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Fondamentaux, Contagion Et Dynamique Des Anticipations :Une Evaluation A Partir De La Crise Financiere Coreenne

Author

Listed:
  • WAJIH KHALLOULI
  • MOHAMED Ayadi
  • RENE SANDRETTO

Abstract

L’objet de cet article est d’identifier le rôle des fondamentaux, des phénomènes de type « tachesolaire » et de la contagion pure au sens de Masson (1999) à travers une étude empirique de ladynamique des anticipations des investisseurs. À cet effet, nous estimons un modèle àchangement de régimes de Markov dans la lignée des travaux effectués par Jeanne et Masson(2000), dans lequel nous endogénéisons les probabilités de transition entre les états del’économie de manière à pouvoir à la fois identifier et expliquer un effet de contagion. L’un desprincipaux apports de notre modélisation appliquée au cas de la crise de change coréenne de1997-1998, est qu’elle révèle une imbrication du rôle des fondamentaux du pays et d’unecontagion issue d’une rupture auto-réalisatrice dans les « croyances du marché ».

Suggested Citation

  • WAJIH KHALLOULI & MOHAMED Ayadi & RENE SANDRETTO, 2013. "Fondamentaux, Contagion Et Dynamique Des Anticipations :Une Evaluation A Partir De La Crise Financiere Coreenne," Brussels Economic Review, ULB -- Universite Libre de Bruxelles, vol. 56(2), pages 175-189.
    • Handle: RePEc:bxr:bxrceb:2013/186524
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    More about this item

    Keywords

    Crise de change asiatique / Asian currency crisis; Équilibres multiples / Multiple equilibria; Contagion pure / Pure contagion; Markov switching / Markov switching;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • D84 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Expectations; Speculations
    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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