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Crise et contagion : cas des pays de l'Europe de l'Est

Listed author(s):
  • Mohamed Ben Abdallah

    ()

    (TEAM - Théories et Applications en Microéconomie et Macroéconomie - UP1 - Université Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique)

  • Iuliana Matei

    ()

    (TEAM - Théories et Applications en Microéconomie et Macroéconomie - UP1 - Université Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique)

The aim of this paper is to test empirically the impact of the contagion effect on the credibility of the exchange rate during the international financial crises between 1997 and 2001 for five CEECs : Hungary, Poland, Czech Republic, Slovakia and Russia. We find that : (1) the contagion effect is an important factor in order to determine the exchange rate ; (ii) the linkages between anticipations of devaluation and the economic fundamentals depends on the currency considered. The low number of the independent variables shows the difficulties to measure the determinants of the operators behaviour. The increase of the volatility expectations seems to be justified by a sudden return of the markets because of the contagion effect. Our results emphasize also that the Russian crisis had more impact on the economies of these countries, fact that confirms the regional character of the crisis.

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Paper provided by HAL in its series Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) with number halshs-00194873.

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Date of creation: May 2005
Publication status: Published in Cahiers de la Maison des Sciences Economiques 2005.44 - ISSN : 1624-0340. 2005
Handle: RePEc:hal:cesptp:halshs-00194873
Note: View the original document on HAL open archive server: https://halshs.archives-ouvertes.fr/halshs-00194873
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  8. Masson, Paul, 1999. "Contagion:: macroeconomic models with multiple equilibria," Journal of International Money and Finance, Elsevier, vol. 18(4), pages 587-602, August.
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  16. Abdallah, M.B. & Drine, I., 2000. "Taux de change reel et fluctuations economiques : cas de la Tunisie," Papiers d'Economie Mathématique et Applications 2000.88, Université Panthéon-Sorbonne (Paris 1).
  17. Allan Drazen, 2000. "Political Contagion in Currency Crises," NBER Chapters,in: Currency Crises, pages 47-67 National Bureau of Economic Research, Inc.
  18. Frankel, Jeffrey A. & Rose, Andrew K., 1996. "Currency crashes in emerging markets: An empirical treatment," Journal of International Economics, Elsevier, vol. 41(3-4), pages 351-366, November.
  19. Taimur Baig & Ilan Goldfajn, 2000. "The Russian Default and the Contagion to Brazil," IMF Working Papers 00/160, International Monetary Fund.
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  23. Maurice Obstfeld & Kenneth Rogoff, 1995. "The Mirage of Fixed Exchange Rates," Journal of Economic Perspectives, American Economic Association, vol. 9(4), pages 73-96, Fall.
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