What Drives Contagion: Trade Neighborhood, or Financial Links?
March 1, 2001
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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.
Subject: Competition, Currency markets, Financial institutions, Financial markets, Financial services, Sovereign bonds, Stock markets, Yield curve
Keywords: A. sovereign bond, bond indicator, Bond Spreads, Capital Flows, Competition, Contagion, Crisis Transmission, Currency markets, financial market, fund manager, Global, sovereign bond spread, Sovereign bonds, Stock Market, Stock markets, trade competition, trade link, WP, Yield curve
Pages:
22
Volume:
2001
DOI:
Issue:
029
Series:
Working Paper No. 2001/029
Stock No:
WPIEA0292001
ISBN:
9781451844801
ISSN:
1018-5941
