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Taux d’interet et marches boursiers : une analyse empirique de l’intégration financiere internationale

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Author Info
Vladimir Borgy
Valerie Mignon

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Abstract

L’objet de ce papier consiste en l’etude empirique de la dynamique de l’integration financiere entre les Etats-Unis et la zone euro. Nous nous centrons sur les indicateurs bases sur les prix et analysons le comportement de deux types de variables : les taux d’interet a court et long termes et les prix des actifs. Nos resultats montrent que la parite non couverte des taux d’interet nominaux tend a etre validee et que l’interdependance entre les marches boursiers est grandissante. Ces resultats vont dans le le sens d’une tendance croissante a l’integration financiere entre Etats-Unis et zone euro.

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File URL: http://www.cepii.fr/francgraph/doctravail/resumes/2006/dt06-25.htm
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Publisher Info
Paper provided by CEPII research center in its series Working Papers with number 2006-25.

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Date of creation: Dec 2006
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Handle: RePEc:cii:cepidt:2006-25

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Related research
Keywords: Integration financiere; taux d’interet; taux de change; zone euro; marches financiers; parite non couverte; rentabilites boursieres; Etats-Unis;

Find related papers by JEL classification:
C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions
E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Determination of Interest Rates; Term Structure of Interest Rates
F36 - International Economics - - International Finance - - - Financial Aspects of Economic Integration
G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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This page was last updated on 2009-11-18.

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