IDEAS home Printed from https://ideas.repec.org/p/hal/journl/halshs-00137599.html
   My bibliography  Save this paper

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 - UMA - Université de la Manouba [Tunisie])

  • René Sandretto

    (GATE - Groupe d'analyse et de théorie économique - UL2 - Université Lumière - Lyon 2 - ENS LSH - 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://shs.hal.science/halshs-00137599
    as

    Download full text from publisher

    File URL: https://shs.hal.science/halshs-00137599/document
    Download Restriction: no
    ---><---

    Other versions of this item:

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    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.
    2. Osama M Badr & Wajih Khallouli, 2019. "Testing for Shift-Contagion Vulnerability Among MENA Stock Markets During the Turkish Financial Crisis," Applied Economics and Finance, Redfame publishing, vol. 6(1), pages 53-63, January.
    3. amri amamou, souhir & hellara, slaheddine, 2021. "The dynamic relationship between the sovereign CDS market and the Eurozone sovereign bond market (classified by maturity): Contagion or Spillovers?," MPRA Paper 109038, University Library of Munich, Germany.
    4. 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.
    5. Wajih Khallouli, 2008. "Shift-Contagion in Middle East and North Africa Stock Markets," Working Papers 420, Economic Research Forum, revised 06 Jan 2008.
    6. Wafa Miled & Zied Ftiti & Jean-Michel Sahut, 2022. "Spatial contagion between financial markets: new evidence of asymmetric measures," Annals of Operations Research, Springer, vol. 313(2), pages 1183-1220, June.
    7. 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.

    More about this item

    Keywords

    Crise financière asiatique; Contagion; ECM non-linéaire; Asian financial crisis; Non-linear ECM;
    All these keywords.

    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

    NEP fields

    This paper has been announced in the following NEP Reports:

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:hal:journl:halshs-00137599. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: CCSD (email available below). General contact details of provider: https://hal.archives-ouvertes.fr/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.