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Comportement de l’indice de risque pays en regime de fixite extreme des changes

Author

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  • Caroline Duburcq

Abstract

Cet article etudie le coefficient de regression de l’indice de risque d’un pays sur le risque moyen des pays emergents (? risque-pays), en le supposant fixe puis variable, a l’aide d’un modele a composante inobservable. Nous nous interessons essentiellement aux pays d’Amérique latine. Les donnees, quotidiennes, s’etendent du 1er janvier 1998 au 10 juin 2005. Le resultat est que les indices de risque des pays en regime de fixite extreme des changes reduisent le risque moyen des pays emergents d’une part, et sont mieux proteges des chocs specifiques d’autre part. Dans les cas de l’Equateur et beaucoup plus notablement de l’Argentine, on obtient un ? largement plus bas sur la periode de fixite pure des changes que sur la periode de flexibilite/regime intermediaire.

Suggested Citation

  • Caroline Duburcq, 2006. "Comportement de l’indice de risque pays en regime de fixite extreme des changes," Economie Internationale, CEPII research center, issue 106, pages 85-108.
  • Handle: RePEc:cii:cepiei:2006-2td
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    File URL: http://www.cepii.fr/IE/rev106/rev106d.htm
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    More about this item

    Keywords

    Indices de risque-pays; fixite extreme des changes; ? variable dans le temps; filtre de Kalman; modeles; taux de change; regime de change;

    JEL classification:

    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • 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

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