La contagion de la crise asiatique: dynamiques de court terme et de long terme

Wajih Khallouli (), Mohamed Ayadi (), Riadh Boudhina () and René Sandretto ()
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Riadh Boudhina: ISCAE - Institut Supérieur de Comptabilité et d'Administration des Entreprises - UMA - Université de la Manouba [Tunisie]
René Sandretto: GATE - Groupe d'analyse et de théorie économique - UL2 - Université Lumière - Lyon 2 - ENS LSH - Ecole Normale Supérieure Lettres et Sciences Humaines - CNRS - Centre National de la Recherche Scientifique

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Abstract: In this paper, we test the presence of the contagion during the Asian financial crisis. We propose a new procedure which consists in testing the non-linearity of the propagation mechanisms of the shocks, estimated with a model of long term interdependence. We apply this methodology to the markets of the sovereign debts (spreads) which measure the risk perception. Our results prove that Malaysia and the Philippines have been contaminated by contagion.

Keywords: Crise financière asiatique; Contagion; ECM non-linéaire; Asian financial crisis; Non-linear ECM (search for similar items in EconPapers)
Date: 2006
Note: View the original document on HAL open archive server: https://shs.hal.science/halshs-00137599
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Citations: View citations in EconPapers (6)

Published in Économie Internationale, 2006, 105, pp.113-134

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Journal Article: La contagion de la crise asiatique: dynamiques de court terme et de long terme (2006)
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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:halshs-00137599

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