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Author/Editor:
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Dungey, Mardi ; Fry, Renee ; González-Hermosillo, Brenda ; Martin, Vance
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Publication Date:
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April 01, 2003
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Electronic Access:
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Free Full text
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Disclaimer: This Working Paper should not be reported as representing the views of the IMF.
The views expressed in this Working Paper are those of the author(s) and do not necessarily represent those of the IMF or IMF policy. Working Papers describe research in progress by the author(s) and are published to elicit comments and to further debate
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Summary:
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.
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Order a print copy
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Series:
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Working Paper No. 03/84
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Subject(s):
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Financial crisis | Russian Federation | Capital | Bond markets
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Author's Keyword(s):
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Financial Crises | Contagion | International Spillovers | Russia | LTCM | Equity Markets |
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