Contagion in International Bond Markets during the Russian and LTCM Crises

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dc.contributor.authorDungey, Mardi
dc.contributor.authorMcKibbin (previously Fry), Renee
dc.contributor.authorGonzalez-Hermosillo, Brenda
dc.contributor.authorMartin, Vance L
dc.date.accessioned2015-12-07T22:13:48Z
dc.date.issued2006
dc.date.updated2015-12-07T07:19:33Z
dc.description.abstractThe 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 any of the countries investigated is about 17% of total volatility in bond spreads, with the main effects due to the Russian crisis. The results also show that both emerging and developed markets experienced contagion during the period.
dc.identifier.issn1572-3089
dc.identifier.urihttp://hdl.handle.net/1885/17154
dc.publisherElsevier
dc.sourceJournal of Financial Stability
dc.subjectKeywords: Contagion; Financial crises; Latent factor model; LTCM; Russia; Spillovers
dc.titleContagion in International Bond Markets during the Russian and LTCM Crises
dc.typeJournal article
local.bibliographicCitation.issue1
local.bibliographicCitation.lastpage27
local.bibliographicCitation.startpage1
local.contributor.affiliationDungey, Mardi, College of Asia and the Pacific, ANU
local.contributor.affiliationMcKibbin (previously Fry), Renee, College of Asia and the Pacific, ANU
local.contributor.affiliationGonzalez-Hermosillo, Brenda, International Monetary Fund
local.contributor.affiliationMartin, Vance L, University of Melbourne
local.contributor.authoremailu4036214@anu.edu.au
local.contributor.authoruidDungey, Mardi, u9402571
local.contributor.authoruidMcKibbin (previously Fry), Renee, u4036214
local.description.embargo2037-12-31
local.description.notesImported from ARIES
local.identifier.absfor140210 - International Economics and International Finance
local.identifier.ariespublicationu4002919xPUB1
local.identifier.citationvolume2
local.identifier.doi10.1016/j.jfs.2005.01.001
local.identifier.scopusID2-s2.0-33646142303
local.identifier.uidSubmittedByu4002919
local.type.statusPublished Version

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