The Impacts of the Economic and Financial Crisis: Empirical Research Project
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Economic and financial crisis, empirical research, French economy, stock market indicators, time series specifications, macroeconomic aggregates, null hypotheses, projections, pre-crisis trends
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Abstract
This document presents an empirical research project on the impacts of the economic and financial crisis, focusing on the French economy. The study uses stock market indicators, such as the VIX indicator of the S&P500 and the VSTOXX for the DJ STOXX50, to identify the immediate impact of the financial crisis. The project also proposes a time series specification to predict the evolution of macroeconomic and financial aggregates before the 2008 crisis. The research aims to verify the null hypotheses that the financial crisis had no effect on macroeconomic aggregates and to create projections of pre-crisis trends. The document is based on a bibliography of relevant studies, including 'From the financial crisis to the economic crisis' by Banque de France and 'The crisis: what lasting consequences for growth, employment and public finances?' by Debauche Étienne, Dubois Éric, and Leblanc Pierre.
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[...] The gap between the two suggests that the British economy has lost a significant level of wealth valued in GDP. - Specification: Auto-Regressive Vector Model The model we propose to estimate is written in the following form: Where G Md, I and u font référence respectively to GDP, consumption, public expenditure, investment, the quantity of money in circulation, the nominal interest rate and unemployment. The writing in matrix form can be simplified by rewriting everything in the form of a system of equations, which are estimated independently of each other. [...]
[...] Bardaji José, 'Impact of the crisis on employment and wages in France', Économie & prévision, 2010/4 (n° 195-196), p. 179-186. URL : https://www.cairn.info/revue-economie-et-prevision-2010-4-page-179.htm Antonin Céline, Plane Mathieu, Sampognaro Raul, 'Have household consumption behaviors been affected by the 2008 crisis? An econometric analysis of five major developed countries', Revue de l'OFCE, 2017/2 (No 151), p. 177-225. URL : https://www.cairn.info/revue-de-l-ofce-2017-2-page-177.htm Debauche Étienne, Dubois Éric, Leblanc Pierre, 'The crisis: what lasting consequences for growth, employment and public finances?', Revue d'économie financière, 2011/3 (N° 103), p. 41-58. DOI : 10.3917/ecofi.103.0041. [...]
[...] URL : https://www.cairn.info/revue-d-economie-financiere-2011-3-page-41.htm Michael D. Hurd, Susann Rohwedder. Effects of the Financial Crisis and Great Recession on American Households. NBER Working Paper No September 2010. Web link, access September 2019 Laurence M. Ball. Long-Term Damage from the Great Recession in OECD Countries. [...]
[...] - If the financial crisis had a structural effect on the French economy, then the coefficient of the latent variable should be negative and statistically significant, and we should observe a significant difference in the estimated coefficients between the two sub-samples. Bibliography From the financial crisis to the economic crisis - Banque de France, Documents & Débats no.3, January 2010. Web link, access September 2019. Jonathan Cribb, Paul Johnson 10 years on - have we recovered from the financial crisis? Institute for Fiscal Studies. September 2018. [...]
[...] The VIX indices increase in value when the financial market becomes unstable. A high volatility on the financial market can be interpreted as a crisis signal. - Evaluation of macroeconomic indicators The representation of macroeconomic and financial aggregates (GDP, Consumption, Unemployment, CAC40 stock market valuation, etc.) allows for the visual identification of the impact of the crisis on their respective trajectories. It is also possible to compare the evolution of these indicators with 2008 and other crisis episodes, depending on the availability of data. [...]
