International Journal of Innovation and Applied Studies
ISSN: 2028-9324     CODEN: IJIABO     OCLC Number: 828807274     ZDB-ID: 2703985-7
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Modeling of financial contagion between Greece and other countries of the Euro zone

[ Modélisation de la contagion financière de la Grèce et d'autres pays de la zone Euro ]

Volume 8, Issue 1, September 2014, Pages 275–286

 Modeling of financial contagion between Greece and other countries  of the Euro zone

Moulay El Mehdi Falloul1 and Ahmed HEFNAOUI2

1 Ph.D candidate in applied economics and finance, Hassan II University of Mohammedia, Mohammedia, Morocco
2 Eseignant chercheur en sciences économiques, Université Hassan II Mohammedia, Mohammedia, Maroc

Original language: French

Copyright © 2014 ISSR Journals. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.


The international financial crisis of 2007 is a good illustration of the realization and the spread of systemic risk. The banking crisis has peaked in September 2008 with the collapse of Lehman Brothers and later support for the financial system. In the spring of 2010, it turned into a sovereign debt crisis. Since the summer, 2011, general instability has continued to reach new heights. This article deals with a phenomenon that lies at the heart of the current situation in the euro area: the phenomenon of contagion. The contagion is one of the mechanisms by which ?nancial instability spreads to the point that a crisis reached systemic proportions. In this article, we use the CDS as an instrument to test the contagion in the financial markets of 9 countries of the Euro area: Portugal, Ireland, Italy, Germany, Greece, Spain, Austria, France and Belgium using the DCC-GARCH model.

Author Keywords: CDS, Sovereign CDS, financial contagion, the Euro zone, DCC GARCH model.

Abstract: (french)

La crise financière internationale de 2007 constitue une bonne illustration de la concrétisation et de la propagation du risque systémique. La crise bancaire a culminé en septembre 2008, avec la faillite de Lehman Brothers et le soutien apporté par la suite au système financier. Au printemps 2010, elle s'est transformée en crise de la dette souveraine. Depuis l'été 2011, l'instabilité générale n'a cessé d'atteindre de nouveaux sommets. Cet article traite d'un phénomène qui se trouve au cœur de la situation actuelle dans la zone euro : le phénomène de contagion. La contagion est l'un des mécanismes par lesquels l'instabilité financière se propage au point qu'une crise atteint des proportions systémiques. Dans cet article, on utilisera les CDS comme instrument pour tester la contagion des marchés financiers de 9 pays de la zone Euro : le Portugal, l'Irlande, l'Italie, l'allemand, la Grèce, l'Espagne, l'Autriche, la France et la Belgique en utilisant le modèle DCC-GARCH.

Author Keywords: CDS, CDS souverains, contagion financière, l'Euro zone, modèle DCC GARCH.

How to Cite this Article

Moulay El Mehdi Falloul and Ahmed HEFNAOUI, “Modeling of financial contagion between Greece and other countries of the Euro zone,” International Journal of Innovation and Applied Studies, vol. 8, no. 1, pp. 275–286, September 2014.