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La contagion de la crise asiatique : dynamiques de court terme et de long terme

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Author Info

  • Mohamed Ayadi
  • Riadh Boudhina
  • Wajih Khallouli
  • Rene Sandretto

Abstract

Dans cet article, nous testons la presence de contagion durant la crise financiere asiatique. A cet effet, nous proposons une nouvelle procedure qui consiste a tester la non-linearite des mecanismes de propagation des chocs estimes a travers un modele d’interdependance de long terme. Nous appliquons cette methodologie aux marches des dettes souveraines (spreads) qui mesurent la perception du risque. Nos resultats montrent la contamination de la Malaisie et des Philippines par le phenomene de contagion.

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File URL: http://www.economieinternationale.fr/francgraph/publications/ecointern/rev105/rev105e.htm
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Bibliographic Info

Article provided by CEPII research center in its journal Economie Internationale.

Volume (Year): (2006)
Issue (Month): 105 ()
Pages: 113-134

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Handle: RePEc:cii:cepiei:2006-1te

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Related research

Keywords: Crise financiere asiatique; contagion; modele a correction d’erreur non-linéaire; crise; systeme bancaire; systeme des paiements;

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Cited by:
  1. Essahbi Essaadi & Jamel Jouini & Walih Khallouli, 2007. "The Asian Crisis Contagion: A Dynamic Correlation Approach Analysis," Working Papers 0725, Groupe d'Analyse et de Théorie Economique (GATE), Centre national de la recherche scientifique (CNRS), Université Lyon 2, Ecole Normale Supérieure.

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