La contagion liée au changement des anticipations : évidence de la crise coréenne
The object of this article, applied to the case of Korean currency crisis of 1997-1998, is to identify the contagion through an empirical study of the investor anticipations dynamics which is freed from the pseudo explanation hiding place misery by ‘sunspot'. To this end, we develop a, Markov-switching model in line with Jeanne and Masson (2000), but in which we use endogenous probabilities of transition between the states from the economy so as to be able at the same time to identify and explain an effect of contagion. One of the principal contributions of our modelling is that it shows in the Korean case, an overlap of the role of country fundamentals and a self-fulfilling contagion resulting from a rupture in the "beliefs of the market", it self related to the crisis in Thailand and Indonesia.
|Date of creation:||2008|
|Publication status:||Published in Working paper GATE 08-16. 2008|
|Note:||View the original document on HAL open archive server: https://halshs.archives-ouvertes.fr/halshs-00303689|
|Contact details of provider:|| Web page: https://hal.archives-ouvertes.fr/|
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