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

Author

Listed:
  • Mohamed Ayadi
  • Riadh Boudhina
  • Wajih Khallouli
  • Rene Sandretto

Abstract

Dans cet article, nous testons la presence de contagion durant la crise financiere asiatique. A cet effet, nous proposons une nouvelle procedure qui consiste a tester la non-linearite des mecanismes de propagation des chocs estimes a travers un modele d’interdependance de long terme. Nous appliquons cette methodologie aux marches des dettes souveraines (spreads) qui mesurent la perception du risque. Nos resultats montrent la contamination de la Malaisie et des Philippines par le phenomene de contagion.

Suggested Citation

  • Mohamed Ayadi & Riadh Boudhina & Wajih Khallouli & Rene Sandretto, 2006. "La contagion de la crise asiatique : dynamiques de court terme et de long terme," Economie Internationale, CEPII research center, issue 105, pages 113-134.
  • Handle: RePEc:cii:cepiei:2006-1te
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    Cited by:

    1. Essahbi Essaadi & Jamel Jouini & Wajih Khallouli, 2009. "The Asian Crisis Contagion: A Dynamic Correlation Approach Analysis," Panoeconomicus, Savez ekonomista Vojvodine, Novi Sad, Serbia, vol. 56(2), pages 241-260, June.
    2. Bensafta, Kamel Malik & Semedo, Gervasio, 2009. "De la transmission de la volatilité à la contagion entre marchés boursiers : l’éclairage d’un modèle VAR non linéaire avec bris structurels en variance," L'Actualité Economique, Société Canadienne de Science Economique, vol. 85(1), pages 13-76, mars.
    3. Wajih Khallouli, 2008. "Shift-Contagion in Middle East and North Africa Stock Markets," Working Papers 420, Economic Research Forum, revised 06 Jan 2008.

    More about this item

    Keywords

    Crise financiere asiatique; contagion; modele a correction d’erreur non-linéaire; crise; systeme bancaire; systeme des paiements;

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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