Abstract:

In this paper we investigated some possible common influences behind the synchronicity of financial cycles in Romania, Hungary, Poland and Czech Republic. We tried to see whether the common movements in these EEMS appear under the influence of the global financial cycle measured in terms of quantities – through capital flows –, risks premiums and global investor risk aversion. The results showed that the high co-movement in yields, equity prices, house prices and credit is highly associated with global capital flows and to a somewhat lesser degree with risk premiums (represented in our analysis by the CDS) and the global investor sentiment or risk aversion (measured by the VIX index) – measure traditionally correlated with the global financial cycle.