Нови изследвания


Нови изследвания на Петър Чобанов и Николай Неновски

1. Money Market Integration and Sovereign CDS Spreads Dynamics in the New EU States, Nikolay NENOVSKY, Amine LAHIANI, Petar CHOBANOV, Document de Recherche n° 2010-24, Laboratoire d'Economie d'Orléans

2.  EU Enlargement and Monetary Regimes from the Insurance Model Perspectives, Nikolay Nenovsky, William Davidson Institute Working Paper Number 997, June 2010




Money Market Integration and Sovereign CDS Spreads Dynamics in the New EU States



Summary: When the first phase of the crisis focused primarily on the interbank market volatility, the second phase spread on the instability of public finance. Although the overall stance of public finances of the new members is better than the old member countries, the differences within the new group are significant (from the performer Estonia to the laggard Hungary). Sovereign CDS spreads have become major variables focused on risks and expectations about the fiscal situation of different countries. In the paper we investigate, first, whether there is a link in the new member states (NMS) between the expectations about the condition of their public finances and the dynamics of money markets, including integration of national money markets with the euro area. In others word we contribute to clarify the relationship between fiscal and liquidity risks as major components of systemic risk. Second, we look on the particularities of this relationship through the different phases of the crisis and across the different countries using different monetary regimes. This concerns mostly two opposite extreme monetary regimes, namely, currency boards (and quasi-fixed exchange rate) - Bulgaria, Estonia, Latvia, Lithuania, or inflation targeting - Poland, Czech Republic, Hungary and Romania. The results obtained form the high frequency panel data models support the theoretical hypotheses and policy intuition that exists strong relationship between the liquidity risk (measured by the short term money markets) and fiscal risk (measured by CDS) and that this link is extremely unstable and in some sense nonlinear during the financial crisis. Our study confirm that the strong link between monetary and public finance risk as apart of total systemic risk increase during the crisis especially forcurrency boards regimes, when the link becomes stronger and pronounced. For the inflation targeting countries the link became weaker and less pronounced.

Available here: http://bma-bg.org/assets/var/docs/dr201024.pdf




EU Enlargement and Monetary Regimes from the Insurance Model Perspectives

Nikolay Nenovsky

Summary: Some ten years ago, Michael Dooley (Dooley, 1997; Dooley, 2000) put forward an insurance model of currency crises, which after some modifications gives a good theoretical basis for explanation of the overall dynamics of the post communist transformation and diversity across countries and periods. The article analyses, within the framework of the insurance model, the role of monetary regimes (currency anchor) and EU enlargement (political and geostrategic anchor) and their relationships. The insurance game model not onlycontains an explanatory power, but it also has the potential to suggest a range of measures that could be useful in overcoming the "bad" dynamics, which we are witnessing today not only in the new member-states, but also EU-wide.

Available here: http://bma-bg.org/assets/var/docs/nenovsky-WDI997-2010.pdf