Book Chapter10.1007/978-1-4757-3314-3_2
Contagion: Why Crises Spread and How This Can Be Stopped
Stijn Claessens,Rudiger Dornbusch,Yung Chul Park +2 more
- 01 Jan 2001
- pp 19-41
219
TL;DR: The financial turbulence that hit many East Asian countries in 1997, and then spread to other parts of the world, continued unabated in the fall of 1998 as mentioned in this paper, and Russia defaulted on its debt as confidence in global financial markets evaporated.
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Abstract: The financial turbulence that hit many East Asian countries in 1997, and then spread to other parts of the world, continued unabated in the fall of 1998. Russia defaulted on its debt as confidence in global financial markets evaporated. The turmoil next hit developed countries’ capital markets, dramatically altering the (relative) pricing of many financial instruments, which in turn accelerated the collapse of Long-Term Capital Management (LTCM), a large U.S. hedge fund. The turmoil subsequently affected Brazil, where it created large uncertainties about that country’s ability to rollover its public sector debt, thus spilling over into other Latin American emerging markets and elsewhere (see further World Bank, 1999 and International Monetary Fund, 1999).
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Citations
Foreign Exchange Market Contagion in the Asian Crisis: A Regression-Based Approach NeeltjevanHoren,HenkJager,andFrancKlaassen
Universit yo f Amsterdam
- 01 Jan 2006
TL;DR: In this article, the authors investigated whether, during the Asian crisis, contagion from Thailand to other crisis countries through the foreign exchange market, and determined the contribution of this contagion to the crisis.
Assessing the sovereign-bank interdependence in Eurozone core countries
Salvatore Capasso,Marcella D’Uva,Cristiana Fiorelli,Oreste Napolitano +3 more
TL;DR: This study assesses sovereign-bank interdependence in Eurozone core countries, finding a "doom-loop" between banks and sovereign bonds, and a "bad neighbours" effect, driven by differences in fiscal fundamentals, particularly deficit-to-GDP ratios.
•Journal Article
Financial Contagion and Market Liquidity: Evidence from the Asian Crisis
TL;DR: In this article, based on the firm-level data on a sample of exposed and unexposed US stocks to the Asian currency crisis, they find a significant increase (decrease) in the crisis period bid-ask spreads and their volatilities for both the groups.
The Structure of Interlinkages, Exogeneity and Contagion in the Stock Market and Foreign Exchange Market in Indonesia: A Study of Pre-Crisis and Crisis Times
TL;DR: In this article, the authors present the structure of interlinkages, exogeneity and contagion of the crisis that occurs in Indonesia's stock and foreign exchange markets, and reveal evidence of weak contagion imparted by the stock market during the crisis, particularly from the basic industry sector to the foreign exchange market.
•Posted Content
Contagion, Spillover and Interdependence
Roberto Rigobon,Roberto Rigobon +1 more
TL;DR: This article reviewed the empirical literature on international spillovers and contagion and concluded that there is no single technique that can solve the full fledge problem and discusses three methodologies that can partially address some of the questions in the literature.
References
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A Theory of Fads, Fashion, Custom, and Cultural Change as Informational Cascades
TL;DR: In this paper, the authors argue that localized conformity of behavior and the fragility of mass behaviors can be explained by informational cascades, where an individual, having observed the actions of those ahead of him, to follow the behavior of the preceding individual without regard to his own information.
•Posted Content
A Theory of Fads, Fashion, Custom, and Cultural Change as Informational Cascades
TL;DR: It is argued that localized conformity of behavior and the fragility of mass behaviors can be explained by informational cascades.
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No Contagion, Only Interdependence: Measuring Stock Market Comovements
TL;DR: The authors showed that correlation coefficients are conditional on market volatility, and that there was virtually no increase in unconditional correlation coefficients (i.e., no contagion) during the 1997 Asian crisis, 1994 Mexican devaluation, and 1987 U.S. market crash.