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Contagion in emerging markets: the Russian crisis

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  • Elvira Sojli

Abstract

The existing literature on financial crises includes several different methods of testing for contagion during financial market crises. In this article, two modified models for measuring contagion via changes in correlations due to unexpected shocks are used: the adjusted correlation model and the full information model. The mechanisms by which the Russian 1998 crisis spread to Slovenia, Estonia and the Czech Republic are investigated. The main focus is the extent to which the crisis spread to these markets, after interdependencies and common external shocks have been taken into account. High interdependence is found to exist among these investigated markets, but the results on how contagion is propagated are model-dependent and ambiguous.

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File URL: http://www.tandfonline.com/doi/abs/10.1080/09603100600639876
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Bibliographic Info

Article provided by Taylor & Francis Journals in its journal Applied Financial Economics.

Volume (Year): 17 (2007)
Issue (Month): 3 ()
Pages: 197-213

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Handle: RePEc:taf:apfiec:v:17:y:2007:i:3:p:197-213

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Cited by:
  1. Renée Fry & Cody Yu-Ling Hsiao & Chrismin Tang, 2011. "Actually This Time Is Different," CAMA Working Papers 2011-12, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.

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