Contagion Between the Financial Sphere and the Real Economy. Parametric and non Parametric Tools: A Comparison

Dominique Guegan (1, 2)

1 CES - Centre d'économie de la Sorbonne
2 PSE - Paris School of Economics

The aim of this chapter is to dsicuss the contagionbetween the financial sphere and the real sphere. We define the concept of contagion, then we introduce some parametric models used to detect the contagion phenomenum, then we introduce some non-parametric tools focusing on copulas. Interdependence between national economies is investigated through these tools. Finally we investigate the interdependence between the financial and the real spheres.

Mots clés: Contagion; Setar; markov switching; Copulas; real sphere; financial sphere

Domaines: Economies et finances; Probabilités [math.PR]; Statistiques [math.ST]; Théorie [stat.TH]

Dominique Guegan. Contagion Between the Financial Sphere and the Real Economy. Parametric and non Parametric Tools: A Comparison. Catherine Kyrtsou, Costas Vorlow. Progress in financial market research, NOVA publishers, pp.233-254, 2011. ⟨halshs-00185373⟩