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L'occurrence d'une crise financière dans un modèle de troisième génération

Listed author(s):
  • Delphine Lahet

[eng] This article deals with a financial crisis third generation model that explains the Asian crisis. It focuses on financial panic, banking deficiencies and moral hazard. In a first generation model framework and a cross-generational framewok, we try to define the occurrence of a crisis in different ways. First, we show that a crisis is triggered by a jump between equilibria, from a no crisis equilibrium to a crisis one. Then, we highlight the underlying fundamentals - like bank credit - that may precipitate the occurrence of a crisis. In a last point, we show that taking into account moral hazard may hasten the crisis and it doesn't call into question the jump between equilibria as the triggering of a crisis. [fre] Cet article a pour objet d'élaborer un modèle de crise financière afin de préciser le déclenchement de la crise asiatique. On se place donc dans le cadre des modèles de la troisième génération qui expliquent cette crise en tenant compte de la panique financière, des défaillances bancaires et du risque moral. C'est sur la base d'un modèle de première génération et d'un travail intergénération que nous tentons de définir l'occurrence d'une crise de plusieurs façons. Tout d'abord, nous montrons que le déclenchement d'une crise financière peut être caractérisé par un processus d'équilibres multiples i.e. le passage d'un équilibre de non crise à un équilibre de crise. Puis, nous mettrons en valeur les variables fondamentales, tel le crédit bancaire, dont la dégradation précipite l'occurrence de la crise. Enfin, nous établissons que la prise en compte du risque moral dans notre modélisation accélère le déclenchement de la crise et que le processus d'équilibres multiples reste valable dans cette configuration.

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Article provided by Programme National Persée in its journal Revue française d'économie.

Volume (Year): 16 (2001)
Issue (Month): 2 ()
Pages: 179-206

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Handle: RePEc:prs:rfreco:rfeco_0769-0479_2001_num_16_2_1512
Note: DOI:10.3406/rfeco.2001.1512
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  1. Pierre-Richard Agénor & Jagdeep S. Bhandari & Robert P. Flood, 1992. "Speculative Attacks and Models of Balance of Payments Crises," IMF Staff Papers, Palgrave Macmillan, vol. 39(2), pages 357-394, June.
  2. Peter Isard, 1994. "Realignment Expectations, Forward Rate Bias, and Intervention in an Optimizing Model of Exchange Rate Adjustment," IMF Staff Papers, Palgrave Macmillan, vol. 41(3), pages 435-459, September.
  3. Flood, Robert & Marion, Nancy, 1999. "Perspectives on the Recent Currency Crisis Literature," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 4(1), pages 1-26, January.
  4. Masson, Paul, 1999. "Contagion:: macroeconomic models with multiple equilibria," Journal of International Money and Finance, Elsevier, vol. 18(4), pages 587-602, August.
  5. Krugman, Paul, 1979. "A Model of Balance-of-Payments Crises," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 11(3), pages 311-325, August.
  6. Flood, Robert P. & Garber, Peter M., 1984. "Collapsing exchange-rate regimes : Some linear examples," Journal of International Economics, Elsevier, vol. 17(1-2), pages 1-13, August.
  7. Cavallari, Lilia & Corsetti, Giancarlo, 2000. "Shadow rates and multiple equilibria in the theory of currency crises," Journal of International Economics, Elsevier, vol. 51(2), pages 275-286, August.
  8. Jeanne, Olivier, 1997. "Are currency crises self-fulfilling?: A test," Journal of International Economics, Elsevier, vol. 43(3-4), pages 263-286, November.
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