بازار سیاه و بحران های قبل از اصلاح در اقتصاد جامعه گرای پیشین

This paper tests the efficiency of dollar exchange rate black-markets for the currencies of six formerly socialist countries of Eastern Europe, under conditions of imperfect information, high transaction costs and pronounced turbulence due to political and economic crisis and reform. We find evidence of volatility spillovers in conditional mean affecting only the markets for the Bulgarian lev and Rumanian lei, and limited evidence of volatility spillovers in conditional variance which imply the possibility of some policy coordination emanating from the Soviet Union. Nevertheless, on balance our results lend broad support to the efficiency of exchange rate black-markets, and to previous results concerning floating exchange rate systems in general.

Over the past decade much research has examined the properties of post-war floating exchange rates. The vast majority of such studies have been concerned with exchange rates determined on the long-established and sophisticated financial markets of the advanced Western industrialized economies, and have resulted in several empirically robust results. Specifically, these are that the logarithms of spot exchange rates approximate random walks while the second moments of innovations to those processes exhibit temporal dependence well characterized by generalized autoregressive conditional heteroscedasticity (GARCH), with some additional evidence of dependency between exchange rates in the sense of volatility transmission.1

In examination of the time series properties of the monthly black-market dollar exchange rates relative to the US dollar for the currencies of six formerly socialist East European economies, model estimates suggest the adequacy of a martingale conditional mean representation consistent with weak-form efficiency for each currency. Significant time-varying volatility in all rates is indicated on the basis of conditional variance estimation results, subsequent tests revealing significant cross-country volatility causality-in-mean in only two of thirty-six cases, and significant volatility causality-in-variance in only three of thirty cases, these latter instances perhaps reflecting policy interdependence. Our results therefore lend broad support to the efficiency properties of foreign exchange black-markets in economies subject to strict exchange controls and pronounced turbulence due to extensive political and economic crisis and reform. The efficiency of floating exchange rate systems would therefore appear to be highly robust, though whether these conclusions extend to other black-market settings, perhaps with relaxation of the assumption of linearity in conditional mean which is maintained here, remain avenues for further research.