01907cas a2200277 a 4500 AALejournalIMF002755 230101c9999 xx r poo 0 0eng d 5.00 USD 9781451875928 1018-5941 BD-DhAAL BD-DhAAL Gonzalez-Hermosillo, Brenda. Characterizing Global Investors' Risk Appetite for Emerging Market Debt During Financial Crises / Brenda Gonzalez-Hermosillo, Vance Martin, Mardi Dungey, Renee Fry. Washington, D.C. : International Monetary Fund, 2003. 1 online resource (44 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 The effects of unanticipated movements in global risk on nine emerging bond markets are investigated. The components of global risk are volatility, credit, and liquidity risks. Country and contagion risks are also studied individually. A historical decomposition of bond spreads is used to identify the relative contributions of risk during 1998-99. The empirical results show that the Russian/LTCM crises were characterized by increases in global credit risk, while the relative size of global risk factors was mixed for the Brazilian crisis, with no component dominating. Country risk is found to be important for all countries, while there is little evidence of contagion risk. Mode of access: Internet Dungey, Mardi. Fry, Renee. Martin, Vance. IMF Working Papers; Working Paper ; No. 2003/251 Full text available on IMF http://elibrary.imf.org/view/journals/001/2003/251/001.2003.issue-251-en.xml IMF e-Library