金融传染:全球金融危机对新兴经济体汇率的影响

2014 International Conference on Management Science & Engineering 21th Annual Conference Proceedings Pub Date : 2014-10-20 DOI:10.1109/ICMSE.2014.6930388

Ghulam Mujtaba Kayani, Xiao-Feng Hui, S. Gulzar

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引用次数: 1

摘要

本文的目的是研究全球金融危机对新兴经济体汇率的传染效应。为了进行分析，我们使用了五个新兴经济体(中国、印度、俄罗斯、巴西和巴基斯坦)在2008年1月1日至2010年12月31日期间对美元的每日汇率数据。采用向量自回归法、回归分析等计量经济学技术，并采用虚拟变量来捕捉这些金融危机的影响。我们发现变量之间存在回归;在我们的分析中发现了汇率之间的长期协整性和不同经济体之间的短期显著性。

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

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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2014 International Conference on Management Science & Engineering 21th Annual Conference Proceedings

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