{"title":"Financial contagion: Impact of global financial crisis on exchange rate of emerging economies","authors":"Ghulam Mujtaba Kayani, Xiao-Feng Hui, S. Gulzar","doi":"10.1109/ICMSE.2014.6930388","DOIUrl":null,"url":null,"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.","PeriodicalId":197239,"journal":{"name":"2014 International Conference on Management Science & Engineering 21th Annual Conference Proceedings","volume":"17 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2014-10-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"1","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"2014 International Conference on Management Science & Engineering 21th Annual Conference Proceedings","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1109/ICMSE.2014.6930388","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
引用次数: 1
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.
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