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dc.contributor.authorDarolles, Serge*
dc.contributor.authorDudek, Jérémy*
dc.contributor.authorLe Fol, Gaëlle*
dc.date.accessioned2013-06-12T08:14:01Z
dc.date.available2013-06-12T08:14:01Z
dc.date.issued2013
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/11384
dc.language.isoenen
dc.subjectLiquidity
dc.subjectRegime Switching models
dc.subjectContagion Effects
dc.subjectEmerging Markets
dc.subjectSovereign Debt Market
dc.subjectLiquidity Risk Management
dc.subject.ddc332en
dc.subject.classificationjelG.G0.G01en
dc.subject.classificationjelG.G1.G15en
dc.subject.classificationjelC.C0.C01en
dc.subject.classificationjelC.C3.C32en
dc.titleLiquidity Contagion. The Emerging Sovereign Debt Markets example
dc.typeCommunication / Conférence
dc.description.abstractenFinancial markets are today so interconnected that they are fragile to contagion. Massive investment funds with very short horizons in -and out- flows can generate contagion effects between markets. Since 2010, investors are willing to get a liquid exposure to the EMsovereign debt. As a consequence, some asset management firms started to propose products to track the performance of this asset class. However in that case, the fund manager faces a mismatch of liquidity between assets and liabilities and needs some tools to manage the liquidity of his investments. The main contribution of this paper is the analysis of contagion looking at common market liquidity problems to detect funding liquidity problems. Using the CDS Bond Spread basis as a liquidity indicator and a state space model with time-varying volatility specification, we show that during the 2007-2008 financial crisis, there exist pure contagion effects both in terms of price and liquidity on the emergings overeign debt market.This result has strong implication since the main risk for an asset manager is to get stuck with an unwanted position due to a dry-up of market liquidity.
dc.subject.ddclabelEconomie financièreen
dc.relation.conftitle30th International French Finance Association Conference
dc.relation.confcityLyon
dc.relation.confcountryFRANCE
dc.relation.forthcomingnonen
dc.description.ssrncandidatenon
dc.description.halcandidateoui
dc.description.readershiprecherche
dc.description.audienceInternational
dc.date.updated2017-11-10T14:43:48Z
hal.person.labIds1032*
hal.person.labIds1032*
hal.person.labIds1032*
hal.identifierhal-01632782*


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