Unanticipated Shocks and Systemic Influences: The Impact of Contagion in Global Equity Markets in 1998

WPIEA0842003 Image
Price:  $15.00

Author/Editor: Mardi Dungey, Renee Fry, Vance Martin, Brenda González-Hermosillo
Release Date: © April, 2003
ISBN : 978-1-45185-066-6
Stock #: WPIEA0842003
English
Stock Status: Available

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Description

August to September 1998 has been characterized as one of the worst episodes of global financial distress in decades. This paper investigates the transmission of the Russian and the LTCM crises through global equity markets using a panel of 14 developing and industrial countries. The results show that contagion was systemic during the period, with industrial countries providing the dominant cross-country transmission linkages. Both crises reinforced each other, highlighting the importance of studying them jointly. An implication of the empirical results is that models of contagion that exclude industrial countries are potentially misspecified and may yield misleading outcomes.

Taxonomy

Bond markets , Capital markets , Financial crisis , Financial institutions and markets , International financial system




More publications in this series: Working Papers


More publications by: Mardi Dungey ; Renee Fry ; Vance Martin ; Brenda González-Hermosillo