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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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
Additional Information:	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.
Keywords:	Contagion, EU-8, Foreign Exchange Rates, Cointegration, Granger-causality, ref19, refdoi
Subjects:	L Social studies > L160 International Economics L Social studies > L111 Financial Economics
Divisions:	College of Social Sciences > Faculty of Business & Law > Lincoln Business School
Depositing User:	Rosaline Smith
Date Deposited:	29 Jun 2010 20:47
Last Modified:	05 Apr 2013 12:40
URI:	http://eprints.lincoln.ac.uk/id/eprint/2730

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