Financial contagion among members of the EU-8: a cointegration and granger causality approach

Gray, David (2009) Financial contagion among members of the EU-8: a cointegration and granger causality approach. International Journal of Emerging Markets, 4 (4). pp. 299-314. ISSN 1746-8809

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Official URL: http://dx.doi.org/10.1108/17468800910991214

Abstract

The aim of this paper is to examine whether the banking crisis in the US and Western Europe that began in August 2007 spilled over to the currencies the EU-8 such that it could be viewed as financial contagion. The currencies of the EU-8 that will be studied are of the Czech Republic, Estonia, Hungary, Lithuania, Latvia, Poland and Slovakia, daily, from 2005 to 2008.

Item Type:Article
Keywords:Contagion, EU-8, Foreign Exchange Rates, Cointegration, Granger-causality
Subjects:L Social studies > L160 International Economics
L Social studies > L111 Financial Economics
Divisions:College of Social Science > Lincoln Business School
ID Code:2730
Deposited By: Rosaline Smith
Deposited On:29 Jun 2010 20:47
Last Modified:04 Dec 2013 18:40

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