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Transmission du stress financier de la zone euro aux Pays de l’Europe Centrale et Orientale

Author

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  • Houda Rharrabti

    (EconomiX - EconomiX - UPN - Université Paris Nanterre - CNRS - Centre National de la Recherche Scientifique)

Abstract

L'objectif de cet article est d'examiner empiriquement le lien entre la dégradation de l'environnement financier de la zone euro - pendant la crise des subprimes et celle des dettes souveraines - et son effet sur la volatilité des marchés boursiers des PECO. La stratégie de modélisation que nous adoptons est basée sur les modèles à changement de régime markovien à probabilités de transition variables (TVPMS) dans lesquels les périodes de crise et de calme sont identifiées de façon endogène (Kim et al 2008). Utilisant des données quotidiennes sur la période 01/01/ 2005 – 30/12/2014, nos résultats mettent en évidence une transmission du stress financier de la zone euro aux pays de l'Europe centrale et orientale (PECO) pendant les deux crises, en particulier pour les marchés boursiers hongrois et polonais. En outre, la crise de la dette souveraine semble jouer, non pas via les tensions sur les marchés obligataires, mais à travers les tensions qui affectent les banques de la zone euro.

Suggested Citation

  • Houda Rharrabti, 2015. "Transmission du stress financier de la zone euro aux Pays de l’Europe Centrale et Orientale," Working Papers hal-04141380, HAL.
    • Handle: RePEc:hal:wpaper:hal-04141380
    Note: View the original document on HAL open archive server: https://hal.science/hal-04141380
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