International contagion effects from the Russian crisis and the LTCM near-collapse
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International contagion effects from the Russian crisis and the LTCM near-collapse

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Published by International Monetary Fund, IMF Institute in [Washington, D.C.] .
Written in English


  • Long-term Capital Management (Firm),
  • Financial crises -- Russia (Federation) -- Econometric models.,
  • Hedge funds -- United States -- Econometric models.,
  • Contagion (Social psychology) -- Econometric models.

Book details:

Edition Notes

StatementMardi Dungey ... [et al.].
GenreEconometric models.
SeriesIMF working paper -- WP/02/74
ContributionsDungey, Mardi., IMF Institute., International Monetary Fund.
The Physical Object
Pagination47 p. :
Number of Pages47
ID Numbers
Open LibraryOL19049279M

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  Ironically, the success of the U.S. authorities in minimizing the effects of the near collapse of LTCM and the effects of other market disruptions in the s may have lulled the markets and the authorities themselves into a false sense of confidence in their ability to manage future crises. International contagion effects from the Russian crisis and the LTCM near-collapse. MR Fry, MV Martin, MB González-Hermosillo, MM Dungey. International Monetary Fund, Commodity currencies and currency commodities. KW Clements, R Fry. . The transmission of the financial crises in though international equity markets is estimated through a multi-factor model of financial markets specifically allowing for contagion effects. The application measures the strength of contagion emanating from the Russia crisis of , and the LTCM near collapse, using a panel of 10 emerging and. in July (with the devaluation of the Thai baht), Russia in August , the USA in September (with the near-collapse of the U.S hedge fund Long-Term Capital Management), Brazil towards the end of and early , and lately, Turkey, and Argentina in (Dungey , ).

Studies have mostly discussed the contagion effect among markets during financial crises, namely the US stock market crash in , the Mexican currency crash crisis in , the Asian financial crisis that began in Thailand in , the US subprime mortgage crisis in , and the European debt crisis .   To be sure, the Russian default of August , followed by the collapse of Long-Term Capital Management, had more-substantial effects on global markets and posed greater risk to the U.S. economy, which triggered a policy response by the Fed in which the federal funds rate was cut 75 basis points between September and November of that year. 8. Book a CV review; Applying. Who are we looking for? Programme overview. Gonzalez-Hermosillo, B. and Vance, M. () "International contagion effects from the Russian crisis and the LTCM near-collapse." IMF Working Paper Series, No/ Washington, DC: International Monetary Fund.   Even developed markets in North America and Europe were affected, as the relative prices of financial instruments shifted and caused the collapse of Long-Term Capital Management (LTCM), a large U.S. hedge fund. The financial crisis beginning from Thailand with the collapse of the Thai baht spread to Indonesia, the Philippines, Malaysia, South.

Country and contagion risks are also studied individually. A historical decomposition of bond spreads is used to identify the relative contributions of risk during The empirical results show that the Russian/LTCM crises were characterized by increases in global credit risk, while the relative size of global risk factors was mixed for. Contagion in international bond markets during the Russian and the LTCM crises by Dungey, Mardi & Fry, Renee & Gonzalez-Hermosillo, Brenda & Martin, Vance International Contagion Effects from the Russian Crisis and the LTCM Near-Collapse.   Purpose – In September‐October the Russian stock markets came under severe strain amidst the global financial crisis. During this time the Russian government intervened several times to halt the trade to impede the continuous slide. The government justified its actions owing to the argument that the crisis was due to a trickledown effect from the financial crisis in the USA and the. Economists drew a number of lessons from the Asian financial crisis of for preventing such episodes or mitigating their effects. Some of those are similar to lessons drawn from the global financial crisis of But differences in economic development and sophistication of the financial systems of East Asian countries compared with those of the United States and Western Europe.