Contagion in International Bond Markets during the Russian and LTCM Crises
Dungey, Mardi; McKibbin (previously Fry), Renee; Gonzalez-Hermosillo, Brenda; Martin, Vance L
The Russian bond default in August 1998 and the long-term capital management (LTCM) recapitalization announcement in the following month represent an unusual period of volatility in international bond markets with bond spreads increasing dramatically across the globe. Using a latent factor model and a new data set spanning bond markets across Asia, Europe and the Americas, we quantify the contribution of contagion to the spread of these two crises. The maximum amount of contagion experienced by...[Show more]
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|Source:||Journal of Financial Stability|
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