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La contagion de la crise asiatique : dynamiques de court terme et de long terme

Author

Listed:
  • Wajih Khallouli

    () (Ecole Supérieure des Sciences Economiques et Commerciales de Tunis - Université de Tunis)

  • Mohamed Ayadi

    () (ISG - Institut supérieur de gestion - Université de Tunis)

  • Riadh Boudhina

    () (ISCAE - Institut Supérieur de Comptabilité et d'Administration des Entreprises - Université de la Manouba [Tunisie])

  • René Sandretto

    () (GATE - Groupe d'analyse et de théorie économique - UL2 - Université Lumière - Lyon 2 - Ecole Normale Supérieure Lettres et Sciences Humaines - CNRS - Centre National de la Recherche Scientifique)

Abstract

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.

Suggested Citation

  • Wajih Khallouli & Mohamed Ayadi & Riadh Boudhina & René Sandretto, 2006. "La contagion de la crise asiatique : dynamiques de court terme et de long terme," Post-Print halshs-00137599, HAL.
  • Handle: RePEc:hal:journl:halshs-00137599
    Note: View the original document on HAL open archive server: https://halshs.archives-ouvertes.fr/halshs-00137599
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    Cited by:

    1. Essahbi Essaadi & Jamel Jouini & Wajih Khallouli, 2009. "The Asian Crisis Contagion: A Dynamic Correlation Approach Analysis," Panoeconomicus, Savez ekonomista Vojvodine, Novi Sad, Serbia, vol. 56(2), pages 241-260, June.
    2. Bensafta, Kamel Malik & Semedo, Gervasio, 2009. "De la transmission de la volatilité à la contagion entre marchés boursiers : l’éclairage d’un modèle VAR non linéaire avec bris structurels en variance," L'Actualité Economique, Société Canadienne de Science Economique, vol. 85(1), pages 13-76, mars.
    3. Wajih Khallouli, 2008. "Shift-Contagion in Middle East and North Africa Stock Markets," Working Papers 420, Economic Research Forum, revised 06 Jan 2008.

    More about this item

    Keywords

    Crise financière asiatique; Contagion; ECM non-linéaire; Asian financial crisis; Non-linear ECM;

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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