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Contagion in International Bond Markets During the Russian and LTCM crises

Citation

Dungey, MH and Fry, R and Gonzalez-Hermosillo, B and Martin, V, Contagion in International Bond Markets During the Russian and LTCM crises, Journal of Financial Stability, 2, (1) pp. 1-27. ISSN 1572-3089 (2006) [Refereed Article]

DOI: doi:10.1016/j.jfs.2005.01.001

Abstract

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. © 2006 Elsevier B.V. All rights reserved.

Item Details

Item Type:Refereed Article
Research Division:Economics
Research Group:Applied Economics
Research Field:International Economics and International Finance
Objective Division:Economic Framework
Objective Group:Macroeconomics
Objective Field:Monetary Policy
Author:Dungey, MH (Professor Mardi Dungey)
ID Code:56992
Year Published:2006
Deposited By:Economics and Finance
Deposited On:2009-06-11
Last Modified:2009-06-16
Downloads:0

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