The Transmission of the Subprime Crisis : From Financial Markets to the Real Sphere

International audienceThis paper aims to study the contagion effects of the subprime financial crisis on the real economy of the USA. The contagion of this crisis is measured by increased linkages between markets after a shock has taken place (the stock market shocks, the interbank spread). The VAR model is utilized to examine the relationship between the U.S. markets on two sub-periods: a calm period and a crisis period. Our results show that the subprime financial crisis has seriously affected the economic growth of USA. Our results show that the impact of financial shocks on the real sphere, during the subprime crisis, is negative. We emphasize that the uncertainty about the proliferation of financial shocks is a recessive factor by its effects on consumption and investment