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Crise et contagion : cas des pays de l'Europe de l'Est

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Author Info
Mohamed Ben Abdallah () (TEAM)
Iuliana Matei () (TEAM)

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Abstract

The aim of this paper is to test empirically the impact of the contagion effect on the credibility of the exchange rate during the international financial crises between 1997 and 2001 for five CEECs : Hungary, Poland, Czech Republic, Slovakia and Russia. We find that : (1) the contagion effect is an important factor in order to determine the exchange rate ; (ii) the linkages between anticipations of devaluation and the economic fundamentals depends on the currency considered. The low number of the independent variables shows the difficulties to measure the determinants of the operator’s behaviour. The increase of the volatility expectations seems to be justified by a sudden return of the markets because of the contagion effect. Our results emphasize also that the Russian crisis had more impact on the economies of these countries, fact that confirms the regional character of the crisis.

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Publisher Info
Paper provided by Université Panthéon-Sorbonne (Paris 1) in its series Cahiers de la Maison des Sciences Economiques with number bla05044.

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Length: 41 pages
Date of creation: May 2005
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Handle: RePEc:mse:wpsorb:bla05044

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Related research
Keywords: Contagion; exchange rate credibility; CEECs.;

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Find related papers by JEL classification:
F30 - International Economics - - International Finance - - - General
F40 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - General
G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)

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