La contagion liée au changement des anticipations : évidence de la crise coréenne
AbstractThe object of this article, applied to the case of Korean currency crisis of 1997-1998, is to identify the contagion through an empirical study of the investor anticipations dynamics which is freed from the pseudo explanation hiding place misery by ‘sunspot’. To this end, we develop a, Markov-switching model in line with Jeanne and Masson (2000), but in which we use endogenous probabilities of transition between the states from the economy so as to be able at the same time to identify and explain an effect of contagion. One of the principal contributions of our modelling is that it shows in the Korean case, an overlap of the role of country fundamentals and a self-fulfilling contagion resulting from a rupture in the "beliefs of the market", it self related to the crisis in Thailand and Indonesia.
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Bibliographic InfoPaper provided by Groupe d'Analyse et de Théorie Economique (GATE), Centre national de la recherche scientifique (CNRS), Université Lyon 2, Ecole Normale Supérieure in its series Working Papers with number 0816.
Length: 28 pages
Date of creation: 2008
Date of revision:
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East Asia crisis; Korean currency crisis; Contagion; Multiple equilibria; Anticipations; Self-fulfilling speculation; Markov-switching models;
Other versions of this item:
- Mohamed Ayadi & Wajih Khallouli & René Sandretto, 2008. "La contagion liée au changement des anticipations : évidence de la crise coréenne," Post-Print halshs-00303689, HAL.
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models
- F31 - International Economics - - International Finance - - - Foreign Exchange
- F41 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Open Economy Macroeconomics
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