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Un modèle de crises jumelles inspiré de la crise asiatique

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  • Irina Bunda

    ()
    (LEO - Laboratoire d'économie d'Orleans - CNRS : UMR6221 - Université d'Orléans)

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    Abstract

    Dans cet article, nous proposons un modèle synthétique qui relie crise bancaire et crise de balance de paiements. Nous identifions une configuration d'équilibres multiples tant sur le marché des changes que sur le marché financier international et mettons en lumière les liens entre le déclenchement de la crise sur chacun de ces deux marchés. Sur le marché des changes, la dévaluation est le résultat d'un arbitrage du gouvernement en présence de garanties publiques du secteur bancaire et se produit lorsque la dévaluation anticipée par les spéculateurs coïncide avec la dévaluation « optimale » du gouvernement. Sur le marché financier international, le passage d'un état d'équilibre à un autre est déterminé par l'évolution du ratio Réserves de change/Dettes à court terme en tant qu'expression d'un équilibre fondamental. A travers la prise en compte des fondamentaux dans une dynamique de panique bancaire au niveau international, nous concilions les deux approches majeures de la modélisation actuelle des crises jumelles, à savoir la fragilité des systèmes financiers domestiques et la détérioration ex post d'une grandeur fondamentale en présence d'aléa de moralité.

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    Bibliographic Info

    Paper provided by HAL in its series Post-Print with number halshs-00424464.

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    Date of creation: Jul 2005
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    Publication status: Published, Revue Economique, 2005, 56, 4, 903-937
    Handle: RePEc:hal:journl:halshs-00424464

    Note: View the original document on HAL open archive server: http://halshs.archives-ouvertes.fr/halshs-00424464/en/
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    Related research

    Keywords: crises jumelles; paniques bancaires; aléa de moralité; équilibres multiples; flux de capitaux internationaux;

    References

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    18. repec:fth:inadeb:310 is not listed on IDEAS
    19. Ronald I. McKinnon & Huw Pill, 1996. "Credible Liberalizations and International Capital Flows: The “Overborrowing Syndrome”," NBER Chapters, in: Financial Deregulation and Integration in East Asia, NBER-EASE Volume 5, pages 7-50 National Bureau of Economic Research, Inc.
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    24. Maurice Obstfeld, 1994. "The Logic of Currency Crises," NBER Working Papers 4640, National Bureau of Economic Research, Inc.
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