La contagion de la crise asiatique : dynamiques de court terme et de long terme
In this paper, we test the presence of the contagion during the Asian financial crisis. We propose a new procedure which consists in testing the non-linearity of the propagation mechanisms of the shocks, estimated with a model of long term interdependence. We apply this methodology to the markets of the sovereign debts (spreads) which measure the risk perception. Our results prove that Malaysia and the Philippines have been contaminated by contagion.
|Date of creation:||2006|
|Publication status:||Published in Economie Internationale, 2006, pp.113-134|
|Note:||View the original document on HAL open archive server: https://halshs.archives-ouvertes.fr/halshs-00137599|
|Contact details of provider:|| Web page: https://hal.archives-ouvertes.fr/|
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