The ERM breakdown: a spatial econometric approach

Leila Ali and Marie Lebreton

Applied Economics Letters, 2007, vol. 14, issue 3, 197-201

Abstract: This study proposes a spatial autoregressive model to investigate whether pure contagion effects occurred during the European exchange market turmoil in 1992. It defines pure contagion as spatial autocorrelation between countries in excess to that which can be explained by economic fundamentals. By doing so, it is possible to predict the effectiveness of rescue packages and foreign supports for each country of the dataset.

Date: 2007
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Persistent link: https://EconPapers.repec.org/RePEc:taf:apeclt:v:14:y:2007:i:3:p:197-201

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DOI: 10.1080/13504850500426228

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