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Financial contagion among members of the EU-8: a cointegration and granger causality approach

By David Gray

Abstract

The aim of this paper is to examine whether the banking crisis in the US and Western Europe that began in August 2007 spilled over to the currencies the EU-8 such that it could be viewed as financial contagion. The currencies of the EU-8 that will be studied are of the Czech Republic, Estonia, Hungary, Lithuania, Latvia, Poland and Slovakia, daily, from 2005 to 2008

Topics: L160 International Economics, L111 Financial Economics
Publisher: Emerald Group Publishing
Year: 2009
DOI identifier: 10.1108/17468800910991214
OAI identifier: oai:eprints.lincoln.ac.uk:2730

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