 Les crises économiques et financières et les facteurs favorisant leur occurrenceSébastien Cabrol in Economics Thesis from University Paris Dauphine from Paris Dauphine University Abstract: The aim of this thesis is to analyze, from an empirical point of view, both the different varieties of economic and financial crises (typological analysis) and the context’s characteristics, which could be associated with a likely occurrence of such events. Consequently, we analyze both: years seeing a crisis occurring and years preceding such events (leading contexts analysis, forecasting). This study contributes to the empirical literature by focusing exclusively on the crises in advanced economies over the last 30 years, by considering several theoretical types of crises and by taking into account a large number of both economic and financial explanatory variables. As part of this research, we also analyze stylized facts related to the 2007/2008 subprimes turmoil and our ability to foresee crises from an epistemological perspective. Our empirical results are based on the use of binary classification trees through CART (Classification And Regression Trees) methodology. This nonparametric and nonlinear statistical technique allows us to manage large data set and is suitable to identify threshold effects and complex interactions among variables. Furthermore, this methodology leads to characterize crises (or context preceding a crisis) by several distinct sets of independent variables. Thus, we identify as leading indicators of economic and financial crises: variation and volatility of both gold prices and nominal exchange rates, as well as current account balance (as % of GDP) and change in openness ratio. Regarding the typological analysis, we figure out two main different empirical varieties of crises. First, we highlight « global type » crises characterized by a slowdown in US economic activity (stressing the role and influence of the USA in global economic conditions) and low GDP growth in the countries affected by the turmoil. Second, we find that country-specific high level of both inflation and exchange rates volatility could be considered as evidence of « idiosyncratic type » crises. Keywords: Crises économiques et financières; Crise des subprimes; Indicateurs avancés de crise; Crise de change; Crise bancaire; Méthodes non-paramétriques; Méthode CART; Arbre binaire de classement; Modèle logit; Forêts aléatoires; Effets de non-linéarité; Effets de seuil; Economic and financial crises; Subprimes crisis; Leading indicators of crises; Currency crises; Banking crises; Nonparametric methodology; CART methodology; Binary classification trees; Logit model; Random forests; Nonlinear effects; Threshold effects (search for similar items in EconPapers) There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it. Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:dau:thesis:123456789/12416 Ordering information: This item can be ordered from Access Statistics for this book More books in Economics Thesis from University Paris Dauphine from Paris Dauphine University Contact information at EDIRC. |
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