IDEAS home Printed from https://ideas.repec.org/a/prs/recofi/ecofi_0987-3368_2000_num_56_1_3811.html

Instabilité financière : comparaison de trois périodes de crise, 1870-1914, 1927-1935, 1961-1998

Author

Listed:
  • Nathalie Rey

Abstract

[fre] Les périodes d’expansion des mouvements internationaux de capitaux (1870-1914, l’entre deux-guerres, depuis la fin des années 1970) ont été marquées par des crises financières d’envergure internationale. Quelle que soit la période, l’analyse des crises financières met en évidence une caractéristique commune à ces différentes crises : la volatilité des rendements des marchés des actions. Cette caractéristique principale constitue non seulement un indicateur de crise, mais également un indicateur du degré d’intégration financière atteint par différents marchés boursiers. L’existence de niveaux de volatilité très proches observés sur plusieurs marchés, et pour une même période, est un indicateur de la réactivité des marchés aux variations des uns et des autres. L’étude de la volatilité des rendements mensuels des marchés des actions réalisée sur trois périodes (1870-1914, 1927-1935, 1961-1998), à partir d’une analyse en composantes principales et de tests de causalité, met en évidence un accroissement des interdépendances de ces marchés en matière d’instabilité financière depuis la seconde moitié des années 1980. Si l’on raisonne en termes de volatilité des marchés des actions, le degré d’intégration financière est désormais élevé et, par conséquent, l’instabilité financière internationale est forte. . Classification JEL : G15, N20 [eng] Financial instability, an historical perspective . Three periods of capital movements growth (1870-1914, 1919-1939 and since the 70’s) have witnessed important financial crisis. These crisis exhibit some common characteristics : the excessive volatility of the stock markets. It seems that, regarding financial instability, interdependence is stronger since the mid-80’s. . JEL Classification : G15, N20

Suggested Citation

  • Nathalie Rey, 2000. "Instabilité financière : comparaison de trois périodes de crise, 1870-1914, 1927-1935, 1961-1998," Revue d'Économie Financière, Programme National Persée, vol. 56(1), pages 7-36.
    • Handle: RePEc:prs:recofi:ecofi_0987-3368_2000_num_56_1_3811
    DOI: 10.3406/ecofi.2000.3811
    Note: DOI:10.3406/ecofi.2000.3811
    as

    Download full text from publisher

    File URL: https://doi.org/10.3406/ecofi.2000.3811
    Download Restriction: no
    File URL: https://www.persee.fr/doc/ecofi_0987-3368_2000_num_56_1_3811
    Download Restriction: no
    File URL: https://libkey.io/10.3406/ecofi.2000.3811?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    Other versions of this item:

    References listed on IDEAS

    as
    1. R. Glenn Hubbard, 1991. "Financial Markets and Financial Crises," NBER Books, National Bureau of Economic Research, Inc, number glen91-1.
    2. Frederic S. Mishkin, 1991. "Asymmetric Information and Financial Crises: A Historical Perspective," NBER Chapters, in: Financial Markets and Financial Crises, pages 69-108, National Bureau of Economic Research, Inc.
    3. Oskar Morgenstern, 1959. "International Financial Transactions and Business Cycles," NBER Books, National Bureau of Economic Research, Inc, number morg59-1.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. SIBI Frédérique, 2010. "The European Central Bank Behaviour and the Asset Prices Evolution," EcoMod2003 330700136, EcoMod.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. James L. Butkiewicz & Kim Lane Leong Long, 2003. "Predicting Interwar Business Cycles with the Interest Rate Yield Spread," Working Papers 03-07, University of Delaware, Department of Economics.
    2. Frederic S. Mishkin, 1998. "The Dangers of Exchange‐Rate Pegging in Emerging‐Market Countries," International Finance, Wiley Blackwell, vol. 1(1), pages 81-101, October.
    3. Botzen, W.J. Wouter & Marey, Philip S., 2010. "Did the ECB respond to the stock market before the crisis?," Journal of Policy Modeling, Elsevier, vol. 32(3), pages 303-322, May.
    4. Lawrence Sáez & Xianwen Shi, 2004. "Liquidity Pools, Risk Sharing, and Financial Contagion," Journal of Financial Services Research, Springer;Western Finance Association, vol. 25(1), pages 5-23, February.
    5. Raquel de F. Oliveira & Rafael F. Schiozer & Lucas A. B. de C. Barros, 2011. "Too Big to Fail Perception by Depositors: an empirical investigation," Working Papers Series 233, Central Bank of Brazil, Research Department.
    6. Dupont, Brandon, 2007. "Bank runs, information and contagion in the panic of 1893," Explorations in Economic History, Elsevier, vol. 44(3), pages 411-431, July.
    7. Simatele, Munacinga C H, 2004. "Financial sector reforms and monetary policy reforms in Zambia," MPRA Paper 21575, University Library of Munich, Germany.
    8. Efraim Benmelech & Nittai K. Bergman, 2018. "Credit Market Freezes," NBER Macroeconomics Annual, University of Chicago Press, vol. 32(1), pages 493-526.
    9. Michael D. Bordo & Michael J. Dueker & David C. Wheelock, 2002. "Aggregate Price Shocks and Financial Instability: A Historical Analysis," Economic Inquiry, Western Economic Association International, vol. 40(4), pages 521-538, October.
    10. Mark A. Carlson, 2008. "Alternatives for distressed banks and the panics of the Great Depression," Finance and Economics Discussion Series 2008-07, Board of Governors of the Federal Reserve System (U.S.).
    11. Cai, Jun & Cheung, Yan-Leung & Goyal, Vidhan K., 1999. "Bank monitoring and the maturity structure of Japanese corporate debt issues," Pacific-Basin Finance Journal, Elsevier, vol. 7(3-4), pages 229-249, August.
    12. Guillermo A. Calvo & Frederic S. Mishkin, 2003. "The Mirage of Exchange Rate Regimes for Emerging Market Countries," Journal of Economic Perspectives, American Economic Association, vol. 17(4), pages 99-118, Fall.
    13. Mishkin, Frederic S., 1998. "International Experiences With Different Monetary Policy Regimes," Seminar Papers 648, Stockholm University, Institute for International Economic Studies.
    14. Charles W. Calomiris, 2008. "The subprime turmoil: what’s old, what’s new, and what’s next," Proceedings - Economic Policy Symposium - Jackson Hole, Federal Reserve Bank of Kansas City, pages 19-110.
    15. Kenc, Turalay & Dibooglu, Sel, 2010. "The 2007-2009 financial crisis, global imbalances and capital flows: Implications for reform," Economic Systems, Elsevier, vol. 34(1), pages 3-21, March.
    16. Mishkin, Frederic S., 1999. "International experiences with different monetary policy regimesMishkin, 1998b). Any views expressed in this paper are those of the author only and not those of Columbia University or the National Bureau of Economic Research," Journal of Monetary Economics, Elsevier, vol. 43(3), pages 579-605, June.
    17. Frederic S. Mishkin, 2005. "The Fed after Greenspan," Eastern Economic Journal, Eastern Economic Association, vol. 31(3), pages 317-332, Summer.
    18. Craig S. Hakkio & William R. Keeton, 2009. "Financial stress: what is it, how can it be measured, and why does it matter?," Economic Review, Federal Reserve Bank of Kansas City, vol. 94(Q II), pages 5-50.
    19. Ben Bernanke & Frederic Mishkin, 1992. "Central Bank Behavior and the Strategy of Monetary Policy: Observations from Six Industrialized Countries," NBER Chapters, in: NBER Macroeconomics Annual 1992, Volume 7, pages 183-238, National Bureau of Economic Research, Inc.
    20. Kenny, Seán & Lennard, Jason & Turner, John D., 2021. "The macroeconomic effects of banking crises: Evidence from the United Kingdom, 1750–1938," Explorations in Economic History, Elsevier, vol. 79(C).

    More about this item

    JEL classification:

    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • N20 - Economic History - - Financial Markets and Institutions - - - General, International, or Comparative
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • N20 - Economic History - - Financial Markets and Institutions - - - General, International, or Comparative

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:prs:recofi:ecofi_0987-3368_2000_num_56_1_3811. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Equipe PERSEE (email available below). General contact details of provider: https://www.persee.fr/collection/ecofi .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.