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Les déterminants des crises financières récentes des pays émergents

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  • Ayadi, Mohamed

    (ISG)

  • Khallouli, Wajih

    (ESSEC)

  • Sandretto, René

    (Université Lumière)

Abstract

This paper aims at proving empirically the superiority of an explanation for recent financial crises in emerging countries which combines endogenous and exogenous factors rather than focusing only on one of these two kinds of factors. To this end, we built our empirical analysis on estimations of random effects models for panel data and the statistics of Fisher. L’objet de cet article est de montrer empiriquement la supériorité d’une explication des crises financières récentes dans les pays émergents par la combinaison de facteurs endogènes et exogènes aux pays affectés plutôt que par le seul jeu de l’une ou l’autre de ces deux catégories de facteurs. À cet effet, nous bâtissons notre démarche sur des estimations d’un modèle de panel à erreurs composées ainsi que sur des statistiques de test des modèles emboîtés (test de Fisher).

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Bibliographic Info

Article provided by Société Canadienne de Science Economique in its journal L'Actualité économique.

Volume (Year): 82 (2006)
Issue (Month): 3 (septembre)
Pages: 341-376

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Handle: RePEc:ris:actuec:v:82:y:2006:i:3:p:341-376

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  1. Glick, Reuven & Rose, Andrew K, 1998. "Contagion and Trade: Why are Currency Crises Regional," CEPR Discussion Papers 1947, C.E.P.R. Discussion Papers.
  2. Jeffrey A. Frankel & Andrew K. Rose, 1996. "Currency crashes in emerging markets: an empirical treatment," International Finance Discussion Papers 534, Board of Governors of the Federal Reserve System (U.S.).
  3. Graciela L. Kaminsky, 2003. "Varieties of Currency Crises," NBER Working Papers 10193, National Bureau of Economic Research, Inc.
  4. J. A. Hausman, 1976. "Specification Tests in Econometrics," Working papers 185, Massachusetts Institute of Technology (MIT), Department of Economics.
  5. Allegret, Jean-Pierre & Sandretto, René, 2000. "La nouvelle architecture du système monétaire international," L'Actualité Economique, Société Canadienne de Science Economique, vol. 76(3), pages 437-456, septembre.
  6. Reinhart, Carmen & Kaminsky, Graciela, 1998. "On crises, contagion, and confusion," MPRA Paper 13709, University Library of Munich, Germany.
  7. Paul R. Masson, 1998. "Contagion-Monsoonal Effects, Spillovers, and Jumps Between Multiple Equilibria," IMF Working Papers 98/142, International Monetary Fund.
  8. Christian B. Mulder & Matthieu Bussière, 1999. "External Vulnerability in Emerging Market Economies - How High Liquidity Can Offset Weak Fundamentals and the Effects of Contagion," IMF Working Papers 99/88, International Monetary Fund.
  9. Miyakoshi, Tatsuyoshi, 2000. "The causes of the Asian currency crisis: empirical observations," Japan and the World Economy, Elsevier, vol. 12(3), pages 243-253, September.
  10. Michael Bordo & Barry Eichengreen & Daniela Klingebiel & Maria Soledad Martinez-Peria, 2001. "Is the crisis problem growing more severe?," Economic Policy, CEPR & CES & MSH, vol. 16(32), pages 51-82, 04.
  11. Manmohan S. Kumar & Avinash Persaud, 2001. "Pure Contagion and Investors Shifting Risk Appetite: Analytical Issues and Empirical Evidence," IMF Working Papers 01/134, International Monetary Fund.
  12. International Monetary Fund, 1999. "Sources of Contagion: Finance or Trade?," IMF Working Papers 99/146, International Monetary Fund.
  13. Andrea Bubula & Inci Ötker, 2003. "Are Pegged and Intermediate Regimes More Crisis Prone?," IMF Working Papers 03/223, International Monetary Fund.
  14. Aaron Tornell, 1999. "Common Fundamentals in the Tequila and Asian Crises," Harvard Institute of Economic Research Working Papers 1868, Harvard - Institute of Economic Research.
  15. Andre Cartapanis, 2004. "Le declenchement des crises de change : qu'avons-nous appris depuis dix ans ?," Economie Internationale, CEPII research center, issue 97, pages 5-48.
  16. Jeanne, Olivier, 1997. "Are currency crises self-fulfilling?: A test," Journal of International Economics, Elsevier, vol. 43(3-4), pages 263-286, November.
  17. Catherine A. Pattillo & Andrew Berg, 2000. "The Challenge of Predicting Economic Crises," IMF Economic Issues 22, International Monetary Fund.
  18. Carmen M. Reinhart & Graciela L. Kaminsky, 1999. "The Twin Crises: The Causes of Banking and Balance-of-Payments Problems," American Economic Review, American Economic Association, vol. 89(3), pages 473-500, June.
  19. Collins, Daryl & Biekpe, Nicholas, 2003. "Contagion: a fear for African equity markets?," Journal of Economics and Business, Elsevier, vol. 55(3), pages 285-297.
  20. Ranil Salgado & Luca Antonio Ricci & Francesco Caramazza, 2000. "Trade and Financial Contagion in Currency Crises," IMF Working Papers 00/55, International Monetary Fund.
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