IDEAS home Printed from https://ideas.repec.org/p/lam/wpaper/14-04.html
   My bibliography  Save this paper

La crise des dettes souveraines: contagions ou interdépendances des principaux indices de la zone euro?

Author

Listed:
  • Rachida Hennani
  • Michel Terraza

Abstract

Les évènements récents qui ont successivement secoué les marchés financiers européens suggèrent des phénomènes d’interdépendance entre les indices boursiers. Les relations susceptibles d’exister entre ces différents pays peuvent s’intensifier en période de crise. Il est alors plus adéquat de parler de contagion. Cette différence de terminologie revêt des réalités diverses qui impactent le choix des politiques économiques. Cet article met en évidence la présence des phénomènes de contagion en période de crise entre plusieurs indices boursiers et confirme le rôle moteur joué par l’indice allemand. Notre étude empirique montre une surperformance du modèle Mackey-Glass-DCCGARCH par rapport au modèle DCC-GARCH, indiquant que les structures hautement complexes de type chaotiques présentes dans les séries de rentabilités sont bien prises en compte.

Suggested Citation

  • Rachida Hennani & Michel Terraza, 2014. "La crise des dettes souveraines: contagions ou interdépendances des principaux indices de la zone euro?," Working Papers 14-04, LAMETA, Universtiy of Montpellier, revised Feb 2014.
  • Handle: RePEc:lam:wpaper:14-04
    as

    Download full text from publisher

    File URL: http://www.lameta.univ-montp1.fr/Documents/DR2014-04.pdf
    File Function: First version, 2014
    Download Restriction: no

    More about this item

    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:lam:wpaper:14-04. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Patricia Modat). General contact details of provider: http://edirc.repec.org/data/lamplfr.html .

    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 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.

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

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.