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

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  • Houda Rharrabti Zaid

Abstract

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.

Suggested Citation

  • Houda Rharrabti Zaid, 2015. "Transmission du stress financier de la zone euro aux Pays de l’Europe Centrale et Orientale," EconomiX Working Papers 2015-37, University of Paris Nanterre, EconomiX.
  • Handle: RePEc:drm:wpaper:2015-37
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    Keywords

    crise financière; transmission; volatilité; changement de régime; contagion; intégration.;

    JEL classification:

    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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