Empirical analysis on contagion effect of international financial crisis based on VAR model

The aim of this paper is to contribute to measure contagion effect of the international financial crises outbreaking from American in 2008 exerting on some of Asian and European countries through the international financial system. Applying VAR model, the paper testifies the contagion effect of crisis by analyzing the Granger Causality change of the volatility of two markets of the infected country-China to original crisis country prior to and after crisis periods. We can draw the following conclusions: During the incubation period of the financial crisis, the financial market of USA remained a one-way causation contagious relation with most of other countries, and China inevitable.