{"title":"Determinants Of Financial Euroisation In A Small Open Economy: The Case Of Serbia","authors":"Mile Bošnjak, Gordana Kordić, Vlatka Bilas","doi":"10.2298/EKA1818009B","DOIUrl":null,"url":null,"abstract":"This paper examines the phenomenon of financial euroisation in Serbia, focusing on the liability side of the banking system. A time series model is estimated and evaluated using a monthly data sample from January 2007 to January 2016 for Serbia. The results of this paper show that the mean pattern of financial euroisation in Serbia is determined by the exchange rate, inflation, and the interest rate differential. Financial euroisation in Serbia is found to be volatile and to exhibit a clustering pattern. Of the estimated and tested models the ARCH (1) model is found to be best suited to explain the volatile behaviour pattern of financial euroisation in Serbia.","PeriodicalId":35023,"journal":{"name":"Economic Annals","volume":null,"pages":null},"PeriodicalIF":0.0000,"publicationDate":"2018-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"2","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Economic Annals","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.2298/EKA1818009B","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q3","JCRName":"Economics, Econometrics and Finance","Score":null,"Total":0}
引用次数: 2
Abstract
This paper examines the phenomenon of financial euroisation in Serbia, focusing on the liability side of the banking system. A time series model is estimated and evaluated using a monthly data sample from January 2007 to January 2016 for Serbia. The results of this paper show that the mean pattern of financial euroisation in Serbia is determined by the exchange rate, inflation, and the interest rate differential. Financial euroisation in Serbia is found to be volatile and to exhibit a clustering pattern. Of the estimated and tested models the ARCH (1) model is found to be best suited to explain the volatile behaviour pattern of financial euroisation in Serbia.
Economic AnnalsEconomics, Econometrics and Finance-Economics, Econometrics and Finance (all)
CiteScore
0.90
自引率
0.00%
发文量
6
审稿时长
18 weeks
期刊介绍：
Economic Annals is an academic journal that has been published on a quarterly basis since 1955, initially under its Serbian name of Ekonomski anali (EconLit). Since 2006 it has been published exclusively in English. It is published by the Faculty of Economics, University of Belgrade, Serbia. The journal publishes research in all areas of economics. The Editorial Board welcomes contributions that explore economic issues in a comparative perspective with a focus on transition and emerging economies in Europe and around the world. The journal encourages the submission of original unpublished works, not under consideration by other journals or publications. All submitted papers undergo a double blind refereeing process. Authors are expected to follow standard publication procedures [Instructions to Authors], to recognise the values of the international academic community and to respect the journal’s Policy.
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