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Is the crisis treatment exacerbating cautiousness or risk-taking?
[Le traitement de la crise génère-t-il de la prudence ou de la prise de risque ?]

Author

Listed:
  • Olivier Damette

    (ERUDITE - Equipe de Recherche sur l’Utilisation des Données Individuelles en lien avec la Théorie Economique - UPEM - Université Paris-Est Marne-la-Vallée - UPEC UP12 - Université Paris-Est Créteil Val-de-Marne - Paris 12)

  • Philippe Frouté

    (LIPHA - Laboratoire Interdisciplinaire d'Etude du Politique Hannah Arendt Paris-Est - UPEM - Université Paris-Est Marne-la-Vallée - UPEC UP12 - Université Paris-Est Créteil Val-de-Marne - Paris 12)

Abstract

Using second generation Panel Unit Root Tests (PURT), panel cointegration tests and panel Granger causality tests we find that although the financial crisis may have increased risk aversion for investors, it did not make disappearing speculative behaviours on structured credit markets. On the contrary, support measures to the banking sector and fiscal stimulus packages have given the opportunity for some investors to speculate on sovereign debt through Credit Default Swap (CDS) vehicles. Thus this article supports ongoing initiatives to strengthen the prudential regulation undertaken in these markets under the Group of 20 (G20) or the Financial Stability Forum (FSF).
(This abstract was borrowed from another version of this item.)

Suggested Citation

  • Olivier Damette & Philippe Frouté, 2010. "Is the crisis treatment exacerbating cautiousness or risk-taking? [Le traitement de la crise génère-t-il de la prudence ou de la prise de risque ?]," Post-Print hal-02336674, HAL.
    • Handle: RePEc:hal:journl:hal-02336674
    DOI: 10.1080/09603100903282697
    as

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