Financial Contagion: Impact of Global Financial Crisis on Exchange Rate of Emerging Economies

被引：0
|
作者：
Kayani, Ghulam Mujtaba [1 ]
Hui Xiao-feng [1 ]
Gulzar, Saqib [2 ]
机构：
[1] Harbin Inst Technol, Sch Management, Harbin 150001, Peoples R China
[2] COMSATS Wah, Sch Management, Wah 47040, Pakistan
来源：
2014 INTERNATIONAL CONFERENCE ON MANAGEMENT SCIENCE & ENGINEERING (ICMSE) | 2014年
关键词：
financial contagion; global financial crisis; emerging economies; exchange rate; vector autoregressive model (VAR);
D O I：
暂无
中图分类号：
C93 [管理学]; O22 [运筹学];
学科分类号：
070105 ; 12 ; 1201 ; 1202 ; 120202 ;
摘要：
The objective of this paper is to investigate the contagion effect of global financial crisis on exchange rate of emerging economies. For the analysis we have used daily exchange rate data compared to US dollar for five emerging economies (China, India, Russia, Brazil and Pakistan) covering the period from 1st January 2008 to 31st December 2010. The econometric techniques such as Vector Autoregressive method, Regression analysis were employed and dummy variables were used to capture the effect of these financial crisis. We find a regression between our variables; the long term Cointegration among exchange rates and short run significance among various economies has been found in our analysis.
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页码：1354 / 1358
页数：5
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