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La contagion liée au changement des anticipations : évidence de la crise coréenne

Author

Listed:
  • Wajih Khallouli

    () (Ecole Supérieure des Sciences Economiques et Commerciales de Tunis)

  • René Sandretto

    () (GATE, University of Lyon, CNRS, ENS-LSH, Centre Léon Bérard, France)

  • Mohamed Ayadi

    () (Université de Tunis, Institut supérieur de gestion (ISG))

Abstract

The object of this article, applied to the case of Korean currency crisis of 1997-1998, is to identify the contagion through an empirical study of the investor anticipations dynamics which is freed from the pseudo explanation hiding place misery by ‘sunspot’. To this end, we develop a, Markov-switching model in line with Jeanne and Masson (2000), but in which we use endogenous probabilities of transition between the states from the economy so as to be able at the same time to identify and explain an effect of contagion. One of the principal contributions of our modelling is that it shows in the Korean case, an overlap of the role of country fundamentals and a self-fulfilling contagion resulting from a rupture in the "beliefs of the market", it self related to the crisis in Thailand and Indonesia.

Suggested Citation

  • Wajih Khallouli & René Sandretto & Mohamed Ayadi, 2008. "La contagion liée au changement des anticipations : évidence de la crise coréenne," Working Papers 0816, Groupe d'Analyse et de Théorie Economique Lyon St-Étienne (GATE Lyon St-Étienne), Université de Lyon.
  • Handle: RePEc:gat:wpaper:0816
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    Keywords

    East Asia crisis; Korean currency crisis; Contagion; Multiple equilibria; Anticipations; Self-fulfilling speculation; Markov-switching models;

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • F41 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Open Economy Macroeconomics

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