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La contagion de la crise asiatique : dynamiques de court terme et de long terme

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Author Info

  • Wajih Khallouli

    ()
    (Ecole Supérieure des Sciences Economiques et Commerciales de Tunis - Université de Tunis)

  • Mohamed Ayadi

    ()
    (ISG - Institut supérieur de gestion - Université de Tunis)

  • Riadh Boudhina

    ()
    (ISCAE - Institut Supérieur de Comptabilité et d'Administration des Entreprises - Université de la Manouba)

  • René Sandretto

    ()
    (GATE - Groupe d'analyse et de théorie économique - CNRS : UMR5824 - Université Lumière - Lyon II - Ecole Normale Supérieure Lettres et Sciences Humaines)

Abstract

Dans ce papier, nous testons la présence de la contagion durant la crise financière asiatique. A cet effet, nous proposons une nouvelle procédure qui consiste à tester la non-linéarité des mécanismes de propagation des chocs estimés à travers un modèle d'interdépendance de long terme. Nous appliquons cette méthodologie aux marchés des dettes souveraines (spreads) qui mesurent la perception du risque. Nos résultats montrent la contamination de la Malaisie et les Philippines par le phénomène de la contagion.

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File URL: http://halshs.archives-ouvertes.fr/docs/00/13/75/99/PDF/article_eco_inter.pdf
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Bibliographic Info

Paper provided by HAL in its series Post-Print with number halshs-00137599.

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Date of creation: 2006
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Publication status: Published, Economie Internationale, 2006, 105, 113-134
Handle: RePEc:hal:journl:halshs-00137599

Note: View the original document on HAL open archive server: http://halshs.archives-ouvertes.fr/halshs-00137599/en/
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Web page: http://hal.archives-ouvertes.fr/

Related research

Keywords: Crise financière asiatique ; Contagion ; ECM non-linéaire ; Asian financial crisis ; Contagion ; Non-linear ECM;

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Cited by:
  1. Essahbi Essaadi & Jamel Jouini & Wajih Khallouli, 2009. "The Asian Crisis Contagion: A Dynamic Correlation Approach Analysis," Post-Print, HAL halshs-00404386, HAL.

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