Impact d'un choc sur les corrélations de trois indices boursiers. La faillite de Lehman Brothers

Yannick Le Pen and Benoît Sévi

Revue économique, 2010, vol. 61, issue 3, 407-419

Abstract: We proceed to an impulse-response analysis on the conditional correlations between three stock indices returns: the S&P 500, the ftse 100 and the Nikkei 225. As a first step, a general asymmetric dynamic conditional correlation (ga-dcc) model proposed by Cappiello, Engle and Sheppard [2006] is estimated. In a second step, we quantify the impact of two historical shocks on subsequent conditional correlations along the lines of Koop, Pesaran and Potter [1996]. The first chosen shock marks the beginning of the subprimes crisis and occurs on 08/14/2007. The second one corresponds to 09/16/2008, just after the bankruptcy of Lehman Brothers. Our estimates show that these two historical shocks had rather different impacts on conditional correlations. Classification JEL : C22, C32, E17, G15.

JEL-codes: C22 C32 E17 G15 (search for similar items in EconPapers)
Date: 2010
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