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Les effets de la crise des subprimes sur le marché financier mexicain

Author

Listed:
  • Gilles Dufrénot

    (DEFI - Centre de recherche en développement économique et finance internationale - GREQAM - Groupement de Recherche en Économie Quantitative d'Aix-Marseille - EHESS - École des hautes études en sciences sociales - AMU - Aix Marseille Université - ECM - École Centrale de Marseille - CNRS - Centre National de la Recherche Scientifique)

  • Valérie Mignon

    (CEPII - Centre d'études prospectives et d'informations internationales, EconomiX - EconomiX - UPN - Université Paris Nanterre - CNRS - Centre National de la Recherche Scientifique)

  • Anne Peguin-Feissolle

    (GREQAM - Groupement de Recherche en Économie Quantitative d'Aix-Marseille - EHESS - École des hautes études en sciences sociales - AMU - Aix Marseille Université - ECM - École Centrale de Marseille - CNRS - Centre National de la Recherche Scientifique)

Abstract

The aim of this article is to study and quantify the transmission channels between the American and Mexican stock markets in the aftermath of the subprime crisis. To this end, we use a time-varying transition probability Markov-switching model, in which ?crisis? and ?non-crisis? periods are identified endogenously. Using daily data from January 2004 to April 2009, our findings do not validate the ?financial decoupling? hypothesis since we show that the financial stress in the us markets is transmitted to the Mexican stock market volatility. Classification JEL : C13, C22, G01, G15.
(This abstract was borrowed from another version of this item.)

Suggested Citation

  • Gilles Dufrénot & Valérie Mignon & Anne Peguin-Feissolle, 2011. "Les effets de la crise des subprimes sur le marché financier mexicain," Post-Print halshs-00595338, HAL.
  • Handle: RePEc:hal:journl:halshs-00595338
    DOI: 10.3917/reco.623.0461
    as

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    Keywords

    marchés financiers; volatilité; crise financière; changement de régime; modèle Markov-switching;
    All these keywords.

    JEL classification:

    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • G01 - Financial Economics - - General - - - Financial Crises
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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