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Contagion Between the Financial Sphere and the Real Economy. Parametric and non Parametric Tools: A Comparison

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  • Dominique Guegan

    ()
    (CES - Centre d'économie de la Sorbonne - CNRS : UMR8174 - Université Paris 1 - Panthéon-Sorbonne, EEP-PSE - Ecole d'Économie de Paris - Paris School of Economics - Ecole d'Économie de Paris)

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    Abstract

    The aim of this chapter is to dsicuss the contagionbetween the financial sphere and the real sphere. We define the concept of contagion, then we introduce some parametric models used to detect the contagion phenomenum, then we introduce some non-parametric tools focusing on copulas. Interdependence between national economies is investigated through these tools. Finally we investigate the interdependence between the financial and the real spheres.

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    Bibliographic Info

    Paper provided by HAL in its series Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) with number halshs-00185373.

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    Date of creation: 2011
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    Publication status: Published, Progress in financial market research, NOVA publishers (Ed.), 2011, 233-254
    Handle: RePEc:hal:cesptp:halshs-00185373

    Note: View the original document on HAL open archive server: http://halshs.archives-ouvertes.fr/halshs-00185373
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    Related research

    Keywords: Contagion ; Setar ; markov switching ; Copulas ; real sphere ; financial sphere;

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    1. Neftci, Salih N, 1984. "Are Economic Time Series Asymmetric over the Business Cycle?," Journal of Political Economy, University of Chicago Press, vol. 92(2), pages 307-28, April.
    2. Avouyi-Dovi, S. & Guégan, D. & Ladoucette, S., 2002. "What is the Best Approach to Measure the Interdependence between Different Markets?," Working papers 95, Banque de France.
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