Crise et contagion : cas des pays de l'Europe de l'Est.

The aim of this paper is to test empirically the impact of the contagion effect on the credibility of the exchange rate during the international financial crises between 1997 and 2001 for five CEECs : Hungary, Poland, Czech Republic, Slovakia and Russia. We find that : (1) the contagion effect is an important factor in order to determine the exchange rate ; (ii) the linkages between anticipations of devaluation and the economic fundamentals depends on the currency considered. The low number of the independent variables shows the difficulties to measure the determinants of the operator’s behaviour. The increase of the volatility expectations seems to be justified by a sudden return of the markets because of the contagion effect. Our results emphasize also that the Russian crisis had more impact on the economies of these countries, fact that confirms the regional character of the crisis.