Quelle était la gravité de la crise boursière de Septembre 2001 ? Construction d’un indice de crise et mise en perspective des dernières turbulences

摘要

The lack of a universally recognized way of assessing the gravity of financial crises The last events underlined the lack of a universally recognized way of assessing the gravity of financial crises. It motivates a measure recently proposed and applied to the exchange rates market by Zumbach et al (2000). This measure relies on the approach used in geophysics : the proposed Index of Market Shocks (IMS) is the analog of the Richter scale used for earthquakes. In this paper, we implement and apply this measure on the French and the American stock markets in order to put into perspective the recent market events. The crisis induced by September attacks is actually the worst since 1987. However, when compared with the major historical crises, this one is still not - at the moment - amongst the ten worst. JEL classifications : G10, G14