Illiquidité, contagion et risque systémique
Editor
- Le Fol, Gaëlle
Author
Abstract
Suggested Citation
Note: dissertation
Download full text from publisher
References listed on IDEAS
- Eichengreen, Barry & Rose, Andrew K & Wyplosz, Charles, 1996.
"Contagious Currency Crises,"
CEPR Discussion Papers
1453, C.E.P.R. Discussion Papers.
- Barry Eichengreen & Andrew K. Rose & Charles Wyplosz, 1996. "Contagious Currency Crises," NBER Working Papers 5681, National Bureau of Economic Research, Inc.
- Nicole M. Boyson & Christof W. Stahel & René M. Stulz, 2010. "Hedge Fund Contagion and Liquidity Shocks," Journal of Finance, American Finance Association, vol. 65(5), pages 1789-1816, October.
- Lorán Chollete & Randi Næs & Johannes A. Skjeltorp, 2007. "What captures liquidity risk? A comparison of trade and order based liquidity factors," Working Paper 2007/03, Norges Bank.
- Fontana, Alessandro & Scheicher, Martin, 2016.
"An analysis of euro area sovereign CDS and their relation with government bonds,"
Journal of Banking & Finance,
Elsevier, vol. 62(C), pages 126-140.
- Fontana, Alessandro & Scheicher, Martin, 2010. "An analysis of euro area sovereign CDS and their relation with government bonds," Working Paper Series 1271, European Central Bank.
- Eichengreen, Barry & Rose, Andrew & Wyplosz, Charles, 1996. " Contagious Currency Crises: First Tests," Scandinavian Journal of Economics, Wiley Blackwell, vol. 98(4), pages 463-484, December.
- King, Mervyn A & Wadhwani, Sushil, 1990.
"Transmission of Volatility between Stock Markets,"
Review of Financial Studies,
Society for Financial Studies, vol. 3(1), pages 5-33.
- Mervyn A. King & Sushil Wadhwani, 1989. "Transmission of Volatility Between Stock Markets," NBER Working Papers 2910, National Bureau of Economic Research, Inc.
- Markus K. Brunnermeier & Lasse Heje Pedersen, 2009.
"Market Liquidity and Funding Liquidity,"
Review of Financial Studies,
Society for Financial Studies, vol. 22(6), pages 2201-2238, June.
- Brunnermeier, Markus K & Pedersen, Lasse Heje, 2007. "Market Liquidity and Funding Liquidity," CEPR Discussion Papers 6179, C.E.P.R. Discussion Papers.
- Lasse Heje Pederson & Markus K Brunnermeier, 2007. "Market Liquidity and Funding Liquidity," FMG Discussion Papers dp580, Financial Markets Group.
- Brunnermeier, Markus K. & Pedersen, Lasse Heje, 2007. "Market liquidity and funding liquidity," LSE Research Online Documents on Economics 24478, London School of Economics and Political Science, LSE Library.
- Markus K. Brunnermeier & Lasse Heje Pedersen, 2007. "Market Liquidity and Funding Liquidity," NBER Working Papers 12939, National Bureau of Economic Research, Inc.
- Hasbrouck, Joel, 2004. "Liquidity in the Futures Pits: Inferring Market Dynamics from Incomplete Data," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 39(02), pages 305-326, June.
- BAUWENS, Luc & otranto, EDOARDO, 2013.
"Modeling the dependence of conditional correlations on volatility,"
CORE Discussion Papers
2013014, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- L. Bauwens & E. Otranto, 2013. "Modeling the Dependence of Conditional Correlations on Volatility," Working Paper CRENoS 201304, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia.
- Andrew Ang & Geert Bekaert, 2002. "International Asset Allocation With Regime Shifts," Review of Financial Studies, Society for Financial Studies, vol. 15(4), pages 1137-1187.
- Koenker, Roger W & Bassett, Gilbert, Jr, 1978. "Regression Quantiles," Econometrica, Econometric Society, vol. 46(1), pages 33-50, January.
- Boudt, Kris & Paulus, Ellen C.S. & Rosenthal, Dale W.R., 2017.
"Funding liquidity, market liquidity and TED spread: A two-regime model,"
Journal of Empirical Finance,
Elsevier, vol. 43(C), pages 143-158.
- Kris Boudt & Ellen C.S. Paulus & Dale W.R. Rosenthal, 2013. "Funding liquidity, market liquidity and TED spread : A two-regime model," Working Paper Research 244, National Bank of Belgium.
- John Ammer & Fang Cai, 2007. "Sovereign CDS and bond pricing dynamics in emerging markets: does the cheapest-to-deliver option matter?," International Finance Discussion Papers 912, Board of Governors of the Federal Reserve System (U.S.).
- Jean-Sébastien Fontaine & René Garcia, 2012.
"Bond Liquidity Premia,"
Review of Financial Studies,
Society for Financial Studies, vol. 25(4), pages 1207-1254.
- Jean-Sébastien Fontaine & René Garcia, 2009. "Bond Liquidity Premia," Staff Working Papers 09-28, Bank of Canada.
- Aitken, Michael & Comerton-Forde, Carole, 2003. "How should liquidity be measured?," Pacific-Basin Finance Journal, Elsevier, vol. 11(1), pages 45-59, January.
- David L. Mengle, 2007. "Credit derivatives: an overview," Economic Review, Federal Reserve Bank of Atlanta, issue Q4, pages 1-24.
- Glick, Reuven & Rose, Andrew K., 1999.
"Contagion and trade: Why are currency crises regional?,"
Journal of International Money and Finance,
Elsevier, vol. 18(4), pages 603-617, August.
- Glick, Reuven & Rose, Andrew K, 1998. "Contagion and Trade: Why are Currency Crises Regional," CEPR Discussion Papers 1947, C.E.P.R. Discussion Papers.
- Reuven Glick & Andrew K. Rose, 1998. "Contagion and Trade: Why Are Currency Crises Regional?," NBER Working Papers 6806, National Bureau of Economic Research, Inc.
- Reuven Glick & Andrew K. Rose, 1998. "Contagion and trade: why are currency crises regional?," Pacific Basin Working Paper Series 98-03, Federal Reserve Bank of San Francisco.
- Kenourgios, Dimitris & Samitas, Aristeidis & Paltalidis, Nikos, 2011. "Financial crises and stock market contagion in a multivariate time-varying asymmetric framework," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 21(1), pages 92-106, February.
- Mathias Drehmann, 2013. "Total credit as an early warning indicator for systemic banking crises," BIS Quarterly Review, Bank for International Settlements, June.
- Korajczyk, Robert A. & Sadka, Ronnie, 2008. "Pricing the commonality across alternative measures of liquidity," Journal of Financial Economics, Elsevier, vol. 87(1), pages 45-72, January.
- Giamouridis, Daniel & Vrontos, Ioannis D., 2007. "Hedge fund portfolio construction: A comparison of static and dynamic approaches," Journal of Banking & Finance, Elsevier, vol. 31(1), pages 199-217, January.
- Morris, Stephen & Shin, Hyun Song, 2004.
"Coordination risk and the price of debt,"
European Economic Review,
Elsevier, vol. 48(1), pages 133-153, February.
- Stephen Morris & Hyun Song Shin, 1999. "Coordination Risk and the Price of Debt," Cowles Foundation Discussion Papers 1241R, Cowles Foundation for Research in Economics, Yale University, revised Feb 2002.
- Morris, Stephen & Shin, Hyun Song, 2001. "Coordination risk and the price of debt," LSE Research Online Documents on Economics 25046, London School of Economics and Political Science, LSE Library.
- Hyun Song Shin & Stephen Morris, 2001. "Coordination Risk and the Price of Debt," FMG Discussion Papers dp373, Financial Markets Group.
- Stephen Morris & Hyun Song Shin, 1999. "Coordination Risk and the Price of Debt," Cowles Foundation Discussion Papers 1241, Cowles Foundation for Research in Economics, Yale University.
- Harris, L., 1990. "Liquidity , Trading Rules and Electronic Trading Systems ," Papers 91-8, Southern California - School of Business Administration.
- Dungey, Mardi & Milunovich, George & Thorp, Susan & Yang, Minxian, 2015.
"Endogenous crisis dating and contagion using smooth transition structural GARCH,"
Journal of Banking & Finance,
Elsevier, vol. 58(C), pages 71-79.
- Dungey, Mardi & Milunovich, George & Thorp, Susan & Yang, Minxian, 2012. "Endogenous crisis dating and contagion using smooth transition structural GARCH," Working Papers 15030, University of Tasmania, Tasmanian School of Business and Economics, revised 29 Aug 2012.
- Mardi Dungey & George Milunovich & Susan Thorp & Minxian Yang, 2012. "Endogenous Crisis Dating and Contagion Using Smooth Transition Structural GARCH," Research Paper Series 312, Quantitative Finance Research Centre, University of Technology, Sydney.
- Chiang, Thomas C. & Jeon, Bang Nam & Li, Huimin, 2007. "Dynamic correlation analysis of financial contagion: Evidence from Asian markets," Journal of International Money and Finance, Elsevier, vol. 26(7), pages 1206-1228, November.
- Roberto Rigobon, 2002.
"Contagion: How to Measure It?,"
NBER Chapters,in: Preventing Currency Crises in Emerging Markets, pages 269-334
National Bureau of Economic Research, Inc.
- Roberto Rigobon, 2001. "Contagion: How to Measure It?," NBER Working Papers 8118, National Bureau of Economic Research, Inc.
- Carole Comerton-Forde & Terrence Hendershott & Charles M. Jones & Pamela C. Moulton & Mark S. Seasholes, 2010. "Time Variation in Liquidity: The Role of Market-Maker Inventories and Revenues," Journal of Finance, American Finance Association, vol. 65(1), pages 295-331, February.
- Dimitrios Bisias & Mark Flood & Andrew W. Lo & Stavros Valavanis, 2012.
"A Survey of Systemic Risk Analytics,"
Annual Review of Financial Economics,
Annual Reviews, vol. 4(1), pages 255-296, October.
- Dimitrios Bisias & Mark Flood & Andrew W. Lo & Stavros Valavanis, 2012. "A Survey of Systemic Risk Analytics," Working Papers 12-01, Office of Financial Research, US Department of the Treasury.
- Garcia, Rene, 1998.
"Asymptotic Null Distribution of the Likelihood Ratio Test in Markov Switching Models,"
International Economic Review,
Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 39(3), pages 763-788, August.
- René Garcia, 1995. "Asymptotic Null Distribution of the Likelihood Ratio Test in Markov Switching Models," CIRANO Working Papers 95s-07, CIRANO.
- Pelletier, Denis, 2006.
"Regime switching for dynamic correlations,"
Journal of Econometrics,
Elsevier, vol. 131(1-2), pages 445-473.
- Denis Pelletier, 2004. "Regime Switching for Dynamic Correlations," Econometric Society 2004 North American Summer Meetings 230, Econometric Society.
- Mathias Drehmann & Nikola Tarashev, 2011. "Systemic importance: some simple indicators," BIS Quarterly Review, Bank for International Settlements, March.
- Wang, Kuan-Min & Nguyen Thi, Thanh-Binh, 2007. "Testing for contagion under asymmetric dynamics: Evidence from the stock markets between US and Taiwan," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 376(C), pages 422-432.
- Mardi Dungey & Renee Fry & Brenda Gonzalez-Hermosillo & Vance Martin, 2005.
"Empirical modelling of contagion: a review of methodologies,"
Quantitative Finance,
Taylor & Francis Journals, vol. 5(1), pages 9-24.
- Vance L. Martin & Brenda Gonzalez-Hermosillo, & Mardi Dungey & Renee A. Fry, 2004. "Empirical Modelling of Contagion: A Review of Methodologies," Econometric Society 2004 Australasian Meetings 243, Econometric Society.
- Mardi Dungey & Renee Fry & Vance Martin & Brenda Gonzalez-Hermosillo, 2004. "Empirical Modeling of Contagion; A Review of Methodologies," IMF Working Papers 04/78, International Monetary Fund.
- Martin, V. & Dungey & M., 2004. "Empirical Modelling of Contagion: A Review of Methodologies," Econometric Society 2004 Far Eastern Meetings 574, Econometric Society.
- Bruce E. Hansen, 2000.
"Sample Splitting and Threshold Estimation,"
Econometrica,
Econometric Society, vol. 68(3), pages 575-604, May.
- Bruce E. Hansen, 1996. "Sample Splitting and Threshold Estimation," Boston College Working Papers in Economics 319., Boston College Department of Economics, revised 12 May 1998.
- Ramchand, Latha & Susmel, Raul, 1998. "Volatility and cross correlation across major stock markets," Journal of Empirical Finance, Elsevier, vol. 5(4), pages 397-416, October.
- Roberto Rigobon, 2003. "Identification Through Heteroskedasticity," The Review of Economics and Statistics, MIT Press, vol. 85(4), pages 777-792, November.
- Edwards, Sebastian & Susmel, Raul, 2001.
"Volatility dependence and contagion in emerging equity markets,"
Journal of Development Economics,
Elsevier, vol. 66(2), pages 505-532, December.
- Sebastian Edwards & Raul Susmel, 2001. "Volatility Dependence and Contagion in Emerging Equity Markets," NBER Working Papers 8506, National Bureau of Economic Research, Inc.
- Bollerslev, Tim, 1990. "Modelling the Coherence in Short-run Nominal Exchange Rates: A Multivariate Generalized ARCH Model," The Review of Economics and Statistics, MIT Press, vol. 72(3), pages 498-505, August.
- Goyenko, Ruslan Y. & Holden, Craig W. & Trzcinka, Charles A., 2009. "Do liquidity measures measure liquidity?," Journal of Financial Economics, Elsevier, vol. 92(2), pages 153-181, May.
- Hamilton, James D. & Susmel, Raul, 1994.
"Autoregressive conditional heteroskedasticity and changes in regime,"
Journal of Econometrics,
Elsevier, vol. 64(1-2), pages 307-333.
- Tom Doan, "undated". "RATS programs to estimate Hamilton-Susmel Markov Switching ARCH model," Statistical Software Components RTZ00083, Boston College Department of Economics.
- Tamim Bayoumi & Manmohan S. Kumar & Giorgio Fazio & Ronald MacDonald, 2003. "Fatal Attraction; A New Measure of Contagion," IMF Working Papers 03/80, International Monetary Fund.
- Patro, Dilip K. & Qi, Min & Sun, Xian, 2013. "A simple indicator of systemic risk," Journal of Financial Stability, Elsevier, vol. 9(1), pages 105-116.
- Zakoian, Jean-Michel, 1994. "Threshold heteroskedastic models," Journal of Economic Dynamics and Control, Elsevier, vol. 18(5), pages 931-955, September.
- Lesmond, David A & Ogden, Joseph P & Trzcinka, Charles A, 1999. "A New Estimate of Transaction Costs," Review of Financial Studies, Society for Financial Studies, vol. 12(5), pages 1113-1141.
- Hamao, Yasushi & Masulis, Ronald W & Ng, Victor, 1990. "Correlations in Price Changes and Volatility across International Stock Markets," Review of Financial Studies, Society for Financial Studies, vol. 3(2), pages 281-307.
- Viral Acharya & Robert Engle & Matthew Richardson, 2012. "Capital Shortfall: A New Approach to Ranking and Regulating Systemic Risks," American Economic Review, American Economic Association, vol. 102(3), pages 59-64, May.
- Teo, Melvyn, 2011. "The liquidity risk of liquid hedge funds," Journal of Financial Economics, Elsevier, vol. 100(1), pages 24-44, April.
More about this item
Keywords
Econométrie de la Finance; Liquidité; Contagion financière; Risque Systémique; Mesures de Liquidité; Financial Econometrics; Liquidity; Financial Contagion; Systemic Risk; Liquidity measures;JEL classification:
- G24 - Financial Economics - - Financial Institutions and Services - - - Investment Banking; Venture Capital; Brokerage
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
- G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
Statistics
Access and download statisticsCorrections
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:dau:thesis:123456789/13236. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Alexandre Faure). General contact details of provider: http://edirc.repec.org/data/daup9fr.html .
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 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.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.