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
Pages: 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

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