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
Full content URL: http://dx.doi.org/10.1108/17468800910991214
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| Item Type: | Article |
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| Item Status: | Live Archive |
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.
| Keywords: | Contagion, EU-8, Foreign Exchange Rates, Cointegration, Granger-causality |
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| Subjects: | L Social studies > L160 International Economics L Social studies > L111 Financial Economics |
| Divisions: | Lincoln International Business School |
| ID Code: | 2730 |
| Deposited On: | 29 Jun 2010 20:47 |
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