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La contagion financi`ere : une ´etude empirique sur les causalités lors de la crise asiatique

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  • MARAIS Elise

    (Université de la Méditerranée CEFI)

Abstract
Cet article a pour objet d’´etudier empiriquement le ph´enom`ene de contagion lors de la crise asiatique de 1997-1998 en testant la pr´esence de causalit´e au sens de Granger (dans la lign´ee des travaux de San-der et Kleimeier [37]) entre les ´economies asiatiques suivantes : la Tha¨ýlande, l’Indon´esie, les Philippines, la Malaisie et la Cor´ee du Sud sur le march´e de la dette souveraine ´emergente. On montre que les liens entre pays sont diff´erents entre la p´eriode dite tranquille et la p´eriode de crise. Plus sp´ecifiquement, des liens qui n’existent pas du-rant la p´eriode normale se r´ev`elent jouer un rˆ ole important lors de la p´eriode de crise. Deuxi`emement, le sens des causalit´es t´emoigne de l’influence des crises tha¨ýlandaise et cor´eenne sur les ´economies de la r´egion. Les crises tha¨ýlandaise et cor´eenne semblent avoir conduit `a une r´eevaluation de l’ensemble des pays de la r´egion par les investisseurs et constituer un wake up call effect.

Suggested Citation

  • MARAIS Elise, 2004. "La contagion financi`ere : une ´etude empirique sur les causalités lors de la crise asiatique," International Finance 0404003, University Library of Munich, Germany.
    • Handle: RePEc:wpa:wuwpif:0404003
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    References listed on IDEAS

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    More about this item

    Keywords

    crises financières; contagion; causalité.;
    All these keywords.

    JEL classification:

    • F30 - International Economics - - International Finance - - - General
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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