Nous montrons d'abord que la volatilite des prix sur tous les marhces (change, taux, spreads, actions) est restee forte apres la crise de l'ete 1998. Ceci peut surprendre puisque la plupart des intervenants sur les marches financiers ont considerablement reduit leur exposition au risque apres cette crise. Nous essayons d'expliquer, en utilisant un modele simple d'equilibre du marche d'actif financier risque, d'ou peut venir cet apparent paradoxe.
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Paper provided by Caisse des Depots et Consignations - Cahiers de recherche in its series Papers with number
1999-13/fi.
Length: 35 pages Date of creation: 1999 Date of revision: Handle: RePEc:fth:cadeco:1999-13/fi
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Find related papers by JEL classification: D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies