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Les effets de la crise des subprimes sur le marché financier mexicain

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Listed:
  • Gilles Dufrénot
  • Valérie Mignon
  • Anne Péguin-Feissolle

Abstract

The aim of this article is to study and quantify the transmission channels between the American and Mexican stock markets in the aftermath of the subprime crisis. To this end, we use a time-varying transition probability Markov-switching model, in which ?crisis? and ?non-crisis? periods are identified endogenously. Using daily data from January 2004 to April 2009, our findings do not validate the ?financial decoupling? hypothesis since we show that the financial stress in the us markets is transmitted to the Mexican stock market volatility. Classification JEL : C13, C22, G01, G15.

Suggested Citation

  • Gilles Dufrénot & Valérie Mignon & Anne Péguin-Feissolle, 2011. "Les effets de la crise des subprimes sur le marché financier mexicain," Revue économique, Presses de Sciences-Po, vol. 62(3), pages 461-470.
    • Handle: RePEc:cai:recosp:reco_623_0461
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    JEL classification:

    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • G01 - Financial Economics - - General - - - Financial Crises
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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