Skip navigation
Skip navigation

Contagion in International Bond Markets during the Russian and LTCM Crises

Dungey, Mardi; McKibbin (previously Fry), Renee; Gonzalez-Hermosillo, Brenda; Martin, Vance L

Description

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]

CollectionsANU Research Publications
Date published: 2006
Type: Journal article
URI: http://hdl.handle.net/1885/17154
Source: Journal of Financial Stability
DOI: 10.1016/j.jfs.2005.01.001

Download

File Description SizeFormat Image
01_Dungey_Contagion_in_International_2006.pdf617.41 kBAdobe PDF    Request a copy


Items in Open Research are protected by copyright, with all rights reserved, unless otherwise indicated.

Updated:  12 November 2018/ Responsible Officer:  University Librarian/ Page Contact:  Library Systems & Web Coordinator