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...
| Autor principal: | |
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| Outros Autores: | , , |
| Formato: | Periódico |
| Idioma: | English |
| Publicado em: |
Washington, D.C. :
International Monetary Fund,
2002.
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| coleção: | IMF Working Papers; Working Paper ;
No. 2002/074 |
| Acesso em linha: | Full text available on IMF |