statistique, théorie et gestion de portefeuille - Docs at ISFA

9.1. Les différentes mesures de dépendances extrêmes 259
crisis and appears to remain true in the recent Argentina crisis, for which only Brazil seems to exhibit the
signature of a possible contagion.
We suggest that a possible origin for the discovered asymmetry may lie in the difference in the more marketoriented
countries versus more state intervention oriented economies, giving rise to either currency floating
regimes adapted to an important manufacturing sector which tend to deliver more competitive real exchange
rates (Chile and Mexico) or fixed rate pegs (Argentina until the 2001 crisis and Brazil until the early 1999
crisis) (Frieden 1992, Frieden et al. 2000a, Frieden et al. 2000b). The asymmetry of the contagion is compatible
with the view that fixed echange rates tighten more strickly an economy and its stock market to external
shocks (case of Argentina and Brazil) while a more flexible exchange rate seems to provide a cushion allowing
a decoupling between the stock market and external influences.
Finally, the absence of contagion does not imply necessarily the absence of “contamination.” Indeed, the
study of the coefficient of tail dependence has proven that with or without contagion mechanisms - i.e.,
increase in the linkage between markets during crisis - the probability of extreme co-movements during the
crisis - i.e., the contamination - is almost the same for all pairs of markets. Thus, whatever the propagation
mechanism may be - historically closed relationship or irrational fear and herd behavior - the observed
effects are the same: the propagation of the crisis. From the practical perspective of risk management or
regulatory policy, this last point is may be more important than the real knowledge of the occurrence or not
of contagion.
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