کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
999341 936810 2006 27 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Contagion in international bond markets during the Russian and the LTCM crises
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد، اقتصادسنجی و مالیه (عمومی)
پیش نمایش صفحه اول مقاله
Contagion in international bond markets during the Russian and the LTCM crises
چکیده انگلیسی

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 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.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Financial Stability - Volume 2, Issue 1, April 2006, Pages 1–27
نویسندگان
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