Photo Raphaël Hekimian

Raphaël Hekimian

Jeunes docteurs et ATER
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  • Research group

      Macroéconomie Internationale, Banque et Econométrie Financière

  • Theme(s)
    • Contagion
    • Marchés financiers
    • Intégration financière
    • Macroéconomie internationale

2017-3 "The French banking sector during the interwar: What lessons can be drawn from the stock market?"

Raphaël Hekimian

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Abstract
The aim of this paper is to provide new insights on the French banking crisis of the1930’s. This crisis is usually considered in the literature to have been relatively more limited in France than in other European countries. One feature of the French banking system at that time was the specialization of its activities: French banks were, for the most part, either deposit or business banks. The literature highlights the fact that business banks faced the greatest difficulties because they invested in foreignmarkets. The purpose of this article is to test this hypothesis with a new dataset of stock prices by estimating the risk on i) the aggregated banking sector; ii) on two subsamples, one including only deposit banks and the other one, only business banks and iii) on the individual series. We find that during the 1930’s, business banks were indeed more risky than deposit banks, relative to the overall market.
Classification-JEL
G21, G01 , N20
Mot(s) clé(s)
Banking crisis, Financial History, Great Depression
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2016-21 "US Crashes of 2008 and 1929 How did the French market react? An empirical study"

Raphaël Hekimian, David Le Bris

Show Download working paper (on EconPapers)

Abstract
We compare the reaction of the Paris bourse to the US crashes during both the 2008 and the 1929 crises. We constitute a new dataset of daily French stock prices from February 1929 to March 1930 that we combine to the already existing daily series of the Dow Jones. We also use newspapers and minutes from the Banque de France and from the Paris Stock Exchange’s brokers syndicate in order to confront quantitative data with historical narratives. We finally run contagion tests in both periods, using adjusted correlation coefficients to test for pure contagion. In 1929, the Paris stock market does not exhibit any reaction to the New-York crash. The recent crisis is totally different with a clear contagion of the US crash. This study highlights a significant difference between the two crises and provides strong evidence that the transmission of the Great Depression used other channels than stock markets.
Classification-JEL
G15 G01 N12 N13
Mot(s) clé(s)
Financial history; Financial crisis; Stock market; Contagion
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