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

  • Mohamed Ben Abdallah

    ()

    (TEAM - Théories et Applications en Microéconomie et Macroéconomie - CNRS : UMR8059 - Université Paris I - Panthéon-Sorbonne)

  • Iuliana Matei

    ()

    (TEAM - Théories et Applications en Microéconomie et Macroéconomie - CNRS : UMR8059 - Université Paris I - Panthéon-Sorbonne)

L'objet de cet article est de tester empiriquement l'impact de l'effet de contagion sur la crédibilité du taux de change durant les crises financières internationales succédées entre 1997-2001 pour cinq pays de l'Europe de l'Est : Hongrie, Pologne, République Tchèque, Slovaquie et Russie. Nous trouvons que l'effet de contagion est un facteur majeur dans la détermination du taux de change. Par ailleurs, les liens entre les anticipations de dévaluation et les fondamentaux économiques dépendent de la monnaie considérée. Le faible nombre des variables explicatives montre les difficultés à saisir les déterminants du comportement des opérateurs du marché des changes. Pour les cinq pays de l'Europe de l'Est considérés, seul un soudain retournement des marchés dû à l'effet de contagion semble justifier l'augmentation de la volatilité des anticipations de dévaluation. Le fait que la crise russe a eu plus d'impact sur les économies de ces pays confirme sa nature régionale.

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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
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Handle: RePEc:hal:cesptp:halshs-00194873
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