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 t...
| Main Authors: | , |
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| Other Authors: | , , , , |
| Format: | Book |
| Language: | English |
| Published: |
Washington, D.C. :
International Monetary Fund,
2002
[Place of publication not identified] International Monetary Fund 2002 |
| Series: | IMF Working Papers ;
Working Paper No. 02/74 IMF Working Papers; Working Paper ; No. 2002/074 IMF eLibrary |
| Subjects: |