | |
|---|---|---|---|---|
| 2018_Hartwell_Institutional-financial-volatility-transition-economies.pdf | Accepted Version | 1.2 MB | Adobe PDF |  View/Open |
Show full item record
Hartwell, C. A. (2018). The impact of institutional volatility on financial volatility in transition economies. Journal of Comparative Economics, 46(2), 598–615. https://doi.org/10.1016/j.jce.2017.11.002
Hartwell, C.A. (2018) ‘The impact of institutional volatility on financial volatility in transition economies’, Journal of Comparative Economics, 46(2), pp. 598–615. Available at: https://doi.org/10.1016/j.jce.2017.11.002.
C. A. Hartwell, “The impact of institutional volatility on financial volatility in transition economies,” Journal of Comparative Economics, vol. 46, no. 2, pp. 598–615, 2018, doi: 10.1016/j.jce.2017.11.002.
HARTWELL, Christopher A., 2018. The impact of institutional volatility on financial volatility in transition economies. Journal of Comparative Economics. 2018. Bd. 46, Nr. 2, S. 598–615. DOI 10.1016/j.jce.2017.11.002
Hartwell, Christopher A. 2018. “The Impact of Institutional Volatility on Financial Volatility in Transition Economies.” Journal of Comparative Economics 46 (2): 598–615. https://doi.org/10.1016/j.jce.2017.11.002.
Hartwell, Christopher A. “The Impact of Institutional Volatility on Financial Volatility in Transition Economies.” Journal of Comparative Economics, vol. 46, no. 2, 2018, pp. 598–615, https://doi.org/10.1016/j.jce.2017.11.002.
Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.