What Drives Contagion: Trade Neighborhood, or Financial Links?
Electronic Access:
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Summary:
This paper presents evidence on the relative importance of alternative contagion channels during the Thai, Russian, and Brazilian crises. Results show that when crises are measured by changes in sovereign bond spreads, financial competition seems to explain almost all contagion episodes. However, when crises are measured by stock market returns, trade links and neighborhood effects appear to be relevant contagion channels during the Thai and Brazilian crises, while financial competition remains the only relevant channel in the case of the Russian crisis.
Series:
Working Paper No. 2001/029
Subject:
Competition Currency markets Financial institutions Financial markets Financial services Sovereign bonds Stock markets Yield curve
English
Publication Date:
March 1, 2001
ISBN/ISSN:
9781451844801/1018-5941
Stock No:
WPIEA0292001
Pages:
22
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