01920cas a2200277 a 4500 AALejournalIMF001928 230101c9999 xx r poo 0 0eng d 5.00 USD 9781451849608 1018-5941 BD-DhAAL BD-DhAAL Fry, Renee. International Contagion Effects from the Russian Crisis and the LTCM Near-Collapse / Renee Fry, Vance Martin, Brenda Gonzalez-Hermosillo, Mardi Dungey. Washington, D.C. : International Monetary Fund, 2002. 1 online resource (48 pages) IMF Working Papers <strong>Off-Campus Access:</strong> No User ID or Password Required <strong>On-Campus Access:</strong> No User ID or Password Required Electronic access restricted to authorized BRAC University faculty, staff and students We examine empirically the episode of extraordinary turbulence in global financial markets during 1998. The analysis focuses on the market assessment of credit risk captured by daily movements in bond spreads for twelve countries. A dynamic latent factor model is estimated using indirect inference to quantify the effects of unanticipated shocks across borders or "contagion," controlling for common global shocks, country-specific shocks and regional factors. The results show that there were substantial international contagion effects resulting from both the Russian and LTCM crises. The proportion of volatility explained by contagion is not necessarily larger in developing than in developed nations. Mode of access: Internet Dungey, Mardi. Gonzalez-Hermosillo, Brenda. Martin, Vance. IMF Working Papers; Working Paper ; No. 2002/074 Full text available on IMF http://elibrary.imf.org/view/journals/001/2002/074/001.2002.issue-074-en.xml IMF e-Library