Measuring Contagion – The Profile of South African and Emerging Market Risk Over the 1998 Crisis

G D I Barr and L Sharp

Studies in Economics and Econometrics, 2002, vol. 26, issue 1, 71-82

Abstract: This paper considers the emerging market crisis of 1997-98 with particular reference to measuring the affect of the crisis on the South African equity market. In order to do this it characterises an appropriate measure of risk, which can be termed sovereign risk. Sovereign risk measures the risk of default on the debt obligations of a central government. For South Africa it is the spread between a dollar- denominated bonds of the SA government and a dollar-based USA bond of the same tenure. In addition, the paper considers the profile of Rand exchange rate risk over the crisis period. The sovereign and exchange rate risk profile of emerging markets are then compared to that of South Africa.

Date: 2002
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DOI: 10.1080/10800379.2002.12106326

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