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dc.contributor.authorChevallier, Julien
dc.date.accessioned2012-04-05T11:16:15Z
dc.date.available2012-04-05T11:16:15Z
dc.date.issued2012-05
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/8773
dc.language.isoenen
dc.subjectEquitiesen
dc.subjectCommoditiesen
dc.subjectMacroeconomyen
dc.subjectHousing marketen
dc.subjectCredit spreaden
dc.subjectMultivariate Markov-switching modelen
dc.subjectFinancial crisisen
dc.subjectCross-market linkagesen
dc.subjectGlobal imbalancesen
dc.subject.ddc339en
dc.subject.classificationjelE44en
dc.subject.classificationjelF44en
dc.subject.classificationjelG21en
dc.subject.classificationjelC32en
dc.titleGlobal imbalances, cross-market linkages, and the financial crisis : a multivariate Markov-Switching analysisen
dc.typeArticle accepté pour publication ou publié
dc.description.abstractenBased on multivariate Markov-switching models, this paper presents new results on the interactions between global imbalances, credit spreads, housing markets, macroeconomic variables, commodities and equities during Q1-1987/Q1-2011. We show that rising global imbalances and the uncontrolled development of the US mortgage and housing markets have been deeply destabilizing the economy, with various shocks impacting subsequently equity markets and macroeconomic variables. But we also uncover, surprisingly, that the cross-market linkages with the commodity markets are strong. Finally, we identify that the US housing market lies at the epicenter of the crisis through its multiple and highly significant interactions with the other variables in the system (including the global imbalances). Sub-samples and alternative time series estimates are provided to check the statistical congruency of the various models.en
dc.relation.isversionofjnlnameEconomic Modelling
dc.relation.isversionofjnlvol29en
dc.relation.isversionofjnlissue3en
dc.relation.isversionofjnldate2012-05
dc.relation.isversionofjnlpages943-973en
dc.relation.isversionofdoihttp://dx.doi.org/10.1016/j.econmod.2012.02.012
dc.description.sponsorshipprivateouien
dc.relation.isversionofjnlpublisherElsevieren
dc.subject.ddclabelMacroéconomieen


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