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

Volume (Year): (2006)
Issue (Month): 1Q ()
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;

Find related papers by JEL classification:
C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions
F31 - International Economics - - International Finance - - - Foreign Exchange
G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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  1. Essahbi Essaadi & Jamel Jouini & Wajih Khallouli, 2004. "The Asian Crisis Contagion: A Dynamic Correlation Approach Analysis," Post-Print halshs-00201220_v1, HAL. [Downloadable!]
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