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Instabilité financière : comparaison de trois périodes de crises, 1870-1914, 1927-1935, 1961-1998

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  • Nathalie Rey

    (CEPN - Centre d'Economie de l'Université Paris Nord - UP13 - Université Paris 13 - USPC - Université Sorbonne Paris Cité - CNRS - Centre National de la Recherche Scientifique)

Abstract

[fre] Les périodes d’expansion des mouvements internationaux de capitaux (1870-1914, l’entre deux-guerres, depuis la fin des années 1970) ont été marquées par des crises financières d’envergure internationale. Quelle que soit la période, l’analyse des crises financières met en évidence une caractéristique commune à ces différentes crises : la volatilité des rendements des marchés des actions. Cette caractéristique principale constitue non seulement un indicateur de crise, mais également un indicateur du degré d’intégration financière atteint par différents marchés boursiers. L’existence de niveaux de volatilité très proches observés sur plusieurs marchés, et pour une même période, est un indicateur de la réactivité des marchés aux variations des uns et des autres. L’étude de la volatilité des rendements mensuels des marchés des actions réalisée sur trois périodes (1870-1914, 1927-1935, 1961-1998), à partir d’une analyse en composantes principales et de tests de causalité, met en évidence un accroissement des interdépendances de ces marchés en matière d’instabilité financière depuis la seconde moitié des années 1980. Si l’on raisonne en termes de volatilité des marchés des actions, le degré d’intégration financière est désormais élevé et, par conséquent, l’instabilité financière internationale est forte. . Classification JEL : G15, N20 [eng] Financial instability, an historical perspective . Three periods of capital movements growth (1870-1914, 1919-1939 and since the 70’s) have witnessed important financial crisis. These crisis exhibit some common characteristics : the excessive volatility of the stock markets. It seems that, regarding financial instability, interdependence is stronger since the mid-80’s. . JEL Classification : G15, N20
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  • Nathalie Rey, 2000. "Instabilité financière : comparaison de trois périodes de crises, 1870-1914, 1927-1935, 1961-1998," Post-Print halshs-03386390, HAL.
    • Handle: RePEc:hal:journl:halshs-03386390
    Note: View the original document on HAL open archive server: https://shs.hal.science/halshs-03386390
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    References listed on IDEAS

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    1. Frederic S. Mishkin, 1991. "Asymmetric Information and Financial Crises: A Historical Perspective," NBER Chapters, in: Financial Markets and Financial Crises, pages 69-108, National Bureau of Economic Research, Inc.
    2. R. Glenn Hubbard, 1991. "Financial Markets and Financial Crises," NBER Books, National Bureau of Economic Research, Inc, number glen91-1, March.
    3. Oskar Morgenstern, 1959. "International Financial Transactions and Business Cycles," NBER Books, National Bureau of Economic Research, Inc, number morg59-1, March.
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    Cited by:

    1. SIBI Frédérique, 2010. "The European Central Bank Behaviour and the Asset Prices Evolution," EcoMod2003 330700136, EcoMod.

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    More about this item

    JEL classification:

    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • N20 - Economic History - - Financial Markets and Institutions - - - General, International, or Comparative
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • N20 - Economic History - - Financial Markets and Institutions - - - General, International, or Comparative

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