International Contagion Effects from the Russian Crisis and the LTCM Near-Collapse

International Contagion Effects from the Russian Crisis and the LTCM Near-Collapse
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... READ MORE...

Publication date: April 2002
ISBN 9781451849608
$15.00

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