The long run Phillips curve has been a controversial topic for many economists such as Friedman (1968) and Lucas (1972) among others since the 70's. Many new studies concerning the impact of downward nominal wage resistance hypothesis on the long run Phillips curve have enriched the empirical...

Cet article examine le comportement des rendements des indices de cinq facteurs :trois blocs de marchés (AMERIQUE, EUROPE et ASIE) et deux marchés indépendants (JAPON et AUSTRALIE). Nous proposons d’analyser la transmission des perturbations financières et l’examen des liens entre les...

This paper investigates the volatility spillover and the dynamic correlation between crude oil and stock index returns. Monthly returns from January 1997 to December 2010 of the crude oil, oil-importing and oil-exporting stock indices are analysed using three multivariate GARCH specifications...

Les organismes bancaires s'intéressent à évaluer le risque de la détresse financière avant l'octroi d'un crédit. Plusieurs chercheurs ont proposé l'emploi de modèles basés sur les réseaux de neurones en vue d'améliorer la prise de décision du banquier. L'objectif de cette recherche...

This paper analyses the volatility spillover and the dynamic correlation between liquidity risks factors in Tunisian banks over 1990:1 2011:12. Based on the BEKK-GARCH estimation results, we find a significant volatility spillover between deposit and loan to economy and between securities...

This paper aims to study the contagion effects of the subprime financial crisis on the real economy of the USA. The contagion of this crisis is measured by increased linkages between markets after a shock has taken place (the stock market shocks, the interbank spread). The VAR model is utilized...

Within a forward forecast test on Dynamic Conditional Correlation (DCC), we investigate the contagion of the subprime financial crisis between American, European and Asian stocks under asymmetry. In order to study this phenomenon we will follow these stages: Firstly we will use the Iterated...

The aim of this paper is to study the contagion effects of the subprime financial crisis on the real economy of developed countries. The contagion of this crisis will be measured by increased linkages between markets after a shock has taken place (the stock market shocks, the interbank spread)....