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2011
- handle: 10670/1.85mc4x
- halshs: halshs-00560218
info:eu-repo/semantics/OpenAccess
Mots-clés
microstructures regional integration schock vulnerability SVAR F - International Economics/F.F3 - International Finance/F.F3.F32 - Current Account Adjustment • Short-Term Capital Movements F - International Economics/F.F3 - International Finance/F.F3.F36 - Financial Aspects of Economic Integration G - Financial Economics/G.G1 - General Financial Markets/G.G1.G15 - International Financial Markets C - Mathematical and Quantitative Methods/C.C3 - Multiple or Simultaneous Equation Models • Multiple Variables/C.C3.C32 - Time-Series Models • Dynamic Quantile Regressions • Dynamic Treatment Effect Models • Diffusion Processes • State Space ModelsSujets proches
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Céline Gimet et al., « Global crisis and Financial destabilization in ASEAN countries. A microstructural perspective », HAL-SHS : économie et finance, ID : 10670/1.85mc4x
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Résumé
This paper investigates wether the ongoing financial crisis has destabilized the microstructures of ASEAN stock market. Using daily stock market data from 2007 to 2010, we first develop a set of monthly country-level liquidity, efficiency, international integration and volatility indicators. We then analyze the impact of global market volatility shocks on those indicators, using a set of Bayesian S-VAR models. Finally, forecast error variance decomposition analysis and impulse response function permits to identify the magnitude and the symmetry of ASEAN financial systems' exposures to international shocks. Our results uncover significant and asymmetrical schock transmission channels. We draw implications for the design of future integration initiatives.