Title :
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
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);
Conference_Titel :
Management Science & Engineering (ICMSE), 2014 International Conference on
Conference_Location :
Helsinki
Print_ISBN :
978-1-4799-5375-2
DOI :
10.1109/ICMSE.2014.6930388
