IDEAS home Printed from https://ideas.repec.org/
MyIDEAS: Log in (now much improved!) to save this paper

Transmission du stress financier de la zone euro aux Pays de l’Europe Centrale et Orientale

Listed author(s):
  • Houda Rharrabti Zaid

L’objectif de cet article est d’examiner empiriquement le lien entre la dégradation de l’environnement financier de la zone euro - pendant la crise des subprimes et celle des dettes souveraines - et son effet sur la volatilité des marchés boursiers des PECO. La stratégie de modélisation que nous adoptons est basée sur les modèles à changement de régime markovien à probabilités de transition variables (TVPMS) dans lesquels les périodes de crise et de calme sont identifiées de façon endogène (Kim et al 2008). Utilisant des données quotidiennes sur la période 01/01/ 2005 – 30/12/2014, nos résultats mettent en évidence une transmission du stress financier de la zone euro aux pays de l’Europe centrale et orientale (PECO) pendant les deux crises, en particulier pour les marchés boursiers hongrois et polonais. En outre, la crise de la dette souveraine semble jouer, non pas via les tensions sur les marchés obligataires, mais à travers les tensions qui affectent les banques de la zone euro.

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL: http://economix.fr/pdf/dt/2015/WP_EcoX_2015-37.pdf
Download Restriction: no

Paper provided by University of Paris Nanterre, EconomiX in its series EconomiX Working Papers with number 2015-37.

as
in new window

Length: 44 pages
Date of creation: 2015
Handle: RePEc:drm:wpaper:2015-37
Contact details of provider: Postal:
200 Avenue de la République, Bât. G - 92001 Nanterre Cedex

Web page: https://economix.fr/
Email:


More information through EDIRC

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:

as
in new window


  1. Filardo, Andrew J. & Gordon, Stephen F., 1998. "Business cycle durations," Journal of Econometrics, Elsevier, vol. 85(1), pages 99-123, July.
  2. Dooley, Michael & Hutchison, Michael, 2009. "Transmission of the U.S. subprime crisis to emerging markets: Evidence on the decoupling-recoupling hypothesis," Journal of International Money and Finance, Elsevier, vol. 28(8), pages 1331-1349, December.
  3. Carlson Mark A & King Thomas & Lewis Kurt, 2011. "Distress in the Financial Sector and Economic Activity," The B.E. Journal of Economic Analysis & Policy, De Gruyter, vol. 11(1), pages 1-31, June.
  4. Campbell, John Y. & Hentschel, Ludger, 1992. "No news is good news *1: An asymmetric model of changing volatility in stock returns," Journal of Financial Economics, Elsevier, vol. 31(3), pages 281-318, June.
  5. Engle, Robert F. & Kroner, Kenneth F., 1995. "Multivariate Simultaneous Generalized ARCH," Econometric Theory, Cambridge University Press, vol. 11(01), pages 122-150, February.
  6. Jan Hanousek & Evžen Kočenda, 2011. "Foreign News and Spillovers in Emerging European Stock Markets," Review of International Economics, Wiley Blackwell, vol. 19(1), pages 170-188, February.
  7. Berkmen, S. Pelin & Gelos, Gaston & Rennhack, Robert & Walsh, James P., 2012. "The global financial crisis: Explaining cross-country differences in the output impact," Journal of International Money and Finance, Elsevier, vol. 31(1), pages 42-59.
  8. Brana, Sophie & Lahet, Delphine, 2010. "La présence de banques étrangères en Europe de l’Est quels risques financiers ?," Revue d'études comparatives Est-Ouest, Editions NecPlus, vol. 41(01), pages 35-62, March.
  9. Kim, Chang-Jin & Piger, Jeremy & Startz, Richard, 2008. "Estimation of Markov regime-switching regression models with endogenous switching," Journal of Econometrics, Elsevier, vol. 143(2), pages 263-273, April.
  10. Francesco Spadafora & Emidio Cocozza & Andrea Colabella, 2011. "The Impact of the Global Crisison South-Eastern Europe," IMF Working Papers 11/300, International Monetary Fund.
  11. Goldfeld, Stephen M. & Quandt, Richard E., 1973. "A Markov model for switching regressions," Journal of Econometrics, Elsevier, vol. 1(1), pages 3-15, March.
  12. Kiefer, Nicholas M, 1978. "Discrete Parameter Variation: Efficient Estimation of a Switching Regression Model," Econometrica, Econometric Society, vol. 46(2), pages 427-434, March.
  13. Robert S. Pindyck, 1984. "Uncertainty in the Theory of Renewable Resource Markets," Review of Economic Studies, Oxford University Press, vol. 51(2), pages 289-303.
  14. Brunetti, Celso & Scotti, Chiara & Mariano, Roberto S. & Tan, Augustine H.H., 2008. "Markov switching GARCH models of currency turmoil in Southeast Asia," Emerging Markets Review, Elsevier, vol. 9(2), pages 104-128, June.
  15. Barry Harrison & Winston Moore, 2011. "Nonlinearities in central and eastern European stock markets," Applied Economics Letters, Taylor & Francis Journals, vol. 18(14), pages 1363-1366.
  16. Marine Carrasco & Liang Hu & Werner Ploberger, 2014. "Optimal Test for Markov Switching Parameters," Econometrica, Econometric Society, vol. 82(2), pages 765-784, March.
  17. Philip R Lane & Gian Maria Milesi-Ferretti, 2011. "The Cross-Country Incidence of the Global Crisis," IMF Economic Review, Palgrave Macmillan;International Monetary Fund, vol. 59(1), pages 77-110, April.
  18. French, Kenneth R. & Schwert, G. William & Stambaugh, Robert F., 1987. "Expected stock returns and volatility," Journal of Financial Economics, Elsevier, vol. 19(1), pages 3-29, September.
  19. Hanousek, Jan & Kocenda, Evzen & Kutan, Ali M., 2009. "The reaction of asset prices to macroeconomic announcements in new EU markets: Evidence from intraday data," Journal of Financial Stability, Elsevier, vol. 5(2), pages 199-219, June.
  20. Jeffrey A. Frankel & George Saravelos, 2010. "Are Leading Indicators of Financial Crises Useful for Assessing Country Vulnerability? Evidence from the 2008-09 Global Crisis," NBER Working Papers 16047, National Bureau of Economic Research, Inc.
  21. Ravi Balakrishnan & Stephan Danninger & Selim Elekdag & Irina Tytell, 2011. "The Transmission of Financial Stress from Advanced to Emerging Economies," Emerging Markets Finance and Trade, M.E. Sharpe, Inc., vol. 47(0), pages 40-68, May.
  22. Guglielmo Maria Caporale & Nicola Spagnolo, 2011. "Stock Market Integration between Three CEECs, Russia, and the UK," Review of International Economics, Wiley Blackwell, vol. 19(1), pages 158-169, February.
  23. Hamilton, James D, 1989. "A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle," Econometrica, Econometric Society, vol. 57(2), pages 357-384, March.
  24. Shaen Corbet, 2014. "The European Financial Market Stress Index," International Journal of Economics and Financial Issues, Econjournals, vol. 4(1), pages 217-230.
  25. Filardo, Andrew J, 1994. "Business-Cycle Phases and Their Transitional Dynamics," Journal of Business & Economic Statistics, American Statistical Association, vol. 12(3), pages 299-308, July.
Full references (including those not matched with items on IDEAS)

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

When requesting a correction, please mention this item's handle: RePEc:drm:wpaper:2015-37. 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: (Valerie Mignon)

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 references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link 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 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.

This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.