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

Author

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  • Mohamed Ben Abdallah

    (TEAM - Théories et Applications en Microéconomie et Macroéconomie - UP1 - Université Paris 1 Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique)

  • Iuliana Matei

    (TEAM - Théories et Applications en Microéconomie et Macroéconomie - UP1 - Université Paris 1 Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique)

Abstract

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.

Suggested Citation

  • Mohamed Ben Abdallah & Iuliana Matei, 2005. "Crise et contagion : cas des pays de l'Europe de l'Est," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00194873, HAL.
    • Handle: RePEc:hal:cesptp:halshs-00194873
    Note: View the original document on HAL open archive server: https://shs.hal.science/halshs-00194873
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    JEL classification:

    • F30 - International Economics - - International Finance - - - General
    • F40 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - General
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)

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