Economics at your fingertips  

International Contagion Effects from the Russian Crisis and the LTCM Near-Collapse

Renee Fry-McKibbin (), Vance Martin, Brenda Gonzalez-Hermosillo and Mardi Dungey ()

No 02/74, IMF Working Papers from International Monetary Fund

Abstract: We examine empirically the episode of extraordinary turbulence in global financial markets during 1998. The analysis focuses on the market assessment of credit risk captured by daily movements in bond spreads for twelve countries. A dynamic latent factor model is estimated using indirect inference to quantify the effects of unanticipated shocks across borders or "contagion," controlling for common global shocks, country-specific shocks and regional factors. The results show that there were substantial international contagion effects resulting from both the Russian and LTCM crises. The proportion of volatility explained by contagion is not necessarily larger in developing than in developed nations.

Keywords: Financial crisis; Financial crises; Russian Federation; contagion effects, international spillovers, Russia, LTCM, contagion, bond, bond spreads, financial markets, bonds, Multiple or Simultaneous Equation Models: Models with Panel Data, Financial Markets and the Macroeconomy, International Lending and Debt Problems, (search for similar items in EconPapers)
Date: 2002-04-01
References: View references in EconPapers View complete reference list from CitEc
Citations View citations in EconPapers (21) Track citations by RSS feed

Downloads: (external link) (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link:

Ordering information: This working paper can be ordered from

Access Statistics for this paper

More papers in IMF Working Papers from International Monetary Fund International Monetary Fund, Washington, DC USA. Contact information at EDIRC.
Series data maintained by Jim Beardow ().

Page updated 2017-11-22
Handle: RePEc:imf:imfwpa:02/74