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The ERM breakdown: a spatial econometric approach

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  • Leila Ali
  • Marie Lebreton

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.

Suggested Citation

  • Leila Ali & Marie Lebreton, 2007. "The ERM breakdown: a spatial econometric approach," Applied Economics Letters, Taylor & Francis Journals, vol. 14(3), pages 197-201.
    • Handle: RePEc:taf:apeclt:v:14:y:2007:i:3:p:197-201
    DOI: 10.1080/13504850500426228
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    References listed on IDEAS

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    1. Degl’Innocenti, Marta & Matousek, Roman & Sevic, Zeljko & Tzeremes, Nickolaos G., 2017. "Bank efficiency and financial centres: Does geographical location matter?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 46(C), pages 188-198.

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