Financial contagion: Impact of global financial crisis on exchange rate of emerging economies

Author

Kayani, Ghulam Mujtaba ; Hui Xiao-feng ; Gulzar, Saqib

Author_Institution

Sch. of Manage., Harbin Inst. of Technol., Harbin, China

fYear

2014

fDate

17-19 Aug. 2014

Firstpage

1354

Lastpage

1358

Abstract

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.

Keywords

autoregressive processes; econometrics; economic cycles; exchange rates; regression analysis; daily exchange rate data; dummy variables; econometric techniques; economies; financial contagion effect; global financial crisis; long term cointegration; regression analysis; vector autoregressive method; Error correction; Exchange rates; Finance; Regression analysis; Vectors; Yttrium; emerging economies; exchange rate; financial contagion; global financial crisis; vector autoregressive model (VAR);

fLanguage

English

Publisher

ieee

Conference_Titel

Management Science & Engineering (ICMSE), 2014 International Conference on

Conference_Location

Helsinki

Print_ISBN

978-1-4799-5375-2

Type

conf

DOI

10.1109/ICMSE.2014.6930388

Filename

6930388