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Pourquoi la volatilite est-elle restee forte sur tous les marches financiers apres la crise de l'ete 1998?

Author

Listed:
  • Artus, P.

Abstract

Nous montrons d'abord que la volatilite des prix sur tous les marhces (change, taux, spreads, actions) est restee forte apres la crise de l'ete 1998. Ceci peut surprendre puisque la plupart des intervenants sur les marches financiers ont considerablement reduit leur exposition au risque apres cette crise. Nous essayons d'expliquer, en utilisant un modele simple d'equilibre du marche d'actif financier risque, d'ou peut venir cet apparent paradoxe.

Suggested Citation

  • Artus, P., 1999. "Pourquoi la volatilite est-elle restee forte sur tous les marches financiers apres la crise de l'ete 1998?," Papers 1999-13/fi, Caisse des Depots et Consignations - Cahiers de recherche.
    • Handle: RePEc:fth:cadeco:1999-13/fi
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    More about this item

    Keywords

    RISQUE ; MARCHE FINANCIER ; VOLATILITE;
    All these keywords.

    JEL classification:

    • D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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