The impact of institutional volatility on financial volatility in transition economies.

Hartwell, C. A., 2017. The impact of institutional volatility on financial volatility in transition economies. Journal of Comparative Economics. (In Press)

Full text available as:

[img] PDF
FinVolInstitutionsPaperJCEREVISIONFINALNovember2017.pdf - Accepted Version
Restricted to Repository staff only until 10 November 2019.
Available under License Creative Commons Attribution Non-commercial No Derivatives.


DOI: 10.1016/j.jce.2017.11.002


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.

Item Type:Article
Uncontrolled Keywords:Institutions; Financial sector; Volatility; Property rights; Transition; GARCH
Group:Faculty of Management
ID Code:30429
Deposited By: Unnamed user with email symplectic@symplectic
Deposited On:27 Feb 2018 16:37
Last Modified:27 Feb 2018 16:37


Downloads per month over past year

More statistics for this item...
Repository Staff Only -