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Crises financières, stratégie d'investissement dans les pays à risque, comportement des investisseurs

Listed author(s):
  • Patrick Artus
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    [eng] Financial Crises, Investment Strategy in High-Risk Countries and Investor Behaviour by Patrick Artus We examine the dynamics of exchange-rate expectations, foreign exchange reserves and foreign investor assets in a country with a serious macroeconomic imbalance (excessive inflation) applying a fixed exchange-rate system. We use a model that generalises those used to study balance of payments crises. We compare the development of foreign investor assets over time and especially the dynamics of withdrawal from this high-risk country by both individual risk-averse investors and investment funds competing for market shares in financial savings. We consider whether investment funds withdraw from high-risk countries later and more suddenly than individual investors, which would correspond to the observed facts (e.g. the Mexican crisis). [fre] Crises financières, stratégie d'investissement dans les pays à risque, comportement des investisseurs par Patrick Artus Nous examinons la dynamique des anticipations de change, des réserves de change, des placements des investisseurs étrangers, pour un pays connaissant un déséquilibre économique (inflation excessive) et qui maintient un régime de changes fixes, dans un modèle qui généralise ceux utilisés pour étudier les crises de balance des paiements. Nous comparons l'évolution dans le temps des placements des investisseurs étrangers, et en particulier la dynamique de leur retrait de ce pays à risque, selon qu'il s'agit d'épargnants individuels présentant de l'aversion pour le risque ou de fonds d'investissement en situation de concurrence pour la collecte de l'épargne à investir. Nous nous demandons si dans le second cas les retraits sont plus tardifs et plus brutaux que dans le premier cas, ce qui correspondrait bien aux observations empiriques (crise mexicaine par exemple).

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    Article provided by Programme National Persée in its journal Économie & prévision.

    Volume (Year): 140 (1999)
    Issue (Month): 4 ()
    Pages: 133-145

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    Handle: RePEc:prs:ecoprv:ecop_0249-4744_1999_num_140_4_5980
    Note: DOI:10.3406/ecop.1999.5980
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